The growing dominance of the core and explore model – a large passive index combined with a collection of high tracking error satellite portfolios – in conjunction with the growth of factor investing has renewed interest in how to allocate among different equity strategies. We study this...

Financial analysis often involves decomposing variables into components, emphasizing the structured hierarchy among ratios. We distinguish between unconditional persistence (a variable's autocorrelation coefficient), and conditional persistence (the power of a variable's persistence to explain...