A popular strategy to assess mutual funds is to look at past returns and rank funds based on their risk and return characteristics. This simple approach has its advantages but it is uni-dimensional in nature and misses important characteristics that may impact future returns. We propose...

This study examines the momentum effect in the returns of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigate the performance persistence of market, value, size, momentum, low-risk, and quality premia within a sample of...

Does extreme downside risk require a risk premium in the pricing of individual assets? Extreme downside risk is a conditional measure for the co-movement of individual stocks with the market, given that the state of the world is extremely bad. This measure, derived from statistical extreme value...

There are concerns that climate-related physical and political risks are not yet properly reflected in asset prices. To address these concerns, we develop a dynamic asset pricing framework with two sources of rare disasters: macroeconomic events and climate change. We link carbon emissions and...

I document significant time variation and predictability in a set of risk factors based on technical indicators. As these indicators are primarily designed to detect trends in asset prices, these findings imply substantial time series momentum in factor risk premiums. Specifically, risk premiums...

We consider the frequency and correlation of extreme return observations or “jumps” across equities, Treasury bonds, corporate bonds, currencies, commodities, and real estate. Understanding more about jumps is important to investors as diversification across asset classes is diminished if...

Some exchange-traded funds (ETFs) are specifically designed for harvesting factor premiums, such as the size, value, momentum, and low-volatility effects. Other ETFs, however, may implicitly go against these factors. This paper analyzes the factor exposures of U.S. equity ETFs and finds that,...

Superior to the variance, "swap variance (SwV)" summarizes the entire probability distribution of returns and is unbiased to distributional asymmetry. Retaining the same simplicity as mean-variance (MV) model, the efficiency of mean-swap variance (MSwV) is necessary and sufficient conditions for...

Rational asset pricing models should hold across assets. Nevertheless, in practice they are often developed and tested on a single asset pricing anomaly. This approach can lead to an overabundance of idiosyncratic ‘rational' explanations. The paper demonstrates the problem by showing that...

This paper is focused on enlarging the performance inside a portfolio that provides the Treynor ratio by relating portfolio weights with performance indicators. Intuition suggests that the higher the weight of an asset, the higher should be its expected performance. These weights, and the...