Disappointed with the performance of market weighted benchmark portfolios yet skeptical about the merits of active portfolio management, investors in recent years turned to alternative index definitions. Minimum variance investing is one of these popular concepts. I show in this paper that the...

This paper shows that revenues from a sample of publicly traded US asset management companies carry substantial market risks. Not only does this challenge the academic risk management literature about the predominance of operative risks in asset management, it is also at odds with current...

We find strong evidence that momentum across asset classes is driven by macroeconomic state variables. By reacting to changes in the macroeconomic environment, the strategy performs particularly well in times of economic distress. This result is interesting for practitioners and academics alike...