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Optimal portfolios for optimal investors

8 March, 2024
clock 2 MIN READ

Rewarded factors such as value, momentum, and quality, and not just market beta, explain the cross-section of expected returns. Conversely, a small group of successful active managers that have been more actively taking risk have shown a better chance of outperforming going forward. We believe that blending such “top managers” with rewarded factors is essential for a risk- and cost-optimal active portfolio.

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Optimal portfolios for optimal investors

Eugene Barbaneagra, CFA

Head of Quantitative Investment Equity Management, Investment Management Unit

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