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Journal Article
Craftsmanship Alpha: An Application to Style Investing
December 31, 2017
What may seem like inconsequential design decisions can actually matter a lot for style portfolios. In fact, the skillful targeting and capturing of style premia may constitute a form of alpha on its own—one we refer to as “craftsmanship alpha.”
Working Paper
Implementing Momentum: What Have We Learned?
December 26, 2017
We use seven years of live data to evaluate the implementability of momentum investing.