Factor investing published academic research | Blackrock

More articles loaded. Use Shift+Tab keys to browse.

WINTER 2023 | BY BLACKROCK | ANDREW ANG

Trends and Cycles of Style Factors in the 20th and 21st Centuries

Research published in the Journal of Portfolio Management examines long-run and short-run style factor trends in the 20th and 21st centuries.
WINTER 2022 | BY BLACKROCK | ANDREW ANG

Investing in US Core Fixed Income with Macro and Style Factors

Research published in the Journal of Portfolio Management offers a framework for building an optimal portfolio identifying strategic fixed income macro factor tilts, time-varying macro factor exposures, and security selection.
Fall 2020 | By BlackRock | Andrew Ang

ESG in Factors

Research published in The Journal of Impact & ESG Investing highlights how ESG and factor signals can be jointly optimized. (For financial professionals only)
SPRING 2020 | BY BLACKROCK

Factors and Advisor Portfolios

Research published in The Journal of Wealth Management finds on average, advisor portfolios don’t have meaningful exposures to rewarded factors outside of small size. (For financial professionals only)
WINTER 2019 | BY BLACKROCK | Andrew Ang

Defensive Factor Timing

Research published in The Journal of Portfolio Management details a defensive factor timing approach to manage time varying factor returns. (For financial professionals only)
WINTER 2017 | BY BLACKROCK | Andrew Ang

Capacity of Smart Beta Strategies from a Transaction Cost Perspective

Research published in The Journal of Index Investing investigates the capacity of factors strategies. (For financial professionals only)
FALL 2017 | BY BLACKROCK | ANDREW ANG

Factor Timing with Cross-Sectional and Time-Series Predictors

Research published in the Journal of Portfolio Management provides a factor timing framework for different economic regimes and market conditions (For financial professionals only)