Candès, Hastie, Hogan, Kahn, Luo, and Spector develop a novel framework to measure whether thematic baskets capture real, coherent risks that matter for investors. Their findings challenge conventional risk models and highlight both the dangers and opportunities of betting on investment “themes.” Thematic Investing: a Risk-Based Perspective was originally published at Alpha Architect. Please read the Alpha Architect disclosures at your convenience.
