

Rival strategies split multi-factor fund investing
Goldman, Robeco challenge conventional ‘bottom-up’ portfolio design
Multi-factor investing – a type of long-only quant equity strategy – has a design problem. There are two ways to do it, but nobody can agree which is better.
Researchers at quant asset manager AQR Capital Management say the advantages of one approach are “too sizeable to be ignored”. Academics at the University of Zurich dismiss the same apparent advantages as a “statistical fluke”. The rift is muddying the outlook for an investment strategy with assets of $74 billion and climbing.
Multi
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Asset management
7 days in 60 seconds
Bank capital, margining and the return of FX
The week on Risk.net, December 12–18
Receive this by email