Factor investing
Is low vol crowded? That depends who you ask
Equity drawdowns have pushed more investors into low volatility strategies, raising fears of a build-up of risk
Cross-sectional stock volatility lifts value factor
Dispersion in returns makes for ‘double alpha’
Growth to value, and back via quality
Inflation-fuelled stock rotations are full of complexity
A factor-based risk model for multifactor investment strategies
This paper presents a novel, practical approach to risk management for multifactor equity investment strategies.
Performance attribution for multifactorial equity portfolios
This paper revisits the cross-sectional approach to the performance analysis of multifactor investment strategies.
A practitioner’s view of the long-term and recent performance of multifactor investment strategies
In this paper the author studies the performance of factor investment strategies from a practitioner’s point of view.
Nonlinear risk decomposition for any type of fund
A risk decomposition by fund manager, factor or instrument is proposed
Factor woes prove need for better timing – QuantZ’s Sharma
Investors should switch between factors as alphas change, says quant
The value rally that never was
Many value stocks stayed flat on November 9 vaccine news, says factor investing expert
Factor strategies seesaw in coronavirus-hit markets
Quants struggle to second-guess ongoing effect of virus on investments
The age of ethical investing, but can quants cope?
Systematic managers grapple with ESG demands of clients
Neuberger Berman gets its Sherlock on
Asset manager deploys quant-cum-sleuth to sniff out portfolio risk
In factor timing, ‘where?’ matters as much as ‘when?’
Goldman quants’ thought experiment shows timing works best for low-Sharpe strategies
Stock-picking finds unlikely champion in ex-Winton CIO
Matthew Beddall’s Havelock restyles value investing for the big data age
Quants clone private equity: pale imitation or real deal?
Theory says replication can work, but investors are reluctant to give up private equity’s smoothed returns
Tech mergers have increased crowding risks, investors say
Risk USA: Consolidation among vendors means “everyone’s looking at the exact same model”
Systematic investing, the value factor and Hong Kong swap rates
The week on Risk.net, October 12–18, 2019
Value: ‘Trade of the decade,’ says QMA
Quant firm predicts big revival for out-of-favour strategy
Search for alpha in a volatile world
Alpha generation can be an elusive goal, particularly when trading volatility. Three different approaches to trading volatility were discussed by a panel looking at the role of systematic and carry strategies in finding profit in a high-volatility world
Mirror-image factors are wiping out quant alpha
Equity momentum and value strategies are cancelling each other out, buy-siders say
Quants miss the ‘obvious’: a safe-haven factor in bonds
After carry, the flight-to-quality factor – the ‘elephant in the room’ – is a key driver, a study says
Factor investing: get your exposures right!
This paper is devoted to the question of optimal portfolio construction for equity factor investing. The authors discuss the question of multifactor portfolio construction and show that the simplistic approaches often used by practitioners tend to be…
ETF investing – Building better portfolios
At the Asia ETF Forum 2019, Hong Kong Exchanges and Clearing (HKEX) welcomed industry experts from around the region to six key Asian exchange-traded fund (ETF) cities, offering attendees an updated view on the growing ETF market in Asia. This article…
Quants blame crowding and concentration for bleak 2018
Funds are still struggling to explain why so many of them did so badly last year