Factor investing
Rival strategies split multi-factor fund investing
Goldman, Robeco challenge conventional ‘bottom-up’ portfolio design
Why robo-advisers need artificial stupidity
Smarter algorithms can’t stop us making bad investment decisions – yet, writes Andrew Lo
Passive funds turn predator in pursuit of pricing edge
State Street, Amundi, HSBC sharpen trading tactics to exploit index changes
Lo’s ‘dynamic alpha’ gives quants new tool to fine-tune strategies
Time-sensitive measure could help manage systemic risk too
A fool’s gold (or data) mine
Quants are building statistical toolkits to avoid the pitfalls of data mining
Ping An unit prepares factor investing foray
Insurance giant’s asset management arm turns to alternative risk premia as fundamental returns in emerging markets begin to shrink
Machine learning study points way to smarter beta
‘Boosted trees’ method uses same metrics as conventional factor investing but mixes them in new ways
Study warns against ignoring factors’ procyclicality
Common multi-factor strategies have hidden macroeconomic exposures, research shows
Quants warn over flaws in machine learning predictions
Six quants debate whether the tool can adjust to paradigm shifts in financial markets
Bull run shows up differences in factor strategies
Market exposure, factor construction and risk budgeting have impact, writes Luc Dumontier of LFIS
Investors take note as quality in Japan wakes up
Upturn in performance creates chance of “fundamental factor timing”, analyst says
Study finds holes in quality factor indexes
Metrics commonly used to build indexes bring zero alpha, says Research Affiliates
Funds seek ways to stay clear of factor flows
Gyrations in momentum and value are a reminder that investors can be swept up in factor reversals
PKA’s CIO on risk transfer and factor investing
Risk30: Low volatility aids and hinders Danish fund
The future of risk in 10 interviews: volatility, liquidity and tech
Fed’s Powell, JP Morgan CRO, Bridgewater co-CEO all feature in upcoming profiles
Liquidity snarls progress on factor investing in credit
Asset managers are re-engineering strategies borrowed from equity to fit practicalities of trading bonds
Quants stymied by lack of alternative risk premia flows data
Data shortage is hampering efforts to model futures market liquidity
Why factor crowding fears are overblown
Factor investing has little impact on exposures, claims La Française Investment Solutions
Experts dismiss research showing flaw in value strategies
Academics who argue quant value strategies select companies with inflated accounts miss the point, say industry players
Is there still life in the low-vol bet?
Quant analysts disagree on rate sensitivity of $150 billion strategy
Growth in factor investing renews crowding fears
Single-factor ETFs could pose threat to quantitative equity market neutral strategies
Andrew Lo’s theory to beat a theory
Author of Adaptive Markets tells Risk.net what his ideas mean for investors and regulators
The race to find a factor-timing model that works
BlackRock, Man AHL, Research Affiliates and UBS believe they can successfully time risk premia
The hard labour in profiting from alternative data
Quant fund spending on fresh data will pass $7 billion by 2020, yet most attempts to use it fail