Factor investing
Timing minimum-variance investment in the Canadian stock market
This paper proposes a novel explanation of the variation in idiosyncratic volatility anomaly return and its use in minimum-variance investing in the Canadian stock market.
The evolution of portfolio strategies: Special report 2024
This report explores the dynamic evolution of portfolio management and investment strategies, addressing challenges, technological advancements and ongoing innovations
How Jupiter times factors in uncertain markets
Asset manager is seeking to avoid momentum and value drawdowns
Decades of history says you can beat high inflation with quality
Factors such as momentum and value generally outperform the market irrespective of inflation, but new research suggests quality stocks are best when prices are rising rapidly
Quants are using language models to map what causes what
GPT-4 does a surprisingly good job of separating causation from correlation
The quants who kicked the hornets’ nest – to champion causality
A small but influential cadre says the multi-trillion-dollar factor investing industry is based on flawed science
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