Factor investing
Quants blame crowding and concentration for bleak 2018
Funds are still struggling to explain why so many of them did so badly last year
Volatility scaling unravels as market patterns shift
Waning power of quant approach could be a reason for trend following’s malaise
Crowding can be good for quants (sometimes) – Goldman
Study finds timing dictates different results for convergent and divergent strategies in herd moves
China throws up challenges for alternative premia funds
Poor data, curbs on trading and regulatory change put a new spin on the investment approach
Some trend followers are less than ‘pure’ – study
Sick of waiting for a crisis, some commodity trading advisers move from ‘pure trend’ to ‘trend-plus’
Can nowcasting unlock factor timing?
Fulcrum Asset Management is running tests to see if fresher data can help improve factor allocations
Factors’ tails are fatter than you think
Investors should beware extreme losses from factor investing strategies
The common drivers behind alt risk premia’s difficult year
Statistical analysis shows four strategies caused most pain, but funds suffered differently
CICC looks to China assets for alt risk premia boost
Source of diversification can be found in yuan-denominated assets, says fund’s quant head
Factor timing: scant upside, big downside
Stock selection trounces “tempting” factor timing in study
When bonds struggle, so does alt premia – research
Ties between alternative risk premia and fixed income closer than appreciated
New directions – Diversification of alternative risk premia strategies
Despite a difficult year, investors remain keen to use alternative risk premia strategies. However, current approaches may be less diversified than they appear, especially given cross-contamination in cash equity factors. According to Nomura, a more…
The machine shines in Hong Kong A-share fund
Strategy run by ChinaAMC (HK) combines machine learning with human judgement to outdo rivals
Value factor strategies ripe for revival, quants say
Stocks rated for value are historically cheap compared with growth stocks, evidence shows
What’s in the box? Bad year reveals alt premia’s gaps
Average fund is down almost 5%, but gap between best and worst performers is 14%
Factor funds ‘do right things for wrong reasons’ – Intech
Firm says conventional investing wisdom is missing out on alpha
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