Factor investing
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
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