Inflation-fuelled stock rotations are full of complexity
This paper presents a novel, practical approach to risk management for multifactor equity investment strategies.
This paper revisits the cross-sectional approach to the performance analysis of multifactor investment strategies.
In this paper the author studies the performance of factor investment strategies from a practitioner’s point of view.
A risk decomposition by fund manager, factor or instrument is proposed
Investors should switch between factors as alphas change, says quant
Many value stocks stayed flat on November 9 vaccine news, says factor investing expert
Quants struggle to second-guess ongoing effect of virus on investments
Systematic managers grapple with ESG demands of clients
Asset manager deploys quant-cum-sleuth to sniff out portfolio risk
Goldman quants’ thought experiment shows timing works best for low-Sharpe strategies
Matthew Beddall’s Havelock restyles value investing for the big data age
Theory says replication can work, but investors are reluctant to give up private equity’s smoothed returns
Risk USA: Consolidation among vendors means “everyone’s looking at the exact same model”
The week on Risk.net, October 12–18, 2019
Quant firm predicts big revival for out-of-favour strategy
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
Equity momentum and value strategies are cancelling each other out, buy-siders say
After carry, the flight-to-quality factor – the ‘elephant in the room’ – is a key driver, a study says
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…
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…
Funds are still struggling to explain why so many of them did so badly last year
Waning power of quant approach could be a reason for trend following’s malaise
Study finds timing dictates different results for convergent and divergent strategies in herd moves