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Aktuelle Analysen

Sustainable investing in equilibrium
Sustainable investing in equilibrium
This is a theoretical paper which investigates what happens if some investors care about ESG, while others do not, or care less.
10-06-2020 | From the field
Value ain’t dead
Value ain’t dead
Value stocks have underperformed growth stocks over the past decade.
20-05-2020 | From the field
Appraising home bias exposure
Appraising home bias exposure
The home market bias is one of the clearest examples of behavioral biases among investors.
22-04-2020 | From the field
A review of 20 years of academic literature on mutual funds
A review of 20 years of academic literature on mutual funds
How skilled are asset managers?
19-03-2020 | From the field
Adjusting the Value factor for intangibles
Adjusting the Value factor for intangibles
The standard academic definition for the Value factor is the ratio of book-value-to market-value (B/M).
19-02-2020 | From the field
A Low-Risk anomaly also in the crowdlending market
A Low-Risk anomaly also in the crowdlending market
The existence of a low-risk anomaly has been firmly established for stocks and corporate bonds.
27-11-2019 | From the field
The active world of passive investing
The active world of passive investing
Thought exchange-traded funds (ETFs) were passive?
11-09-2019 | From the field
Seasonal patterns in individual stock returns
Seasonal patterns in individual stock returns
New insights on monthly stock return patterns.
10-07-2019 | From the field
Good shepherds do not succumb to herding behavior
Good shepherds do not succumb to herding behavior
Thought crowds were wise?
19-06-2019 | From the field
Do mutual funds with good sustainability scores attract more assets?
Do mutual funds with good sustainability scores attract more assets?
In March of 2016, Morningstar first published sustainability ratings (globes), for over 20,000 mutual funds.
08-05-2019 | From the field
Are mutual funds on the other side of the low volatility trade?
Are mutual funds on the other side of the low volatility trade?
This new research helps to explain the existence of the low volatility anomaly.
03-04-2019 | From the field
Es geht nicht um aktiv oder passiv, sondern um die Kosten
Es geht nicht um aktiv oder passiv, sondern um die Kosten
Was ist, wenn es in der hitzigen Debatte über aktives versus passives Investieren tatsächlich um die Kosten geht?
06-03-2019 | From the field
Low risk in China
Low risk in China
Does low-risk investing work with A-shares?
13-02-2019 | From the field
Residualizing Momentum in China
Residualizing Momentum in China
Previous studies have reported weak results for standard Momentum strategies in China.
02-01-2019 | From the field
Selecting managers based on their past performance
Selecting managers based on their past performance
Is past performance of any use for investors?
28-08-2018 | From the field
Volatility lessons
Volatility lessons
In this paper Eugene Fama and Kenneth French look at the importance of volatility over longer investment horizons.
01-08-2018 | From the field
Reach for yield vs. reach for safety
Reach for yield vs. reach for safety
Interested in low-risk bonds?
16-05-2018 | From the field
Transitioning from procyclical to countercyclical behavior
Transitioning from procyclical to countercyclical behavior
Are large institutional investors pro- or countercyclical?
02-05-2018 | From the field
Failing to capture factor premiums because of poor timing
Failing to capture factor premiums because of poor timing
Looking for an explanation to the value effect?
04-04-2018 | From the field
Here’s the proof: benchmarking contributes to the low-volatility anomaly
Here’s the proof: benchmarking contributes to the low-volatility anomaly
Benchmark followers amplify the low volatility effect.
07-03-2018 | From the field
Tweaking a popular low volatility index
Tweaking a popular low volatility index
Investment solutions based on popular smart beta indices have enjoyed tremendous success.
14-02-2018 | From the field
Anomalien an den internationalen Aktienmärkten bleiben auch nach Bekanntwerden ausgeprägt
Anomalien an den internationalen Aktienmärkten bleiben auch nach Bekanntwerden ausgeprägt
In Bezug auf Factor Investing wird häufig die Sorge geäußert, dass die Faktorprämien durch Arbitrage verschwinden könnten.
03-01-2018 | From the field
‘Facts’ about formulaic value investing
‘Facts’ about formulaic value investing
Successful value investing requires well designed strategies.
01-11-2017 | From the field
The Quality Factor
The Quality Factor
The quality effect is the tendency of high-quality stocks to outperform low-quality ones.
19-07-2017 | From the field
Estimating the equity risk premium
Estimating the equity risk premium
Assessing the equity risk premium (ERP) is an ongoing debate among academics.
28-06-2017 | From the field
Zehn Irrtümer rund um Smart Beta-Investing
Zehn Irrtümer rund um Smart Beta-Investing
Dieses Whitepaper* räumt mit zehn Mythen rund um Smart Beta auf.
03-05-2017 | From the field
Der verlockende Klang des Factor-Timing
Der verlockende Klang des Factor-Timing
Den richtigen Zeitpunkt zum Einstieg in Faktoren wie Value, Momentum, Low Volatility und Quality zu finden und sich rechtzeitig wieder zurückziehen, erscheint als das Nonplusultra quantitativen Investierens.
19-04-2017 | From the field
Smart beta is no monkey business
Smart beta is no monkey business
It has been argued that all smart beta strategies generate positive exposure to value and small-cap stocks in much the same way as randomly generated portfolio strategies do.
05-04-2017 | From the field
Active weight instead of active share?
Active weight instead of active share?
A 2015 study* argues that a simplified measure of activeness, termed active weight, is even more effective than active share.
21-02-2017 | From the field
The case for the size premium
The case for the size premium
This AQR working paper argues that the size effect does, in fact, exist.
16-12-2016 | From the field
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