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Insights

Shielding factor portfolios from credit downgrades and defaults
Shielding factor portfolios from credit downgrades and defaults
Gaining more by losing less in multi-factor credit strategies.
30-11-2021 | Insight
'Investors can benefit from the use of sustainability data'
'Investors can benefit from the use of sustainability data'
Innovative developments in the area of sustainability data can uncover new ways of assessing opportunities and risks.
23-11-2021 | Interview
‘Alternative datasets can help predict future returns’
‘Alternative datasets can help predict future returns’
Big data can unlock a gold mine of information on investor behavior.
16-11-2021 | Interview
Low Volatility defies the basic finance principles of risk and reward
Low Volatility defies the basic finance principles of risk and reward
Contrary to popular belief, riskier investments do not necessarily translate into higher returns.
12-11-2021 | Insight
Risky CAPE: Is there an alternative?
Risky CAPE: Is there an alternative?
The prospect of rising real yields could accentuate the elevated nature of equity market valuations.
01-11-2021 | Insight
The quant cycle
The quant cycle
Equity factors follow their own sentiment-driven cycle that cannot be explained by traditional business cycle indicators.
19-10-2021 | Research
Looking under the bonnet of passive thematic indices
Looking under the bonnet of passive thematic indices
Passive thematic indices effectively trade against quant investors due to their generally negative exposures to factors.
12-10-2021 | Insight
Podcast: Why quant fixed income is a great diversifier
Podcast: Why quant fixed income is a great diversifier
While many quant equity strategies have struggled over the past few years, the performance of quant credits has been robust.
08-10-2021 | Podcast
Some factors are now more equal than others
Some factors are now more equal than others
There is no free lunch when it comes to harvesting factor premiums.
06-10-2021 | 5-Year outlook
What valuations and interest rates tell us about equity factors
What valuations and interest rates tell us about equity factors
Single and multi-factor equity portfolios are currently very attractively valued and factor premiums persist across interest rate cycles.
04-10-2021 | Insight
Are credit factor premiums robust to inflation?
Are credit factor premiums robust to inflation?
With inflation worries having gained momentum, we investigate how inflation has affected credit factor premiums in the past.
24-09-2021 | Insight
Seizing opportunities in emerging markets credits
Seizing opportunities in emerging markets credits
Global credit investors can no longer easily ignore emerging markets (EM) hard-currency corporate bonds.
08-09-2021 | Research
Momentum is a self-fulfilling prophecy and therein lies its strength
Momentum is a self-fulfilling prophecy and therein lies its strength
The Momentum premium arises from mistakes in human reasoning.
06-09-2021 | Insight
‘Moore’s Law is disrupting the world of quant investing’
‘Moore’s Law is disrupting the world of quant investing’
Increasing computing power is altering the investment landscape.
16-08-2021 | Interview
‘Equity price movements are mainly driven by behavior, not risk’
‘Equity price movements are mainly driven by behavior, not risk’
The FIFA 19 Ultimate Team (FUT) online transfer market and machine learning shed some light on behavioral finance.
01-07-2021 | Interview
Showing the way to Paris-aligned investing
Showing the way to Paris-aligned investing
The race to zero is on.
10-06-2021 | Insight
Podcast: Navigating change and challenge in the asset management industry
Podcast: Navigating change and challenge in the asset management industry
It’s never a dull moment in the asset management industry.
04-06-2021 | Podcast
Low Volatility investing: now more than ever
Low Volatility investing: now more than ever
Low Volatility strategies can handle changes in the investment landscape.
01-06-2021 | Insight
The Low Volatility effect in China
The Low Volatility effect in China
In our recent study, we uncover the presence of a strong Low Volatility effect in the Chinese A-share market.
19-05-2021 | Insight
‘We must prepare for the worst-case scenarios’
‘We must prepare for the worst-case scenarios’
Bob Litterman is chairman of the Risk Committee and a founding partner of Kepos Capital in New York.
18-05-2021 | Interview
Spring has sprung for Value investing
Spring has sprung for Value investing
Despite the recent rally in cheap stocks, we believe the Value upswing still has a way to go.
12-05-2021 | Insight
There’s no quant crisis in credits
There’s no quant crisis in credits
Quant strategies have performed well in credits.
01-04-2021 | Insight
The rising tide of Value won’t lift all boats equally
The rising tide of Value won’t lift all boats equally
The recent Value upswing has provided renewed hope of a comeback and ideal conditions for deep and consistent exposures to the style.
25-03-2021 | Insight
Data sets – factor investing in corporate bonds
Data sets – factor investing in corporate bonds
A research-driven approach is at the core of everything we do.
01-03-2021 | Data sets
Spring has to come simply because economic fundamentals require it
Spring has to come simply because economic fundamentals require it
How do you perceive the quant equity winter?
26-02-2021 | Interview
We will set five-year carbon footprint reduction goals
We will set five-year carbon footprint reduction goals
Decarbonization in the making.
22-02-2021 | Interview
ETFs have yet to prove that they can beat active funds
ETFs have yet to prove that they can beat active funds
Exchange-traded funds (ETFs) are commonly regarded as efficient, low-cost alternatives to actively managed mutual funds.
18-02-2021 | Research
The quant equity crisis of 2018-2020: Cornered by ‘big growth’
The quant equity crisis of 2018-2020: Cornered by ‘big growth’
The 2018-2020 quant equity crisis posed an exceptional challenge to quantitative managers due to a rare combination of circumstances.
16-02-2021 | Research
What’s up with Momentum?
What’s up with Momentum?
Momentum had its ‘shot of momentum’ in 2020.
04-02-2021 | Insight
When equity factors drop their shorts
When equity factors drop their shorts
How can you best construct an equity market neutral portfolio using a factor-investing approach?
01-02-2021 | Insight
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