spaines

Visión de mercado

Blokland’s daily sketch
Blokland’s daily sketch

Gold plunges

12-08-2020
Graph of the week
Graph of the week

The complexity of a carbon intensity target

24-07-2020 | Visión
Factor investing debates: Should sustainability be considered a factor?
Factor investing debates: Should sustainability be considered a factor?
Factor investing and sustainability can make a good combination.
20-07-2020 | Visión
New study reveals: you can predict when interest rates will rise
New study reveals: you can predict when interest rates will rise
Over the past decades, many empirical studies have examined the predictability of interest rates, so far with mixed results.
30-06-2020 | Visión
Data sets - the idiosyncratic momentum factor
Data sets - the idiosyncratic momentum factor
A research-driven approach is at the core of everything we do.
23-06-2020 | Data sets
Factor investing debates: Should you time your factor exposures?
Factor investing debates: Should you time your factor exposures?
The debate on whether investors should tactically time their factor exposures is almost as old as the discovery of factors.
22-06-2020 | Visión
Defining Quality: separating the wheat from the chaff
Defining Quality: separating the wheat from the chaff
Quality is a commonly accepted equity factor.
18-06-2020 | Investigación
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
Solving the sustainable investment dilemma
Solving the sustainable investment dilemma
Combining quant and sustainable investing efficiently requires expertise.
25-05-2020 | Entrevista
Value ain’t dead
Value ain’t dead
Value stocks have underperformed growth stocks over the past decade.
20-05-2020 | From the field
Podcast: Some factors are more equal than others
Podcast: Some factors are more equal than others
Is Value broken?
14-05-2020 | Podcast
Duration Times Spread: a measure of spread exposure in credit portfolios
Duration Times Spread: a measure of spread exposure in credit portfolios
Duration Times Spread (DTS) is the market standard method for measuring the credit volatility of a corporate bond.
01-05-2020 | Investigación
Now more than ever, it’s time to think outside the Fama-French factor box
Now more than ever, it’s time to think outside the Fama-French factor box
2010-2019 was a lost decade for the Fama-French factors.
28-04-2020 | Investigación
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
Is it time to favor North Asia over the US?
Is it time to favor North Asia over the US?
We thought we had seen it all, or almost all, and then the ball comes out of left field.
14-04-2020 | Perspectiva trimestral
Staying the course and being selective reaps long-term rewards in EM
Staying the course and being selective reaps long-term rewards in EM
Emerging markets equity strategies with their value tilt should typically underperform in risk-off markets.
08-04-2020 | Visión
Podcast: Corona, oil price war and falling markets – what to do?
Podcast: Corona, oil price war and falling markets – what to do?
“If you wake up and see -6%, you know what kind of day it is going to be.
07-04-2020 | Podcast
Cómo orientarse en el “zoo de los factores”
Cómo orientarse en el “zoo de los factores”
El número de factores identificados en la literatura académica se ha disparado.
27-03-2020 | Investigación
Fundamental Equities: Investment update as the COVID-19 crisis intensifies
Fundamental Equities: Investment update as the COVID-19 crisis intensifies
Strong volatility.
26-03-2020 | Visión
Enhanced indexing solutions for insurers
Enhanced indexing solutions for insurers
Over the past decade, investors have operated a massive shift from actively managed strategies into passive ones.
26-03-2020 | Visión
Cuando la cosa se pone fea, los fondos cuantitativos se mantienen fieles a sus factores
Cuando la cosa se pone fea, los fondos cuantitativos se mantienen fieles a sus factores
Como inversores con pautas predefinidas, los inversores cuantitativos sacan partido de cómo reaccionan las personas ante los movimientos del mercado.
19-03-2020 | Vídeo
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
Tras cualquier nube negra hay un resquicio de esperanza
Tras cualquier nube negra hay un resquicio de esperanza
Para el inversor de renta variable perspicaz, la volatilidad sin precedentes del mercado brinda una oportunidad.
18-03-2020 | Vídeo
Simplistic factor models may get arbitraged out of existence
Simplistic factor models may get arbitraged out of existence
Which financial innovations will investors remember 20 years from now?
26-02-2020 | Entrevista
Bringing the quant research and the production data together
Bringing the quant research and the production data together
Researching, designing and implementing top-notch quantitative investment strategies requires good data sources.
24-02-2020 | Visión
Factor investing debates: Are fees the most important variable in product selection?
Factor investing debates: Are fees the most important variable in product selection?
To choose a product, investors tend to rely on a few easy-to-grasp variables, like recent performance and, increasingly, fees.
14-02-2020 | Visión
Soluciones para aseguradoras con “el poder de tres”
Soluciones para aseguradoras con “el poder de tres”
La persistente situación de bajos tipos de interés y la creciente presión reguladora sobre las aseguradoras hacen que resulte vital para ellas contar con el socio de inversión adecuado.
03-02-2020 | Visión
Transferir el problema a otros a través de las exclusiones
Transferir el problema a otros a través de las exclusiones
¿Las exclusiones funcionan?
03-02-2020 | Investigación
Is shared analyst coverage the source of all spillover effects?
Is shared analyst coverage the source of all spillover effects?
A wide range of spillover effects has been documented in the academic literature.
22-01-2020 | From the field
Cuidado con la “asimetría”: las acciones podrían no haber tocado techo aún
Cuidado con la “asimetría”: las acciones podrían no haber tocado techo aún
Una curiosa asimetría en la trayectoria histórica de la renta variable global sugiere que ésta podría protagonizar aún nuevas subidas, según el estratega Peter van der Welle.
09-01-2020 | Perspectiva mensual