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Should shorting count for net-zero portfolios?
Should shorting count for net-zero portfolios?
Short positions can be a meaningful add-on, but should not be an excuse for inaction on the long side of a portfolio.
27-07-2022 | インサイト
Quant chart: Cornered by Big Oil
Quant chart: Cornered by Big Oil
Positive year-to-date returns from oil stocks are bucking the trend given the S&P 500 Index has slid into bear market territory.
29-06-2022 | インサイト
Beyond Fama-French: alpha from short-term signals
Beyond Fama-French: alpha from short-term signals
Positive net alpha from established short-term signals can be harvested practically by investors.
31-05-2022 | リサーチ
Higher risk-free returns do not lead to higher total stock returns
Higher risk-free returns do not lead to higher total stock returns
Our research shows that equity risk premiums tend to be higher when risk-free returns are low, and vice versa.
26-04-2022 | リサーチ
Fama-French 5-factor model: why more is not always better
Fama-French 5-factor model: why more is not always better
Fama and French have expanded their original three-factor model by adding two factors, namely investment and profitability.
10-03-2022 | インサイト
Shrunk betas can fortify Low-risk portfolios
Shrunk betas can fortify Low-risk portfolios
Research shows that beta forecasts are improved by shrinking correlations more than relative volatilities.
17-02-2022 | リサーチ
The implications of divesting from fossil fuel stocks
The implications of divesting from fossil fuel stocks
Excluding fossil fuel companies from a portfolio comes down to an active bet against the oil price.
15-02-2022 | リサーチ
Factoring carbon taxes into a Value strategy
Factoring carbon taxes into a Value strategy
Incorporating carbon taxes into a Value strategy at a stock level is equivalent to imposing carbon footprint constraints on the overall portfolio.
22-12-2021 | リサーチ
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 | リサーチ
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 | インサイト
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 | インサイト
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 | インサイト
Fresh capital has not run dry for unsustainable firms
Fresh capital has not run dry for unsustainable firms
Despite rising interest in sustainable investing, unsustainable companies have faced no obstacles in raising funds in public markets.
11-03-2021 | リサーチ
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 | リサーチ
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 | リサーチ
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 | インサイト
Long read: Why I am more bullish than ever on quant
Long read: Why I am more bullish than ever on quant
Following more than two years of quant strategies generally underperforming sharply, investors are questioning whether quantitative investing is still viable.
11-11-2020 | Column
Factor investing – going beyond Fama and French
Factor investing – going beyond Fama and French
There is more to factor investing than the standard academic factors, says Head of Quant Research David Blitz.
02-11-2020 | 5ヵ年アウトルック
Low-risk stocks behave like bonds
Low-risk stocks behave like bonds
Low-risk stocks are very bond-like.
13-10-2020 | リサーチ
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
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 | リサーチ
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
How to navigate the equity ‘factor zoo’
How to navigate the equity ‘factor zoo’
The number of equity factors reported in the academic literature has exploded.
27-03-2020 | リサーチ
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
The volatility effect revisited
The volatility effect revisited
Over the past decade, low volatility has become a popular investment style.
07-01-2020 | リサーチ
マルチファクター・ポートフォリオ:「組合せ」か「統合」か
マルチファクター・ポートフォリオ:「組合せ」か「統合」か
ファクター投資のメリットは多くの投資家が認めている一方、その実践方法については意見が一致していません。
26-02-2018 | インサイト
パッシブ運用による損失
パッシブ運用による損失
パッシブ運用は人気を集めていますが、実は深刻な懸念を伴います。
28-12-2017 | Column
Next time, ask your fund manager what kind of car they drive
Next time, ask your fund manager what kind of car they drive
Tell me what car you drive and I will tell you who you are.
13-12-2017 | From the field
Research reveals why sin stocks outperform
Research reveals why sin stocks outperform
The mystery of sin stocks’ outperformance has finally been unraveled.
11-09-2017 | リサーチ
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