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
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
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
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 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
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
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
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
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
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 strategies can handle changes in the investment landscape.
01-06-2021 | インサイト
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
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
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 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
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
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
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 are very bond-like.
13-10-2020 | リサーチ
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
2010-2019 was a lost decade for the Fama-French factors.
28-04-2020 | リサーチ
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’
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
How skilled are asset managers?
19-03-2020 | From the field
The volatility effect revisited
Over the past decade, low volatility has become a popular investment style.
07-01-2020 | リサーチ
26-02-2018 | インサイト
28-12-2017 | Column
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
The mystery of sin stocks’ outperformance has finally been unraveled.
11-09-2017 | リサーチ
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