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Short-term factor momentum
Short-term factor momentum
The evidence for the existence of various factor premiums is strong.
21-08-2019 | From the field
A backtesting protocol in the era of machine learning
A backtesting protocol in the era of machine learning
Is machine learning really a game changer for finance?
08-08-2019 | From the field
Media spotlight does not drive the Volatility effect in equities
Media spotlight does not drive the Volatility effect in equities
Investors’ appetite for stocks frequently mentioned in the news is often raised to explain the Volatility effect.
26-06-2019 | インサイト
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
The characteristics of factor investing
The characteristics of factor investing
To make the most of factor investing, understanding how factors work and interact is key.
14-06-2019 | リサーチ
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
It’s not about active or passive, but about costs
It’s not about active or passive, but about costs
What if costs were the real issue in the heated active versus passive debate?
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
Lessons from our 2018 ‘Super Quant’ internships
Lessons from our 2018 ‘Super Quant’ internships
Top-notch investment strategies require top-notch research.
05-12-2018 | リサーチ
Thought smart beta indices had unlimited capacity? Think again!
Thought smart beta indices had unlimited capacity? Think again!
Following smart beta indices is a popular way to implement factor investing.
06-11-2018 | 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 3-factor model by adding two factors.
15-09-2018 | インサイト
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
Big data & AI pose challenges for quant investors
Big data & AI pose challenges for quant investors
The advent of big data and artificial intelligence (AI) has emerged as a major game-changer for the financial industry.
03-07-2018 | インサイト
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
No place for Liquidity in our set of relevant equity factors
No place for Liquidity in our set of relevant equity factors
A number of academic studies suggest that illiquid stocks should outperform liquid stocks to compensate for higher risk.
28-02-2018 | 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
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
Why ETFs can be more expensive than you think
Why ETFs can be more expensive than you think
The recent rise of passive and smart beta strategies has resulted mainly from the success of ETFs.
24-01-2018 | From the field
Anomalies remain strong in international equity markets after publication
Anomalies remain strong in international equity markets after publication
One oft-heard concern on factor investing is that factors could be arbitraged away.
03-01-2018 | From the field
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
Institutional asset managers add value... by using factors
Institutional asset managers add value... by using factors
Are factors the future of active asset management?
22-11-2017 | 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
Solvency II encourages risk-seeking behavior
Solvency II encourages risk-seeking behavior
Solvency II regulation should prevent insurance companies from going bankrupt.
02-10-2017 | リサーチ
Research reveals why sin stocks outperform
Research reveals why sin stocks outperform
sin stocks’ outperformance has finally been unraveled.
11-09-2017 | リサーチ
Factor investing: limited overcrowding risk
Factor investing: limited overcrowding risk
A key concern often voiced by factor investing and smart beta sceptics is the possible risk of overcrowding.
03-07-2017 | リサーチ