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Academic insights into using machine learning for valuation
Academic insights into using machine learning for valuation
Machine learning (ML) mispricing models are designed to detect hidden nonlinearities that are important in predicting the fundamental value of stocks.
26-09-2022 | リサーチ
Nowcasting growth to enrich the factors used for government bond selection
Nowcasting growth to enrich the factors used for government bond selection
We have added a quality measure for the selection of government bonds.
31-08-2022 | インサイト
Investing across deflation, inflation and stagflation
Investing across deflation, inflation and stagflation
Real returns on equities and multi-asset portfolios are typically poor when inflation is high, especially in times of stagflation.
29-08-2022 | インサイト
‘Alternative data allows you to take a deeper look’
‘Alternative data allows you to take a deeper look’
Novel data sources and techniques can help you tap into alternative alpha.
24-08-2022 | インタビュー
‘Quantification of sustainability can be pushed even further’
‘Quantification of sustainability can be pushed even further’
There is a large amount of untapped alternative data that can be used for sustainable investments.
18-08-2022 | インタビュー
Quant chart: enhancing emerging market factors
Quant chart: enhancing emerging market factors
Emerging markets have proven to be fruitful for well-established equity factors.
16-08-2022 | インサイト
Marrying sustainability and emerging markets expertise in quantitative strategies
Marrying sustainability and emerging markets expertise in quantitative strategies
The most sustainable emerging market companies are on par with those in developed markets.
03-08-2022 | インサイト
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: Winning by losing less
Quant chart: Winning by losing less
Low-risk investing tends to deliver higher risk-adjusted long-term returns than the market as it tallies wins by losing less in down periods.
21-07-2022 | インサイト
PodcastXL: The pursuit of alternative alpha
PodcastXL: The pursuit of alternative alpha
It has been hailed as the next frontier in quant investing.
13-07-2022 | ポッドキャスト
Half-time! And what a ride it has been
Half-time! And what a ride it has been
After a turbulent first half of the year, the summer holidays represent a great time to catch up on useful information that you might have missed amid the tumult.
08-07-2022 | インサイト
Ten years of successful factor investing in credit markets
Ten years of successful factor investing in credit markets
A decade of live track-records shows that our factor-based credit investing approach delivers improved risk-adjusted returns compared to the market.
30-06-2022 | 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
Forecasting stock crash risk with machine learning
Forecasting stock crash risk with machine learning
Machine learning techniques can be used to uncover nonlinear relationships between several variables to help forecast stock crash risk.
15-06-2022 | インサイト
Guide to sustainable quant equities investing
Guide to sustainable quant equities investing
The rules-based nature of quant investing lends itself well for sustainability integration.
09-06-2022 | インサイト
‘Factors are still the foundation of financial markets’
‘Factors are still the foundation of financial markets’
New data sources and techniques can help us to better understand factors.
08-06-2022 | インタビュー
Quality: the underappreciation of well-managed businesses
Quality: the underappreciation of well-managed businesses
Persistent human errors when forming future earnings expectations for companies give rise to the Quality premium.
01-06-2022 | 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
Conservative investing stands the test of time
Conservative investing stands the test of time
Conservative investing (also termed defensive or low-risk investing) is all about winning by losing less.
23-05-2022 | インサイト
‘I have always tried to make sense of human behavior’
‘I have always tried to make sense of human behavior’
People’s normal wants, even more than their cognitive and emotional shortcuts and errors, underlie answers to important questions of finance.
19-05-2022 | インタビュー
Navigating bond markets in times of stagflation
Navigating bond markets in times of stagflation
High inflation and central bank tightening are already leading to rising yields and negative bond returns.
18-05-2022 | インサイト
Indices insights: Does sustainability integration affect factor premiums?
Indices insights: Does sustainability integration affect factor premiums?
In this ‘Indices insights’ article, we analyze the impact of sustainability integration on factor premiums.
17-05-2022 | インサイト
Quant chart: Value accelerates to strongest start in decades
Quant chart: Value accelerates to strongest start in decades
Value has achieved the best start to a calendar year in over 35 years.
16-05-2022 | インサイト
The role of green bonds in a fixed income portfolio
The role of green bonds in a fixed income portfolio
Demand for green bonds has grown spectacularly, reflecting investors’ ambitious climate policies.
16-05-2022 | インサイト
‘A strong research culture enables you to stay true to your investment philosophy’
‘A strong research culture enables you to stay true to your investment philosophy’
Quant investing is very much a team sport, in fact more so than ever.
13-05-2022 | インタビュー
Quant chart: Meme stock frenzy confirms short-selling signal
Quant chart: Meme stock frenzy confirms short-selling signal
After more than a year following the short squeeze in so-called meme stocks, the informational advantage of short-selling data resurfaces.
29-04-2022 | インサイト
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.
29-04-2022 | Data sets
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
PodcastXL: How to read the huge emerging markets discount
PodcastXL: How to read the huge emerging markets discount
Emerging markets look extremely cheap.
01-04-2022 | ポッドキャスト
The Formula: Maximum drawdown
The Formula: Maximum drawdown
Capital preservation and steady performance are important considerations in investing.
31-03-2022 | インサイト