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Factor investing debates: Are there any capacity issues?
Factor investing debates: Are there any capacity issues?
Even though factor premiums may be persistent, harvesting them in a consistent and efficient way is no mean feat.
30-12-2019 | インサイト
ファクター投資を取り巻く論争:ファクタープレミアムは消滅するか
ファクター投資を取り巻く論争:ファクタープレミアムは消滅するか
ファクター投資の採用が広がるなか、ファクタープレミアムは裁定取引によっていずれ消滅してしまうであろうという、非難めいた議論をよく耳にします。
27-12-2019 | インサイト
The Essentials of factor investing
The Essentials of factor investing
Introducing our new learning tool on factor investing.
12-09-2019 | インサイト
Factor investors should be patient and brave
Factor investors should be patient and brave
What’s best, quantitative or fundamental?
05-09-2019 | インタビュー
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
Guide to factor investing in equity markets
Guide to factor investing in equity markets
Factor investing is on the rise.
01-06-2018 | インサイト
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
Factor challenges: preparing for implementation
Factor challenges: preparing for implementation
How should I prepare for the implementation of a factor-based strategy?
28-11-2017 | Factor investing challenges
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
Factor investing also works with Chinese A-shares
Factor investing also works with Chinese A-shares
Many characteristics set A-shares apart from other equities.
24-08-2017 | インタビュー
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
Patience and high active share is a rare combination in asset management
Patience and high active share is a rare combination in asset management
When is active management really active?
19-06-2017 | インタビュー
Ten misconceptions about smart beta investing
Ten misconceptions about smart beta investing
This paper* attempts to debunk no fewer than ten myths about smart beta.
07-06-2017 | From the field
Factor investing challenges: underperforming the benchmark
Factor investing challenges: underperforming the benchmark
Factor based allocation has become increasingly popular in recent years.
31-05-2017 | Factor investing challenges
Factor investing challenges: limiting turnover
Factor investing challenges: limiting turnover
Factor-based allocation has become increasingly popular in recent years.
05-05-2017 | Factor investing challenges
Factor investing challenges: unintended sector biases
Factor investing challenges: unintended sector biases
Factor-based allocation has become increasingly popular in recent years.
31-03-2017 | Factor investing challenges
The smart beta ETF vogue is no threat to factor investing
The smart beta ETF vogue is no threat to factor investing
The success of smart beta ETFs has raised concerns over a possible ‘overcrowding’ of factor strategies.
29-03-2017 | リサーチ
Decomposing fundamental indexation?
Decomposing fundamental indexation?
Previous studies have shown that the value added by fundamental indexation strategies is entirely driven by their implicit exposure to the classic value premium.
22-03-2017 | From the field
Is smart beta performance driven by rising valuations?
Is smart beta performance driven by rising valuations?
Rob Arnott, argues that the good recent performance of many smart beta strategies has mainly been driven by rising valuations.
08-03-2017 | From the field
The case against the size premium
The case against the size premium
This Research Affiliates research note argues that the size premium does not exist.
14-12-2016 | From the field
Factor investing revisited
Factor investing revisited
Does strategic allocation to well-know factors really work?
15-09-2015 | リサーチ
The Dark Side of Passive Investing
The Dark Side of Passive Investing
Passive investing ranks among the most successful innovations of modern finance.
15-11-2014 | リサーチ
On the expected performance of market timing strategies
On the expected performance of market timing strategies
We derive expressions for the information ratio (IR) that can be expected from directional market-timing strategies.
14-11-2014 | リサーチ
Factor investing: why implementation is important
Factor investing: why implementation is important
Factor investing is becoming more popular.
19-09-2014 | インサイト
How factor investing fits into active vs passive
How factor investing fits into active vs passive
Why factor investing makes sense.
19-09-2014 | ビデオ
‘There are clear benefits in combining separate quant and fundamental strategies’
‘There are clear benefits in combining separate quant and fundamental strategies’
APG states that combining separate quantitative and fundamental strategies has clear benefits.
27-06-2014 | インサイト
Strategic allocation to premiums in the equity market
Strategic allocation to premiums in the equity market
Investors typically include equities in their asset allocation to earn the expected equity premium.
15-04-2012 | リサーチ
GTAA: applying Value and Momentum across asset classes
GTAA: applying Value and Momentum across asset classes
We examined global tactical asset allocation (GTAA) strategies across a broad range of asset classes.
15-11-2008 | リサーチ