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Insights

Quant solutions must look beyond the most conventional factors
Quant solutions must look beyond the most conventional factors
Quant strategies have come under pressure over the past two years.
24-11-2020 | Interview
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
Aligning multi-factor credit strategies with the SDGs
Aligning multi-factor credit strategies with the SDGs
We present the latest innovation in our sustainable investing approach.
03-11-2020 | Insight
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-Year outlook
Is there value in fallen angels?
Is there value in fallen angels?
Credit downgrades can be an opportunity for high yield investors.
29-10-2020 | Insight
Restoring the battered Value factor in equities
Restoring the battered Value factor in equities
The recent dreadful performance of the academic Value equity factor has been a blow for many investors.
20-10-2020 | Insight
There is more to factor investing than just Fama-French
There is more to factor investing than just Fama-French
The period of 2010-2019 was a lost decade for the five Fama-French factors, leading many to question whether Value was dead and whether Size had ever worked at all.
09-10-2020 | Video
Settling the Size matter in equities
Settling the Size matter in equities
The equity Size premium has failed to materialize since its discovery, almost forty years ago.
23-09-2020 | Research
Will Value survive the quant winter?
Will Value survive the quant winter?
The Value factor posted excellent returns over the first decade of the century.
01-09-2020 | Insight
Factor investing debates: Should sustainability be considered a factor?
Factor investing debates: Should sustainability be considered a factor?
Factor investing and sustainability can make a good combination.
20-07-2020 | Insight
New study reveals: you can predict when interest rates will rise
New study reveals: you can predict when interest rates will rise
Over the past decades, many empirical studies have examined the predictability of interest rates, so far with mixed results.
30-06-2020 | Insight
Data sets - the idiosyncratic momentum factor
Data sets - the idiosyncratic momentum factor
A research-driven approach is at the core of everything we do.
23-06-2020 | Data sets
Factor investing debates: Should you time your factor exposures?
Factor investing debates: Should you time your factor exposures?
The debate on whether investors should tactically time their factor exposures is almost as old as the discovery of factors.
22-06-2020 | Insight
Defining Quality: separating the wheat from the chaff
Defining Quality: separating the wheat from the chaff
Quality is a commonly accepted equity factor.
18-06-2020 | Research
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
Reducing the carbon intensity of multi-factor credits strategies
Reducing the carbon intensity of multi-factor credits strategies
Quantitative investment strategies lend themselves well to integrating secondary objectives, such as reducing carbon intensity.
27-05-2020 | Insight
Solving the sustainable investment dilemma
Solving the sustainable investment dilemma
Combining quant and sustainable investing efficiently requires expertise.
25-05-2020 | Interview
Value ain’t dead
Value ain’t dead
Value stocks have underperformed growth stocks over the past decade.
20-05-2020 | From the field
Podcast: Some factors are more equal than others
Podcast: Some factors are more equal than others
Is Value broken?
14-05-2020 | Podcast
Factor investing: will the benefit of having a small and mid-cap tilt return?
Factor investing: will the benefit of having a small and mid-cap tilt return?
The March 2020 market sell-off hit small and mid-caps stocks especially hard.
11-05-2020 | Insight
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 | Research
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
Equity styles and the Spanish flu
Equity styles and the Spanish flu
Covid-19 first appeared at the start of December 2019.
02-04-2020 | Insight
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 | Research
Enhanced indexing solutions for insurers
Enhanced indexing solutions for insurers
Over the past decade, investors have operated a massive shift from actively managed strategies into passive ones.
26-03-2020 | Insight
When markets get tough, quant funds stick with their factors
When markets get tough, quant funds stick with their factors
As rules-based investors, quant investors exploit human reactions to market movements.
19-03-2020 | Video
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
Simplistic factor models may get arbitraged out of existence
Simplistic factor models may get arbitraged out of existence
Which financial innovations will investors remember 20 years from now?
26-02-2020 | Interview
Bringing the quant research and the production data together
Bringing the quant research and the production data together
Researching, designing and implementing top-notch quantitative investment strategies requires good data sources.
24-02-2020 | Insight
Factor investing debates: Are fees the most important variable in product selection?
Factor investing debates: Are fees the most important variable in product selection?
To choose a product, investors tend to rely on a few easy-to-grasp variables, like recent performance and, increasingly, fees.
14-02-2020 | Insight
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