Identifying value stocks with machine learning
Machine learning (ML) mispricing models are designed to detect hidden nonlinearities that are important in predicting the fundamental value of stocks.
26-09-2022 | Research
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 | Insight
Beyond Fama-French: alpha from short-term signals
We believe positive net alpha from established short-term signals can be harvested practically by investors.
31-05-2022 | Research
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 | Insight
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 | Insight
What valuations and interest rates tell us about equity factors
Single and multi-factor equity portfolios are currently very attractively valued and factor premiums persist across interest rate cycles.
04-10-2021 | Insight
Active ownership: Challenge Accepted – Engage to change
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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 | Insight
Spring has sprung for Value investing
Despite the recent rally in cheap stocks, we believe the Value upswing still has a way to go.
12-05-2021 | Insight
How to navigate the equity ‘factor zoo’
The number of equity factors reported in the academic literature has exploded.
27-03-2020 | Research