06 September 2019
Investing
Is there a cost to sustainability?
Measuring the factor exposures of ESG and low-carbon investing in equities The rewards of being socially responsible Blending an ESG […]
06 September 2019
16 July 2018
Investing
Multi-factor investing: the new generation of quantitative processes
Just as it can be irritating to hear someone say “things used to be better than they are now”, it […]
30 April 2018
Investing
Can we still beat the S&P 500? A multi-factor approach can!
The market in US large-cap equities is the most liquid and competitive one among equity markets in developed countries. I […]
05 October 2017
Investing
Edgar Lawrence Smith: the equity (risk) premium
The history of modern day asset management arguably begins with the finding that bonds are actually not the only way […]
21 September 2017
Investing
Smart beta without the beta
Absolute return is seen as the holy grail of asset management: pure performance without market risk. Theoretically, any source of […]
12 September 2017
Investing
How does ‘quantamental’ fit with factor investing?
‘Quantamental’ is a relatively new portmanteau word in asset management lingo. Its creation is indicative of a trend in our […]
07 September 2017
Investing
Momentum and individualism: another stereotype built on sand…
The momentum factor is the tendancy for stocks to show persistence in performance. In financial markets it can be thought […]
04 May 2017
Investing
Factor investing is NOT an asset class but a solution-oriented philosophy
For some years now, ‘factor investing and smart beta’ has been the hot topic in the financial media. While saturation […]
03 April 2017
Investing
Can we beat the S&P 500?
US large-cap equities constitute the most liquid and competitive segment among developed equity markets. I often meet investors who believe […]
27 February 2017
Investing
Feeling the factors: how to represent factor exposures
Please note that this article may contain technical language. For this reason, it is not recommended to readers without professional […]
23 February 2017
Investing
Sample size matters
Trying to predict the result of rolling a single dice is notoriously difficult, but predicting the average result from 1 […]
06 December 2016
Investing
How factor investing helps to manage constraints
Adding a constraint to any investment management process can only reduce its efficacy. However, investors often have explicit or implicit […]
01 December 2016
Investing
Overcrowding and other fallacious concerns about factor investing
Factor investing is popular. As frequently happens when the consensus advocates a particular approach to investing and it becomes part […]
25 November 2016
Investing
Resisting the temptation of factor timing
Following a series of posts discussing factor investing with a focus on premiums derived from exposures to the value, quality, […]
24 October 2016
Investing
Is equity factor investing an improvement compared to traditional quantitative strategies?
Factors have been around for quite some time. Most were discovered decades ago and were applied in investment strategies both […]
28 September 2016
Investing
Low volatility, the hidden factor
Robert Haugen, who discovered the low-volatility anomaly in 1972, wrote numerous articles and books to try to popularise what he […]
21 September 2016
Investing
Momentum, the unloved factor
Momentum is unloved: being a good follower is rarely seen as a strength, and few asset managers would brag about […]
19 September 2016
Investing
Quality, the positive factor
Quality is positive: it is about good companies that are efficient at managing their businesses profitably, creating shareholder value and […]
