Professional and academic papers using quantitative methods. All of the research in this section is either about the use of quant techniques, or uses quant methodology (mathematical formulae) within the text. The most viewed quant research in this section are papers focused on alpha strategies, particularly for tactical asset allocation. A key issue for quant analysts here is the robustness and validity of the quant model. One paper refers to the risk of "pseudo-mathematics" and "financial charlatanism", when data is... mined to conceive spurious relationships which don't survive out-of-sample. Therefore, quant papers providing a statistical framework for assessing the robustness of quantitative models (and reducing the risk of overfitting) have generated a lot of interest. Our most downloaded quant research in this section includes papers on risk estimation, performance attribution, big data and risk premia. Other popular reports and white papers cover risk factors and smart beta / scientific beta / alternative beta.
This study provides an important extension of existing research on the performance of options-based strategies by considering the impact of the inclusion of option-based equity strategies in diversified institutional portfolios. Specifically, the analysis assesses the historical impact of the application of rules-based…
This paper tries to forecast exchange rates by comparing forecasting methods that take into account cointegration and methods that do not. The first finding is that taking into account cointegration provides better forecasting results. Furthermore, the factor model with cointegration provides the smallest forecasting errors…
This paper by Verus Investments analyzes some practical examples of the capital allocation process through the lens of a framework that aligns the components of the capital allocation process with the return objective. It shows how it can provide a feedback loop for stakeholders to allow them to monitor the status of their…
The S&P GIVI (Global Intrinsic Value Index) Japan underperformed its benchmark index, the S&P Japan BMI, by 0.63% in Q3 2019. Since its launch in March 2012, the S&P GIVI Japan has outperformed its benchmark index by 0.30% per year, with a tracking error of 2.50%.
This paper analyzes the returns and risk-adjusted returns of factor-based investment strategies in equities in comparison with the global equity market over the period from January 1975 to May 2018. We focus in particular on the characteristics of factor strategies in the business cycle. It is undisputed in academic research…
Investors fear return uncertainty and drawdowns associated with owning relatively risky asset classes, such as equity. The fact that greater risk is associated with greater expected return does not preclude the possibility that realized returns may be far less than a low-risk asset could provide, even with horizons as long…
Fixed income investing has undergone a sea change in the past decade. By tossing out some active management orthodoxies and embracing new technologies and quantitative techniques, the authors of this paper believe that some managers are better equipped to capture unique insights and excess returns for their clients. Several…
Fixed income investing has undergone a sea change in the past decade. By tossing out some active management orthodoxies and embracing new technologies and quantitative techniques, the authors of this paper believe that some managers are better equipped to capture unique insights and excess returns for their clients. Several…
Fixed income investing has undergone a sea change in the past decade. By tossing out some active management orthodoxies and embracing new technologies and quantitative techniques, the authors of this paper believe that some managers are better equipped to capture unique insights and excess returns for their clients. Several…
Multi-factor portfolios that are built starting at the individual stock level can help target desired exposures more precisely and lead to better outcomes. This recent paper by AGF explores this topic in further detail.
With growing concerns around climate change, are institutional investors moving money into low-carbon strategies? This research examines institutional flows into and out of decarbonization factors in addition to their impact on alpha.
Investing is the ultimate numbers game and smart number crunchers tend to be good at it. So, artificial intelligence (AI) as a high-capacity data processor stands a good chance at revolutionizing the investment industry. Over the past few decades, AI has risen to new prominence and expanded its capabilities on the back of…
In this session recorded at the CFA Institute Seminar for Global Investors, Robert G. Hagstrom, CFA, explains why tapping major mental models from a wide range of disciplines helps us think better about investing. He also discusses practical applications throughout the investment process—from security selection and portfolio…
Investors are increasingly looking to factor investing as a valuable tool to help achieve investment objectives. Today, possibly half of institutional investors use factor strategies for at least some portion of their portfolios. And when over 300 global institutional and wholesale investors who are already using factors…
Investors are increasingly looking to factor investing as a valuable tool to help achieve investment objectives. Today, possibly half of institutional investors use factor strategies for at least some portion of their portfolios. And when over 300 global institutional and wholesale investors who are already using factors…
This quarter as part of exploring ‘Factors in ETFs’ Tom Idzal sat down with ETF.com to talk about how factor analysis can help investors compare equity ETFs, and how it could be a critical component for ETF issuers looking for differentiation and growth.
From small data to big data, from desktops to the cloud, and from simplistic programming to machine learning, the world has been moving at a rapid pace. This Take 15 interview will cover some of the basic terminologies and then chart a map of the AI-driven landscape. The Take 15 Series is a collection of illuminating, short…
This podcast discussion, which hosts Wesley Gray of Alpha Architect as guest, illuminates the nuanced nature of factor investing, behaviour versus risk-based factor premiums and active management versus passive and indexing. Among other things, Wes also shares his views on selecting the best quant model, hedge funds, value…
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