Browsing: factor research

Posts Tagged ‘ factor research ’

How to Evaluate Smart Beta ETFs

Dec 8th, 2019 | Filed under: Newly Added, The A.I. Industry, Liquid Alternative Investiments, ETFs, Smart Beta, Allocating to A.I., Other Topics in A.I.

By Nicolas Rabener of FactorResearch (@FactorResearch) Beta is like ice cream and comes in many flavors. Broadly we can categorize it into the following four types: Plain beta: Market capitalization-weighted benchmark indices like the S&P 500 or FTSE 100. Smart beta: Indices with tilts to factors backed by academic andRead More


The Case Against REITs

Nov 9th, 2019 | Filed under: Newly Added, Real Estate, The A.I. Industry, Liquid and Fixed Income Real Estate, Other Issues in Private Investments, Real Estate Equity Investments, Real Assets

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION Surveys often reveal investor behaviour that is challenging to understand. For example, Preqin’s Alternative Investor Outlook for H2 2019 highlighted the following: 65% of institutional investors believe that real estate is overvalued and a correction likely to occur in 2019, 2020, or beyond.Read More


Low Vol vs Option-Based Strategies

Oct 6th, 2019 | Filed under: Newly Added, The A.I. Industry, Risk management, Risk Metrics and Measurement, Risk Management Strategies & Processes

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION Some investment products and strategies can be considered toxic given their history on Wall Street. Portfolio insurance is rarely used in marketing materials, given its role in the 1987 stock market crash. CDO-Squared instruments and structured investment vehicles (SIVs) are also unlikely toRead More


PORTFOLIO PROTECTION VIA MANAGED FUTURES LIQUID ALTS?

Sep 8th, 2019 | Filed under: Newly Added, Commodities, Hedge Fund Strategies, CTA, The A.I. Industry, Investing in Commodities, Liquid Alternative Investiments, Alternative Mutual Funds, Hedge Funds, Liquid Alts, Commodities, ETFs, Macro and Managed Futures Funds, Allocating to A.I., Other Topics in A.I.

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION The mafia and the hedge fund industry share some characteristics. Both are powerful, non-transparent, and create little value for society. Naturally the mafia is a criminal organization while the only “criminal” element of hedge funds are the high fees they are charging forRead More


QUANT STRATEGIES: THEORY VS. REALITY

Aug 11th, 2019 | Filed under: Newly Added, Algorithmic and high-frequency trading, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Liquid Alternative Investiments, Hedge Funds, Smart Beta, Other Topics in A.I.

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION When pitching an investment product with a backtested history the frequent response from potential investors is that they have never seen a bad backtest. Naturally this is true as there is no point in marketing a strategy with a poor backtest as investorsRead More


ESG: WHAT’S UNDER THE HOOD?

Jul 14th, 2019 | Filed under: Newly Added, Social investing, The A.I. Industry, Socially responsible investing, SRI and Clean Energy

By Nicolas Rabener of FactorResearch (@FactorResearch) ESG INVESTING – SIMPLE OR COMPLEX? Investing is complicated as it is simple and complex at the same time. Common advice for new investors is to pursue a buy-and-hold approach for long-term wealth creation. Although this strategy has worked out great in the U.S.Read More


A HORSE RACE OF LIQUID ALTERNATIVES

Jun 13th, 2019 | Filed under: Newly Added, Hedge Fund Strategies, CTA, The A.I. Industry, Investing in Commodities, Equity Hedge Funds, Liquid Alternative Investiments, Hedge Funds, Liquid Alts, Commodities, ETFs, Macro and Managed Futures Funds, Other Topics in A.I.

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION Investing is challenging as it is complex and complicated, which requires continuous learning and updating of mental frameworks. Conflicts and contradictions are found everywhere. For example, data from the mutual fund industry shows that most funds fail to outperform their benchmarks, but investors inRead More


HEDGE FUND ETFS: BETTER THAN THE ORIGINALS

May 12th, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Retail Investing, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Hedge Funds, Event-Driven Hedge Funds, Alternative Investments in Context, ETFs, Macro and Managed Futures Funds, Relative Value Hedge Funds, Allocating to A.I.

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION As Amazon has been decimating large parts of the retail industry over the last two decades, ETFs have done the equivalent to the mutual fund industry in the financial world. Today ETFs are covering nearly all areas of the markets, no matter howRead More


REPLICATING FAMOUS HEDGE FUNDS

Apr 21st, 2019 | Filed under: Newly Added, Hedge Fund Strategies, The A.I. Industry, Alternative Beta & Hedge Fund Replication, Hedge Funds

By Nicolas Rabener @Factor Research INTRODUCTION In 1973, the U.S. Food and Drug Administration (FDA) published the first regulations that required the nutrition labeling of certain foods as consumers were left in the dark about what they were eating. The regulations evolved and culminated in the widely-recognized nutrition facts panelRead More


BLACK SWANS, MAJOR EVENTS & FACTOR RETURNS

Mar 24th, 2019 | Filed under: Newly Added, The A.I. Industry, Risk management, The Global Economy & Currencies, Economics, Risk Management Strategies & Processes, Macroeconomics, Finance & Economics

By Nicolas Rabener of FactorResearch INTRODUCTION Investors fear black swan events, although it can be argued that this fear is irrational. The black swan theory is a metaphor that describes a surprise event that has a major impact and is often rationalized with hindsight. A recent example would be theRead More


CORPORATE DEBT IN THE CHINESE STOCK MARKET

Jan 17th, 2019 | Filed under: Newly Added, The A.I. Industry, The Global Economy & Currencies, Economics, Frontier markets, Macroeconomics, Finance & Economics

By Nicolas Rabener, CAIA, Factor Research Summary: China exhibits the world’s highest corporate debt as % of GDP However, Chinese stocks are not significantly more levered than U.S. stocks Asset and debt growth has stalled in 2018, likely indicating an economic slowdown INTRODUCTION The McKinsey Global Institute published an influentialRead More


FACTOR INVESTING MADE IN CHINA Harvesting Factor Returns in the Middle Kingdom

Dec 13th, 2018 | Filed under: Newly Added, The A.I. Industry, The Global Economy & Currencies, Economics, Macroeconomics, Finance & Economics

By Nicolas Rabener, CAIA, Factor Research Summary: Common equity factors generated attractive risk-adjusted returns in the Chinese stock market Factor performance in China often mirrors global factor performance Indicates common factor drivers that permeate even emerging and isolated markets INTRODUCTION Economic news like changes in GDP growth are frequently usedRead More


THE RISE OF ZOMBIE STOCKS: The Dead versus the Living

Nov 16th, 2018 | Filed under: Newly Added, The A.I. Industry, Other Topics in A.I.

By Nicolas Rabener, CAIA, Factor Research The Bank for International Settlements (BIS) recently published research on the rise of zombie companies, which are firms where operating profits are below interest rate payments. The research highlights that the number of these companies is proportionally increasing and that these are less productiveRead More


Does Strong Economic Growth Equate to High Factor Returns?

Mar 12th, 2018 | Filed under: Newly Added, Other Topics in A.I.

By Nicolas Rabener, CAIA, Factor Research EQUITY FACTORS & REAL GDP GROWTH Summary: Economic cycles have a clear impact on factor performance Some factors show pro-cyclical while others highlight anti-cyclical characteristics Given that real GDP is not published in real-time, it is unlikely effective for factor selection INTRODUCTION Financial commentators frequentlyRead More


FACTOR INVESTING: GROSS TO NET RETURNS

Jan 15th, 2018 | Filed under: Newly Added, Hedge Fund Industry Trends, The A.I. Industry, Hedge Funds, Fees

By Nicolas Rabener, FactorResearch From Theory to Reality Summary: Long-short multi-factor portfolios generate attractive returns before fees Post fees charged historically returns are much less attractive However, some fees in the long-short space are likely justified given higher complexity INTRODUCTION Reality is the murder of a beautiful theory by aRead More


QUANT STRATEGIES IN THE CRYPTOCURRENCY SPACE

Nov 21st, 2017 | Filed under: Newly Added, Emerging Alternative Investments, Digital currencies, Other Topics in A.I.

By Nicolas Rabener, FactorResearch Factor Investing in the Wild West of Financial Markets Summary: Cryptocurrencies have reached a market capitalisation of > $150bn Backtesting quantitative strategies is difficult given a limited trading history & universe Short-term Momentum works very well, classic factor investing strategies less so INTRODUCTION The year 2017Read More