Browsing: factor-based investing

Posts Tagged ‘ factor-based investing ’

ESG vs Low-Carbon Investing

Mar 1st, 2020 | Filed under: Newly Added, Liquid Alts, ESG, ETFs, The A.I. Industry, Liquid Alternative Investiments, Allocating to A.I., Other Topics in A.I.

By Nicolas Rabener of FactorResearch @FactorResearch INTRODUCTION Investors seeking exposure to global equities with a low carbon footprint could consider the iShares MSCI ACWI Low Carbon ETF (CRBN) or SPDR MSCI ACWI Low Carbon ETF (LOWC). CRBN has $500 million of assets under management, compared with $90 million for LOWC.Read More


Alpha Comes in Waves

Feb 20th, 2020 | Filed under: Retail Investing, Newly Added, Alternative Beta & Hedge Fund Replication, Smart Beta, The A.I. Industry, Hedge Funds, Liquid Alternative Investiments, Commodities, Structure of the Hedge Funds Industry, Allocating to A.I.

The brief history of replication funds may already be divided into three waves, the third of which is still in formation. The first wave was about democratization: putting hedge fund strategies in the hands of people who cannot meet the accreditation requirements to invest in hedge funds proper, or ofRead More


How Expensive Are ESG Stocks?

Jan 12th, 2020 | Filed under: Social investing, Newly Added, Socially responsible investing, The A.I. Industry, Other Topics in A.I.

By Nicolas Rabener, FactorResearch (@FactorResearch) INTRODUCTION Europeans seem far more focused on the environment than Americans, which might be considered unusual given that both share an interest in the outdoors and have great national parks. Perhaps this is explained by Europe’s higher population density, which puts living space at aRead More


The Case Against REITs

Nov 9th, 2019 | Filed under: Real Estate, Liquid and Fixed Income Real Estate, Newly Added, Other Issues in Private Investments, The A.I. Industry, 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, Risk management, Risk Metrics and Measurement, The A.I. Industry, 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: Commodities, Hedge Fund Strategies, CTA, Investing in Commodities, Newly Added, Alternative Mutual Funds, Liquid Alts, ETFs, The A.I. Industry, Macro and Managed Futures Funds, Hedge Funds, Liquid Alternative Investiments, Commodities, 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


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

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


Unsophisticated Techniques of Equity Factor Investing Still Prevail

Feb 1st, 2018 | Filed under: Alpha & Beta, Newly Added, Institutional Investing, Asset allocation, Asset Allocation Models, Institutional Asset Management, Allocating to A.I.

EDHEC Risk Institute, in collaboration with ERI Scientific Beta, surveyed 114 investment professionals between June and September 2017 about their motivation and interests with regard to equity factor strategies. It found that many, especially on the asset owners’ side of things, were strikingly distant from the state-of-the-art in analytical approachesRead More


FACTOR RETURNS: SMALL VS. LARGE CAPS

Nov 1st, 2017 | Filed under: Newly Added, Finance & Economics, Other Topics in A.I.

By Nicolas Rabener, FactorResearch Are Factor Returns Limited to Small Caps? Summary: A frequent criticism of factor investing is that factor returns are stronger in small caps; Our research highlights that this is not uniformly true across factors; and Value and Size benefit most from including small caps. INTRODUCTION FactorRead More