CalSTRS Evolves Risk Mitigation Strategy Asset Owners, Factors, Quant & SystematicCalSTRS portfolio manager Carrie Lo looks back on how markets tested the risk mitigation model. But the US pension fund stuck with it and has now expanded the strategy, adding systematic risk premia strategies to the portfolio. Read More
It’s Time to Sin a Little Equities, Factors, Quant & SystematicAQR has always questioned the merits of factor timing, stating it is too difficult to do consistently well. But valuations have now become so irrational that even they believe a skew towards value is warranted. It is time to sin a little. Read More
In Search of True Factors Factors, Quant & SystematicDetermining the true expression of a factor is difficult, but a factor should give an investor something that traditional asset classes don’t, Janus Henderson’s David Elms says. Read More
AustralianSuper Scales up Machine Learning Asset Owners, Equities, Factors, Quant & SystematicAustralianSuper started its first machine-learning strategy only two years ago, but already it has become a near core strategy and has a substantial amount of money running in it. Read More
The Illusion of Rationality Behavioural Finance, Factors, Quant & SystematicNot all problems are computable and there is good reasons to believe that many investment problems fall into this category, Professor Carsten Murawski of the Brain, Mind & Markets Lab says. Read More
Does Your ESG Policy Breach Fiduciary Duty? ESG, Factors, Quant & SystematicThere are limits to how much of an ESG tilt you can introduce to your portfolio before it becomes more risky than a market index. But what is too much? Harin de Silva of Analytic Investors has found a way to measure this. Read More
No Data Lakes Please! Factors, Quant & SystematicGideon Smith believes machine learning will offer investors plenty of opportunities to create a special sauce for their investment process. But if you think it is simply about capturing large amounts of data, then you’ve got it wrong, he says. Read More
An Ode to Crowding Equities, Factors, Quant & Systematic, Risk and RegulationInvestors should learn to love crowding, Wells Fargo’s Wai Lee says. Read More
To Time or not to Time Factors? Factors, Quant & SystematicIt has sometimes been portrayed as the Battle of the Quants. For some years now, AQR founder Cliff Asness and Research Affiliates founder Rob Arnott have been at loggerheads over the question of whether you can time factors or not. And it is a question that has occupied the minds of many asset owners, not […] Read More
