To Time or not to Time Factors? Factor InvestingIt 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
PKA raises Questions about Factors Asset Allocation, Factor InvestingDanish pension fund PKA was one of the first institutional investors to implement a factor-based investment approach. But the recent dismal performance of these strategies is testing the faith of the fund, Deputy CIO Michael Flycht says. Read More
PGGM Questions Over-diversification and Benchmarks Factor Investing, In-house management, StrategyMost asset owners are over-diversified and rely too much on market capitalisation weighted benchmarks for them to deliver optimal long term pension benefits, Dutch pension fund PGGM says. Read More
Forget Big Data, It’s about Tiny Data: Two Sigma Factor Investing, InnovationSystematic investing today is about finding signals in lots of tiny data and you need humans to give it context, Two Sigma CEO says. Read More
Does Factor Investing Work in Private Markets? Factor InvestingBlackRock’s Andrew Ang believes that ultimately all investment returns can be explained by factors. But you would be wrong to think this means you can package each asset class neatly up into an exchange-traded fund. Read More
HK Shows Careful Optimism on Annuities Factor InvestingThis month the Hong Kong Mortgage Corporation will launch lifetime annuities for retirees. Schroders took the pulse of Hong Kong’s residents to see how enthusiastic they are about these products. Read More
What Trait Psychology Tells Us about Factor Investing Factor Investing, MarketFoxMarketFox columnist Daniel Grioli looks at the similarities in statistical methods between trait psychology and factor investing, and considers what this might tell us about our investment framework. Read More
Seeking Alpha in Crises Asset Allocation, Factor Investing, Innovation, Private & Alternative MarketsCrisis risk offset sleeves have drawn increasingly more attention from institutional investors, but what do these portfolios actually contain? With bond yields at historic low levels and interest rates rising many institutional investors are questioning whether the negative correlation between equities and bonds – the very foundation of the widely used ‘balance portfolio’ in the […] Read More
Quants Part III – Using the Right Tools for the Job Asset Allocation, Factor Investing, MarketFoxIn this final instalment on quantitative techniques, MarketFox columnist Daniel Grioli looks at the influence of investors’ time horizon on the usefulness of quantitative techniques. I’ve received several comments from readers defending the usefulness of quantitative techniques. They are definitely useful and they have been widely adopted. Which is why its important to understand their […] Read More
