PGGM Questions Over-diversification and Benchmarks Asset Owners, Factors, Quant & Systematic, Leadership & Management Most 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 Factors, Quant & Systematic, Innovation Systematic 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? Factors, Quant & Systematic BlackRock’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
What Trait Psychology Tells Us about Factor Investing Factors, Quant & Systematic, MarketFox MarketFox 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 Crisis Asset Allocation & Strategy, Factors, Quant & Systematic, Private & Alternative Markets Crisis 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 & Strategy, Factors, Quant & Systematic, MarketFox In this final instalment on quants, 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 limits. […] Read More
Quants Part II – Quants and Market Timing Factors, Quant & Systematic, MarketFox In part two of the series ‘Quants and Market Timing’, MarketFox columnist Daniel Grioli draws attention to the point that the tools available to us for measuring determine how we phrase questions and hence influences the outcomes. Read More
Alpha’s Loss of Mystery Factors, Quant & Systematic, Private & Alternative Markets If you can explain a source of alpha, then is it still alpha? Read More
Quants Part I: Are Quants the Chiropractors of Finance? Behavioural Finance, Factors, Quant & Systematic, MarketFox The danger of relying too much on quantitative models is the implicit belief that unless something can be measured and identified as a factor it doesn’t really exist, Daniel Grioli writes. Read More
