FactorResearch
FactorResearch

FactorResearch

Coverage: Global
FactorResearch produce research to analyse factor investing and quantitative strategies from a markets perspective. Specifically, they focus on factors, which are also called alternative risk premia or style premia, in developed equity markets.
Location: London

Analysts

Latest from FactorResearch

Defensive & Diversifying Strategies in YTD 2022

Most defensive and diversifying strategies generated negative returns in YTD 2022. The correlation of almost all of these strategies to equities was too high 3.Only managed futures generated attractive diversification benefits.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 30 June 2022

Macro Variables in Factor Exposure Analysis

Most investors treat factor and macro variables differently 2.Including macro variables improve a factor exposure analysis 3.Both should be considered simultaneously when analyzing investment portfolios.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 21 June 2022

Sector versus Factor Exposure Analysis

Investors tend to talk more about sector than factor performance. However, few investors conduct a regression-based sector exposure analysis. The high correlations of sectors, even if structured market-neutral, makes this less meaningful.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 14 June 2022

Factor Exposure Analysis of Fixed Income ETFs

Factor exposure analysis can be used in fixed income as easily as in equities. More variables improve the explanatory power of the model. However, it also can make the interpretation challenging.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 7 June 2022

Biotech Stocks: High Idiosyncratic Risks, High Alpha?

Biotechnology companies have the potential to change our lives dramatically. However, the performance of biotech stocks has been unimpressive since 1993. Fund managers have failed to generate alpha in the sector.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 31 May 2022

Risk Parity & Rising Rates

Risk parity strategies have become available via mutual funds and ETFs, but portfolio construction varies. Rising interest rates are seen as a threat and recent performance was disappointing. However, rising correlations between stocks and bonds woul...
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 24 May 2022