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 articles from FactorResearch

LOW VOLATILITY FACTOR: HIGH VALUATION

The Low Volatility factor has generated stellar abnormal returns over the last decades. Current factor valuations are expensive compared to historical valuations. Factor volatility is at record lows and will likely surprise investors going forward.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 15 October 2021

QUALITY FACTOR: HOW TO DEFINE IT?

Different Quality definitions result in dramatically different return profiles. Questionable if there is structural alpha in the Quality factor. Investors would not have benefited significantly from exposure to Quality in the GFC.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 14 October 2021

FACTORS & VOLATILITY-BASED RISK MANAGEMENT

A common approach to factor allocation is to scale exposure by factor volatility. This approach improves the risk-return ratios of Momentum, but lowers them for Value and Size. Factors have different underlying drivers, which require different risk m...
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 13 October 2021

EQUITY FACTORS IN JAPAN

Japan has unique characteristics from an economic perspective. Factor performance in Japan mirrors global factor performance. Debt & demographics seem to matter less than underlying factor drivers.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 12 October 2021

Less Efficient Markets = Higher Alpha?

Emerging market mutual fund managers struggle to outperform. EM hedge fund managers failed to generate meaningful alpha. EM opportunities seem to come with proportional risks.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 11 October 2021

SMART BETA VS FACTORS IN PORTFOLIO CONSTRUCTION

Investors seek smart beta products for risk reduction. However, smart beta products are effectively long-only products with full equity risk. Only factor products, i.e. long-short portfolios, offer true diversification benefits and downside protectio...
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 7 October 2021