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.
Alternative products with uncorrelated returns do not necessarily provide diversification benefits. Out of 10 alternatives ETFs, only one product improved the Sharpe ratio of a 60/40 portfolio. Correlations should be regarded carefully in fund select...
CTAs pursue trends across asset classes, regardless if long or short. 2022 is exceptional as CTAs have more short positions than during the GFC. No single long bond index position remains, fixed income is one big short.
CTAs have become popular again given their positive returns in 2022. However, they are typically difficult to grasp given their ever-changing portfolios. Building a CTA from scratch is not complicated and reduces the opaqueness.
The S&P 500 increased during two of the three largest wars of the United States. Value, size, and momentum factors had positive returns during WW II. The top and worst-performing industries during WW II were diverse.