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

Analyzing Floating Rate ETFs

Floating rate ETFs pursue differentiated strategies. Some of them are highly correlated to equities, limiting any diversification benefits. The correlation with interest rates and inflation has been low.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 18 January 2022

Factor Olympics Q4 2021

2021 was a year of moderate factor performance. Value, Quality, and Low Volatility factors generated positive returns. Momentum and Size were negative.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 4 January 2022

How Much Does a VC Need to Make?

Venture capital funds are highly sensitive to exit multiples given the skewed ratio of winners vs losers. The average venture capital fund has achieved the same return as the Nasdaq since 2001. The growth expectations for startups increase significan...
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 21 December 2021

Stock Market Returns and Volatility

Average stock market returns are similar regardless if volatility was high or low. However, given skewed returns, it was not attractive investing when volatility was high. Unfortunately implementing a strategy to avoid high volatility periods is emot...
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 15 December 2021

ETFs for Rising Interest Rates

A wide range of strategies are marketed as beneficiaries of rising interest rates. Portfolios are comprised of equities, bonds, options, long as well as short positions. However, only financial services companies and short bonds offer a positive corr...
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 13 December 2021

Building a Long-Term Equity Portfolio

With a long-term time horizon, investors should consider alternatives to the market-cap weighted equity indices. A valuation-based approach for creating an equities portfolio may seem more sensible. Using EBITDA / EV yield seems to avoid some of the....
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 29 November 2021