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

IMPACT OF SINGLE STOCKS ON FACTOR RETURNS

Factor portfolios are typically created by equal weighting stocks. The impact of single stocks is therefore reduced compared to market-cap weighted indices. The FAANG stocks impacted factors differently.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 23 July 2021

STOCK PORTFOLIO OPTIMISATION

Portfolios frequently contain stocks representing duplicate factor risks or insignificant weights. An optimisation process focused on factor exposure can increase the portfolio efficiency. Increasing or decreasing factor exposure requires a view on e...
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 22 July 2021

FACTORS: SHORTING STOCKS VS THE INDEX

Most factor investing research is based on long-short stock portfolios. Investible risk premia strategies often feature a short index position. Trade-off between theoretical alpha and implementation costs & efficiency.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 20 July 2021

MOMENTUM VARIATIONS

The simplicity of the Momentum factor can be intellectually challenging. Various alternative Momentum versions highlight remarkable similar return profiles. The robustness is an attractive characteristic of the investment strategy.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 16 July 2021

FACTOR EXPOSURE: SMART BETA ETFS VS MUTUAL FUNDS

Investors can express factor views via smart beta ETFs or mutual funds. Some mutual funds offer higher factor exposure than smart beta ETFs. Given higher fees, strong views on expected factor performance are required.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 15 July 2021

HOW CROWDED ARE TECH STOCKS?

Equity crowding models can be applied to factors and sectors. Crowding leads to more frequent drawdowns. Tech sector was crowded over the last 12 months.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 13 July 2021