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

Option Based Strategies: Opt In or Opt Out?

Option-based strategies generated better risk-adjusted returns than the S&P 500 over the last 30 years. Investors should be wary of buying options and focus on harvesting the volatility risk premium by writing options. Option-based strategies are an....
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 14 May 2021

Hedge Fund ETFs

Core hedge fund strategies are available as low-cost and transparent ETFs. The performance of hedge fund ETFs has been comparable to that of their benchmarks. ETFs have only captured 1% of hedge fund assets.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 13 May 2021

Improving the Momentum Factor

The performance of the Momentum factor in the US has been poor since 2000. Fundamental valuation spreads were ineffective for improving the performance. Combinations with other factors and factor volatility filters would have yielded better results.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 13 May 2021

Cheap vs Expensive Countries

A global value portfolio on country level features structural country biases. Returns were positive since 1990, but lacked consistency. Value on country and single stock level exhibit the same trends, highlighting common performance drivers.
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 12 May 2021

How to Allocate Smartly to Smart Beta?

Single factor excess returns are attractive over the long-term, less in the short-term. Comparing popular asset allocation models does not highlight one superior methodology. Multi-factor portfolios generated excess returns in two out of three region...
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 12 May 2021

The Case Against Small Caps

The performance of the Size factor in the US was positive since 1926, but not particularly attractive. Returns in Europe were more favorable, but not in Japan. Alternative metrics to market capitalization would not have resulted in better performance...
FactorResearch Nicolas
Nicolas Rabener @ FactorResearch 11 May 2021