Oh, Quality, Where Art Thou?
Highlighting the reduced upside but full downside capture of quality ETFs Q3 2020 hedge fund letters, conferences and more Summary Quality and quality income ETFs have underperformed the S&P 500 since... Read More
Musings About Factor Exposure Analysis
The challenges of regression analysis Q3 2020 hedge fund letters, conferences and more SUMMARY There are few alternatives to regression analysis when explaining investment performance Too few as well as too... Read More
Factor Olympics 2020
And the winner is… Q3 2020 hedge fund letters, conferences and more SUMMARY Momentum has been the clear winner across markets in 2020 Value has been the laggard like in recent... Read More
The Value Factor’s Pain: Are Intangibles to Blame?
What is driving the value factor? This research note was originally published by the CFA Institute’s Enterprising Investor blog. Here is the link. Q3 2020 hedge fund letters, conferences and more Summary The rise of... Read More
The Dead Versus The Living Stocks
Measuring the Zombification of Stock Markets Around the World Q3 2020 hedge fund letters, conferences and more This research note was originally published by the CAIA Association’s AllAboutAlpha blog. Here is... Read More
Don’t Get Carried Away By Carry
Observing unusual but insightful cross-asset relationships Q3 2020 hedge fund letters, conferences and more This research note was originally published by the CAIA Association’s AllAboutAlpha blog. Here is the link. SUMMARY Carry across asset classes... Read More
Factor Exposure Analysis 101
Testing the effectiveness and sensitivity of linear regressions Summary Linear regression is widely used for factor exposure analysis However, a high R2 and low p-value can be misleading Unsurprisingly the... Read More
Factor Olympics Q3 2020
And the winner is... Q2 2020 hedge fund letters, conferences and more SUMMARY Momentum & Quality are leading the performance scoreboard in Q1-3 2020 Value & Size generated negative returns, like... Read More
Does Financial Leverage Make Stocks Riskier?Â
Or asked differently, can companies boost returns via leverage? Q2 2020 hedge fund letters, conferences and more This research note was originally published by ETF Stream’s Beyond Beta Magazine. Here is... Read More
Aging & Equities: Selling Stocks for the Long-Term
The negative impact of demographics on equities Q2 2020 hedge fund letters, conferences and more This research note was originally published by the CFA Institute’s Enterprising Investor blog. Here is the link. SUMMARY There is... Read More
Merger Arbitrage: Arbitraged Away?
Another Questionable Diversification Strategy Q1 2020 hedge fund letters, conferences and more This research note was originally published by the CAIA Association’s AllAboutAlpha blog. Here is the link. SUMMARY As AUM in merger arbitrage has... Read More
Tail risk funds tend to be most in demand when they are least attractive
Fix the roof while the sun is shining. Q1 2020 hedge fund letters, conferences and more Summary Tail risk funds tend to be most in demand when they are least attractive ... Read More
Factor Olympics 2019
And the Winner is... Q3 2019 hedge fund letters, conferences and more SUMMARY As in 2018, Low Volatility produced the best and Value the worst performance Value did not recover significantly... Read More
Factor Investing In Emerging Markets
Is It Worth It? Q3 2019 hedge fund letters, conferences and more SUMMARY The trends in factor performance are similar in emerging and developed markets Factor returns were higher in emerging... Read More
Low Volatility Vs Option-Based Strategies
Core Equity Alternatives Q3 2019 hedge fund letters, conferences and more This research note was originally published by the CAIA Association’s AllAboutAlpha blog. Here is the link. SUMMARY Option-based strategies have similar characteristics to Low... Read More
Factor Investing On Country Level
Away with Stocks? Q2 hedge fund letters, conference, scoops etc SUMMARY Investors can harvest returns from common equity factors on country level Returns are consistent when combined into a multi-factor portfolio ... Read More
Quant Strategies: Theory vs Reality
Can Returns Seen in Research Be Achieved? Q2 hedge fund letters, conference, scoops etc This research note was originally published by the CAIA Association’s AllAboutAlpha blog. Here is the link. SUMMARY The live performance of... Read More
Mapping My Mind: Value Factor
What have I learned so far? Q1 hedge fund letters, conference, scoops etc SUMMARY There is consistency in the performance of the Value factor across markets and asset classes Allows to... Read More
Factor Olympics 1H 2019
And the Winner is... Q1 hedge fund letters, conference, scoops etc Summary Most factors generated positive returns in 1H 2019 Low Volatility produced the best and Value the worst performance Factor... Read More
The Case Against Small Caps
Testing Alternative Metrics to Market Capitalization Q1 hedge fund letters, conference, scoops etc This research note was originally published by the CFA Institute’s Enterprising Investor blog. Here is the link. SUMMARY The performance of the... Read More
How To Allocate Smartly To Smart Beta
Takeaway versus Home-Cooked Investing Q1 hedge fund letters, conference, scoops etc This research note was originally published in the Beyond Beta magazine from ETF Stream. Here is the link. Summary Single factor excess... Read More
Cheap Versus Expensive Countries
Value on Country Level Q1 hedge fund letters, conference, scoops etc SUMMARY A global value portfolio on country level features structural country biases Returns were positive since 1990, but lacked consistency ... Read More
