Factor Crowding Model: Mob Management Measures

SUMMARY Crowded factors exhibit higher drawdowns than uncrowded factors A multi-metric approach can be successfully applied to measure factor crowding Effective in reducing factor drawdowns and volatility, but less meaningful for returns Get The Timeless Reading eBook in PDF Get the entire 10-part series on Timeless Reading in PDF. Save it...

Factor Olympics 1H 2018

And the Winner is… SUMMARY Factor performance in 1H 2018 is comparable to 2017 The Size factor has taken the lead, likely reflecting the threat of global trade wars Value has generated the most negative returns across regions Get The Timeless Reading eBook in PDF Get the entire 10-part series on Timeless...

Sector Versus Country Momentum

Does Performance Chasing Work? SUMMARY The Momentum strategy can be applied to stocks, sectors and countries Sector and country Momentum portfolios generate positive excess returns However, cross sector & country and single stock Momentum portfolios generate higher risk-return ratios Get The Timeless Reading eBook in PDF Get the entire 10-part series on...

Skewness As A Factor

Analysing Punchy Stocks Get The Timeless Reading eBook in PDF Get the entire 10-part series on Timeless Reading in PDF. Save it to your desktop, read it on your tablet, or email to your colleagues. ...

Tactical Mean-Reversion

SUMMARY The Mean-Reversion factor is driven by volatility Allocating tactically when volatility is high generates an attractive payoff profile The strategy can be considered as a tail risk hedge for equity portfolios Q1 hedge fund letters, conference, scoops etc, Also read Lear Capital: Financial Products You Should Avoid? INTRODUCTION Our most recent...

Market Timing With Multiples, Momentum & Volatility

Getting Comfortable with High Equity Multiples SUMMARY Equity multiples have been elevated in recent years Using valuation multiples for allocation decisions is a challenging strategy Momentum and volatility-based strategies are more attractive Q1 hedge fund letters, conference, scoops etc, Also read Lear Capital: Financial Products You Should Avoid? INTRODUCTION In recent years the...

Alpha Momentum

SUMMARY Stocks can be ranked by alpha instead of stock returns Alpha Momentum generates a higher and more consistent performance than Price Momentum Momentum crashes are reduced significantly and risk-return ratios increase Get The Timeless Reading eBook in PDF Get the entire 10-part series on Timeless Reading in PDF. Save it...

Equity Factors & Inflation

SUMMARY Factor performance is impacted by inflation and deflation An inflationary environment is more attractive for most factors The change in inflation has been most meaningful for the Size factor Klarman 2017 letter on Bitcoin  the danger of Chinese leverage Discipline while value investing in bubby times Value investing is...

Value Factor: Improving The Tax Efficiency

Do Value Stocks Need to be Dividend-Yielding? SUMMARY Seth Klarman On FAANG, Leverage, Discipline, Value Investing, Bitcoin, Disruption, Softbank, Reading And More The tax efficiency of the Value factor can be improved by reducing exposure to dividend-yielding stocks Improving the tax efficiency reduces the performance in Europe and Japan, but not...

Low Volatility Factor: Interest Rate-Sensitivity & Sector-Neutrality

Are Low Volatility Stocks Bond Proxies? SUMMARY The interest rate-sensitivity of the Low Volatility factor has increased in recent years Mainly due to the sectoral biases from the long portfolio Sector-neutrality reduces the interest rate-sensitivity, albeit at the cost of performance Get The Timeless Reading eBook in PDF Get the entire 10-part...

Smart Beta Or Smart Marketing?

The Unusual Choices of Evidence-based Investors. Is Allan Mecham The Next Warren Buffett? This article was originally published at Investments & Pensions Europe (IPE). Please find a link here. Get The Timeless Reading eBook in PDF Get the entire 10-part series on Timeless Reading in PDF. Save it to your desktop, read it...

Factor Portfolios: Turnover Analysis

What’s my Portfolio Churn? SUMMARY Factor portfolios have an annual turnover over more than 100% The turnover rate varies substantially across factors Decreasing the rebalancing frequency reduces turnover, but also risk-return ratios Get The Timeless Reading eBook in PDF Get the entire 10-part series on Timeless Reading in PDF. Save it to...

Equity Factors & GDP Growth

Does Strong Economic Growth Equate to High Factor Returns? Get The Timeless Reading eBook in PDF Get the entire 10-part series on Timeless Reading in PDF. Save it to your desktop, read it on your tablet, or email to your colleagues. ...

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