In 2021, our IsoVol strategies will integrate an acceleration factor, measuring the speed of changes in volatility. This addition improves…
03/02/21
The recent wild swings in stock prices, driven in part by retail investors using low-cost online trading platforms, have been…
03/02/21
The outlook for US mortgage–backed securities (MBS) – a triple A rated fixed income asset backed by an implicit government…
03/02/21
Once the pandemic is past, the existential issues around climate change will still require action on an unprecedented scale. This…
01/02/21
The pandemic has underscored existential problems, climate change in particular. This is spurring a wave of awareness, ambitious projects and…
01/02/21
We investigate the impact of long-only constraints on portfolio performance in the context of the recent underperformance of equity multi-factor…
01/02/21
Three quarters of the year with many economies in one form of lockdown or another has left investors with many…
18/12/20
The COVID-19 pandemic has revealed systemic weaknesses and technological strengths and could speed the kind of progress and change needed…
11/12/20
Underperformance of multi-factor equity investing in 2020 has led some investors to question the strategy. Raul Leote de Carvalho, deputy…
07/12/20
Many quantitative managers of equities have recently reported underperformance of their strategies using a multi-factor approach involving the value, quality,…
07/12/20
