Systematic

Looking for a powerful tool to identify return skewness and asymmetry, correlation breakdowns and heavy-tailed returns? Tail betas may be the answer.

Scope 1, 2 and 3 are three connected but distinct lenses that can help investors conceptualise and calculate carbon emissions at company and portfolio levels. However, subjective interpretations remain an issue – one we seek to clarify in this new research paper.

Mainstream ESG equity strategies have had a poor start to the year. In our view, this doesn’t disprove the existence of ESG alpha; rather, it proves the importance of understanding the underlying drivers of returns.

Reasons to be positive on EM equities: an over-reaction to changes in China’s regulatory landscape, relative valuation, and a potential economic stimulus from the Chinese government.

We investigate trend-following’s strong performance in the first five months of 2022 and consider the outlook for the strategy given current macro-economic themes.

A look at how regulatory changes have affected Chinese equities, both onshore and offshore, and why we continue to pay close attention to this area of the market.

Returns are hard to predict, but we don’t need to predict returns with greater accuracy to generate better returns from portfolios. We argue that by abandoning return forecasting and focusing instead on risk, we can create a portfolio that has both high risk-adjusted returns and high absolute returns.

As risk arbitrage strategies attract more capital, there is an increased need from risk professionals and fund managers to represent the risk coming from M&A activity as accurately as possible.

We have not been able to find systematic alpha in ESG data for sovereigns so far. However, for a discretionary fund manager, ESG data analysis is a potential rich area for idiosyncratic alpha.

We see attractive investment opportunities in the following strategies in the second quarter: quantitative strategies, convertible arbitrage and global macro. We have downgraded our outlook for event-driven strategies.

What exactly is a multi-strategy fund? Why are more investors turning to them as a solution, and how do they differ from conventional hedge fund strategies?

In this episode of Money Maze Podcast, Russell Korgaonkar discusses how successful systematic investing requires continual refinement of models, and sniffing out new sources of returns in the chaos of financial markets.