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Systematically Speaking
November 22, 2019
Two Cultures, One Aim
How genuine collaboration between quantitative and fundamental analysts can enhance stock selection and portfolio construction.
Podcast
October 30, 2019
Quantamental: A New Dimension of Active Investing
The collaboration among quantitative and traditional investors are complementing and enhancing the investment process, sparking a revolution in active management.
Systematically Speaking
October 18, 2019
The Alpha Left on the Table?
The 60/40 portfolio looks “efficient”—until we drop the no-leverage constraint.
Systematically Speaking
August 15, 2019
PutWrite Goes Global
The launch of CBOE’s ex-U.S. PutWrite indices could help build momentum for these strategies.
Systematically Speaking
June 28, 2019
The China Factor
China’s A-share market reminds us of developed markets 20 years ago, in the heyday of quant investing.
Systematically Speaking
May 30, 2019
Harvesting Insights from Insider Activity
The intuitive link between legal insider trades and stock returns proves elusive as a quant strategy.
White Paper
May 22, 2019
Quantitative Investing in China A Shares
How China’s retail investors create a rich opportunity set for quantitative strategies.
Insights
May 16, 2019
Conversations With… Ray Carroll
Alternative risk premia can be great diversifiers, but it takes human insight to realize their full potential.
White Paper
April 29, 2019
Index Option Writing Strategy Benchmarks
How the continued success of option strategies arguably depends on the investment industry’s ability to consistently benchmark the strategies.
White Paper
April 04, 2019
FX Markets: What’s Top-Down and What’s Bottom-Up?
Introducing a new five-factor model of the global, top-down determinants of foreign-exchange returns.
White Paper
March 15, 2019
The Term Premium Conundrum
What is the “term premium”, why is it so low, why might it rise—and what does it mean for investors?
Systematically Speaking
March 14, 2019
The S&P 500 Sweepstakes
Buying call options has made unusual profits recently—has the “fear index” become a “greed index”?
Systematically Speaking
February 21, 2019
Volatility Seems Here to Stay
Our volatility models indicate that a return to the low-vol of 2017 is highly unlikely.
Systematically Speaking
January 23, 2019
Currency Carry: One Basket or Two?
Separating emerging and developed currencies may not be the risk-mitigating strategy it is assumed to be.
White Paper
December 21, 2018
Strength in Numbers
Volatility and correlations are rising. Here are three liquid, high-value proposition quant-investing ideas to fortify portfolios.
White Paper
September 19, 2018
How Risk Parity Can Cope with Rising Rates
It seems counterintuitive that risk parity can outperform when rates are rising—we explain why it is not.
White Paper
September 06, 2018
The Dissolving Divides that Will Shape the Post-Crisis Investment Era
In ten years, what are the forces that would still be driving the investment world, and what would have been dismissed as mere noise?
White Paper
August 10, 2018
Improving Diversification by Adding Momentum
For investors looking to balance risk mitigation with cost considerations and return potential, we offer momentum strategies as a potential solution.
Insights
May 15, 2018
Chasing Your Tail
Buying put options to hedge equity tail risk can be ineffective and expensive.
White Paper
April 03, 2018
Overview of Alternative Risk Premia (“ARP”) Strategies
Given the increased complexity and diversity of ARP strategies, we outline a framework for investors to navigate the ARP universe.
CIO Weekly Perspectives
February 25, 2018
Volatility Can Be a Wind in Your Sails
The VIX tornado didn’t change the fact that the investment industry is willing to pay for volatility control.
White Paper
February 21, 2018
Improving Fundamentals Boost Case for Commodities
Commodity markets are once again attracting investors.
CIO Weekly Perspectives
December 03, 2017
Big Data = Big Opportunity
This untapped resource could be the new frontier in investment research.