Technical paper/Factor investing
Advanced visualization for the quant strategy universe: clustering and dimensionality reduction
The authors present a novel visualisation model, based on 5000 quantitative investment strategies, which can identify nonlinear relationships and clustering strategies with similar risk factor exposures.
Nonlinear risk decomposition for any type of fund
A risk decomposition by fund manager, factor or instrument is proposed
Factor investing: get your exposures right!
This paper is devoted to the question of optimal portfolio construction for equity factor investing. The authors discuss the question of multifactor portfolio construction and show that the simplistic approaches often used by practitioners tend to be…
Equal risk allocation with carry, value and momentum
The authors of this paper analyze an equal-weight portfolio of global cross-asset-class risk factor exposures.