Deep analysis and thought leadership from our quantitative research team. Explore our latest findings on factor investing, risk management, and market dynamics.
Our most impactful recent publication.
A comprehensive examination of momentum strategies across asset classes and time periods. This paper analyzes the persistence of momentum returns, identifies key risk factors, and proposes enhanced methodologies for capturing the momentum premium while managing crash risk.
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An examination of how traditional momentum factors perform during Federal Reserve tightening cycles and implications for portfolio construction.
Cost-effective approaches to portfolio insurance using options and dynamic allocation without sacrificing long-term returns.
How correlation structures break down during market stress and implications for diversification strategies.
Understanding market microstructure changes and their impact on execution quality and trading costs.
A deep dive into the underperformance of value strategies and whether traditional metrics still capture mispricing.
Practical aspects of running volatility-targeted strategies, including lag effects and transaction costs.
Analyzing the predictive power of yield curve indicators for stock market performance across different regimes.
How the growth of passive investing affects price discovery and creates opportunities for active strategies.
Comparing different approaches to building quality factor portfolios and their out-of-sample performance.