Download PDF Introduction In this article we present a systematic, factor-based approach to credit investing. Our aim is to give the reader a wholistic view of the process that brings to life a systematic investment strategy: from the collection of data, a non-trivial task within the credit space, to the Read more…
Download PDF Introduction Starting in 1992, a field of financial economics research emerged that has spewed out hundreds of so-called factors that help explain the “cross-section of expected returns”. Harvey and Liu (2019) [6] provide a taxonomy of some 400 different factors which they classify into 6 so-called “common” classes Read more…
Download PDF Introduction Traditionally, the carry factor has been associated with a trading strategy in the FX markets. For decades, practitioners and academics have thoroughly studied the phenomenon by which currency speculators were regularly profiting from deviations from the uncovered interest parity condition. Borrowing in a low-interest rates currency Read more…
Download PDF Introduction Passive management as it is known nowadays was born in the 60’s and the 70’s. By that time, it was already clear that actively managed funds tended to underperform market indexes. For this reason, Nobel Laurate Paul Samuelson urged the investment management industry to develop a “portfolio Read more…