As we've discussed in previous blogs, there are various reasons why portfolio managers need to monitor and adjust the factor risk of their portfolio. Much of the time, it's prudently done to avoid unknown or unintended exposures. Other times, the emergence of a new factor risk in a portfolio can be evidence of style drift that a PM doesn't want. Sometimes, a manager has a macro view that leads...
Factor Return Overview
September 30, 2016As discussed in prior blog posts, factor exposures are an important lens through which to understand portfolios. The returns of factors are also an important metric for understanding what is going on in the stock market.
The Risk of Factors
September 24, 2016The first big signal that even today’s fundamental managers need new tools came in August, 2007. Before the financial crisis, there was the great quant meltdown. Partly precipitated by the failure of several Bear Stearns mortgage funds, large quantitative funds that traded with many times their leverage had to quickly exit positions, pushing down the value of many seemingly good companies. To...