Displaying items by tag: quantitative

AQR is one of the leading quant funds, and they had a difficult 2021, but they are bouncing back big with a new idea in ESG. Their new Sustainable Long-Short Equity Carbon Aware Fund will pick U.S. and foreign equity on a variety of ESG criteria with a net-zero carbon emissions target, but it will also short funds that aren’t meeting ESG standards. Most funds have stayed only on the positive end of things but CEO Cliff Asness believes shorts selling is a key tool that can be leveraged to reduce carbon emissions. Asness will be a portfolio manager on the funds, and his unique perspective on ESG will be critical in how the fund performs in the upcoming years.

FINSUM: Value quant funds like ESG suffered the last two years relative to the market but so far in 2021 AQR has seen huge inflows and its ESG strategy is part of that.

The low yields in the bond market have made it relatively uninteresting to the average investor, but there is a revolution underway. The bond market has been dominated by traditional techniques and old school investors, but many of the quants and hedge funds that overturned the equity market are eyeing the bond market. Systematic corporate bond investing is expanding and firms are taking advantage of trends in government debt or pricing anomalies in bond derivatives. Driving this trend in the bond market is swaths of data that are a part of how trades are now realized. Companies like Blackstone Credit are prepared for the shift into a more systematic trading environment in bonds, and other companies are ramping up their tools to accommodate this shift. FINSUM: Hard to acquire data, and a less liquid market have made bonds less desirable for quants, but the information age is rapidly changing that standard. 

Science and technology have only recently begun to disrupt the active fixed income asset management industry, as they have so many industries before it...see the full story on our partner's site

(New York)

There is a big development happening in fund management. That is change is that fundamental and quantitative approaches are merging. Often, funds are no longer purely fundamental or quantitative, but instead merge the two, creating a whole new category which is starting to be referred to as “quantamental”. In its most simple form, quantamental often looks like a multi-factor ETF that also includes some continuous “human” intervention, such as reducing statistical quirks. However, more sophisticated approaches truly blend the two, using human skill to analyze stocks which are sending promising technical signals.

FINSUM: We are pretty fond of the principles which underpin quantamental approaches as they seem to take the best aspects of both philosophies. Time will tell if the approach is a winner in a broad sense.

(New York)

Quantitative ETFs are growing in popularity. Using rules-based approaches to stock-picking is cost effective and has proven successful in many cases, making quantitative methods a good fit for ETFs. With that in mind, here are seven of the best quantitative ETFs: QuantX Dynamic Beta US Equity ETF (XUSA, 0.59% fee), Hull Tactical US ETF (HTUS, 0.92% fee), Cambria Global Momentum ETF (GMOM, 1.03% fee), U.S. Quantitative Value ETF (QVAL, 0.49% fee), IQ Chaikin U.S. Small Cap ETF (CSML, 0.35% fee), Vesper US Large Cap Short-Term Reversal Strategy ETF (UTRN, 0.75%), and the SPDR MFS Systematic Growth Equity ETF (SYG, 0.61% fee).

FINSUM: CSML was the most interesting of the group for us, as we think there is more alpha to be had in small caps with these sorts of approaches. We also ran this story in case anyone has clients who have been asking for more quant funds.