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ERAAM bi-annual factor-investing letter

2020-01-20

  • Factor investing letter
  • The many challenges of multi-factor investing in equity markets
  • What is a multi-factor equity investment strategy?
  • What are the specific challenges of this type of investment?
  • What can investors expect in terms of diversification?
  • In this newsletter, we will try to shed some light on these and other questions. We will also highlight some of the key steps in the investment process and clarify the value added that a quantitative investment management company may offer its clients.
  • Read the letter

ERAAM bi-annual factor-investing letter

2019-07-24

  • Factor investing letter
  • Which weight should factor strategies have in a portfolio ?
  • The rationale of factor strategies
  • Theoretical optimal weighting and actual optimal weighting
  • Do 2018 performances call these strategies into question?
  • The temptation of timing
  • Read the letter

ERAAM and Edmond de Rothschild join forces

2019-07-10


ERAAM and Edmond de Rothschild join forces - Press Review Part 3

2019-07-10


ERAAM and Edmond de Rothschild join forces - Press Review Part 2

2019-07-10


ERAAM and Edmond de Rothschild join forces - Press Review Part 1

2019-07-10


Can factor investing kill off the hedge fund ?

2018-07-23, Financial Times

  • "Data-driven funds that systematically exploit human weaknesses are disrupting traditional asset management".
  • A synthetical review on the factor investing industry, its concepts, actors, promises, and future developments to come.
  • Read the article

BAML Cross Asset Risk Premia Conference

2018-05-22

  • Bank of America Merrill Lynch London
  • 2 King Edward Street, EC1A 1HQ

European Performance Awards 2018

2018-03-04

  • European Performance Award 2018

Global Fund Awards 2018

2018-03-02


FundsPeople.com

2018-03-20

  • Il 70% dell’alpha è generato da Risk Premia.
  • Article about Risk Premia for Funds People Italy.
  • Read the article

Factor Investing

2013, A. Ang

  • Practical case study. Most of the performance of the active management sleeve of the Norwegian Government Pension Fund can be explained by implicit exposure to systematic factors. The Author show that this factors could have been collected cheaply following a a top-down approach of factor investing.
  • Read the article

Investing with Style

2012, A. Illmanen, R. Israel and T. J. Moskowitz

  • Four intuitive strategies -Value, Momentum, Carry and Defensive- when applied together on liquid instrument can deliver positive long-term returns with a low correlation with traditional asset classes.
  • Read the article

Expected Returns on Major Asset Classes

2012, A. Illmanen

  • A self-contained and didactic introduction to the drivers of expected returns among all asset classes with a particular emphasis given to Risk Premia.
  • Read the article

Focus

ERAAM bi-annual factor-investing letter

2020-01-20

  • Factor investing letter
  • The many challenges of multi-factor investing in equity markets
  • What is a multi-factor equity investment strategy?
  • What are the specific challenges of this type of investment?
  • What can investors expect in terms of diversification?
  • In this newsletter, we will try to shed some light on these and other questions. We will also highlight some of the key steps in the investment process and clarify the value added that a quantitative investment management company may offer its clients.
  • Read the letter

ERAAM and Edmond de Rothschild join forces

2019-07-10

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