Anomalies in Chinese A-Shares
Find out which factors strategies have worked and which have not over the last two decades since the opening of China’s stock markets.
Does Past Performance Matter in Investment Manager Selection
Investment manager selection methodology commonly employed by industry practitioners turns out, in fact, to be a detriment to performance.
Smart Beta, “Smarter” Flow
When smart beta ETFs are actively traded, mutual fund flows become “smarter”, with a higher sensitivity to alphas from multi-factor models.
Will Your Factor Deliver? An Examination of Factor Robustness and Implementation Cost
Not every factor profits investors when implemented through a passive strategy. Size and quality show weak robustness, and liquidity-demanding factors, such as illiquidity and momentum, are associated with high trading costs. Investors may be better off accessing these factors through active management rather than indexation.
Quantitative Easing—Beijing Style
Contrary to the belief of many casual central bank watchers, there is a striking parallel between China’s quantitative easing and that of Japan, U.S. and Europe. Just as the Fed expands its balance sheet to bankroll the U.S. government, so does the Chinese central bank – through its state-owned banking satellites – expand its balance sheet to lend to SOEs to promote employment and growth.
The Self-Fulfilling Prophecy of Popular Asset Pricing Models
Cornell and Hsu assert that the standard consumption-based model has failed to explain the cross-section of expected returns because its assumption that security prices are set by end investors, who wish to maximize their intertemporal consumption, is counterfactual.
The Confounding Bias for Investment Complexity
Complexity can dampen investor understanding, leading to poor investment decision making and ultimately derailing long-term financial goals—yet the bias toward investment complexity persists, reinforced by explanations that are behavioral in nature.
Jason Hsu to Lead Research Affiliates’ Asian Effort
NEWPORT BEACH, Calif.–(BUSINESS WIRE)–Research Affiliates today announced that Vice Chairman and Co-Founder, Dr. Jason Hsu, will lead Rayliant Global Advisors, an Asia-focused investment firm based in Hong Kong, as Chairman, CEO and majority owner. Research Affiliates will retain a substantial minority interest in Rayliant (formerly Research Affiliates Global Advisors, the East Asia unit of Research…
If Factor Returns Are Predictable, Why Is There an Investor Return Gap?
Substantial evidence supports cyclicality in factor returns. Evidence also indicates most investors don’t fully benefit from this insight due to behavioral biases—but contrarian investors do.
The China Syndrome: Lessons from the A-Shares Bubble
The rapid rise and sharp decline of the A-shares market represents a massive redistribution of wealth, especially painful to uninformed investors who bought hot stocks near the peak. What should the Chinese government do now?