News and publications

31 March 2021

Does 1 and 1 really make 3 in value investing?

Value investing is one of the oldest approaches in single stock picking but over the past decade the style has lost some of its appeal. Numerous researchers and investors have therefore suggested enhanced value strategies that usually combine valuation driven screenings with quality criteria and claim that such strategies result in superior securities selection. Based on various backtests, our paper challenges these claim and emphasises the important of using appropriate multi-factor benchmarks for multi-factor strategies.

04 March 2021

Are robots taking over wealth management?

Robo Advisors have spooked parts of the Financial Industry with their no-frills Wealth Management solutions. While the ETF industry is successfully using them as another distribution platform for their products, smaller banks and independent Asset & Wealth Managers are at risk of falling behind. In our paper we demystify the “Robo” term and, shedding light on the performance of leading German players, show why we think that Multi-Asset Funds are still a very good alternative for end investors.

28 January 2021

The ESG trend from a systematic investor's perspective

Those of us who don’t yet trade based on reddit forums may remember that another topic was poised to gain relevance this year: Environmental, Social & Governance (ESG) criteria. Even though, regulators have decided to postpone the application of new disclosure rules until 2021 there is no doubt that investors need to adjust their workflows respectively. Our paper illustrates some of the pitfalls and weaknesses of ESG investing and discussed the question what it implies for expected returns.

04 December 2020

The Fixed Income Conundrum of Asset Allocators

By fall next year, the great bond bull market will potentially be celebrating its 40th anniversary, with the US 10Y yield having fallen from a high at 15.84% in September 1981 to a low of only 0.51% in August 2020. Asset allocators who have not given up on generating returns exceeding fees and inflation face tough choices. Those who do not want to bet the bank on equities should better look for alternatives.

25 January 2021

A new age of dispersion or just the normal madness of equity markets?

For investors who hoped that the pandemic induced market crash would result in a broad regional, sector or style rotation, the second half of 2020 has been rather awful so far. Totally disappointing the hopes of contrarians, Covid19 has struck a blow for winning investments and battered already underperforming strategies.

25 January 2021

How Swiss wealth managers can keep flying

The thought-provoking cocktail of digital (technology) disruption, low yield environment and the rise of passive investment products is severely impacting the traditional Swiss wealth management and many players are not prepared for it.