Systematic Equity Strategies as Sources of Risk

A QWAFAFEW discussion led by:

Stanislav Radchenko, PhD

With Larry Pohlman as discussant.

Abstract

Systematic Equity Strategies (SES) refer to the systematic (i.e., rules based or computed based) implementation of fundamental or technical investment anomalies/strategies. When represented as factors in risk models, they allow investment managers to better understand and monitor the sources of risk and return of equity portfolios. Investors using risk models with SES factors are able to measure and monitor exposure to the popular investment strategies and make more accurate risk and return tradeoff decisions. We review several SES, investigate their historical performance in a multivariate setting and discuss economic insights offered by SES. We focus on several quality factors (e.g., asset turnover, profitability), momentum factors (e.g., prospect, industry momentum, seasonality, short-term reversal), fundamental based valuation factor and tail risk factors. We also offer insights into sector differences in performance and risk of SES factors.

 Bio 

Mr Radchenko joined MSCI in 2013 as Senior Researcher in the Analytics Equity Research department focusing on exploring systematic equity strategy factors in risk models, building sector models and establishing macro linkages in equities.

Mr. Radchenko’s previous experience includes a role in Quantitative Investment Strategies (QIS) at Goldman Sachs Asset Management (GSAM). As a member of the research and portfolio management team, he researched, developed and implemented quantitative equity investment strategies. Mr. Radchenko was the lead portfolio manager for US, UK & European quantitative equity portfolios and co-head of Equity research. Mr. Radchenko played an important role in developing proprietary risk models and the attribution platform of the group. His career started at GSAM in 2008.

Prior to joining GSAM, from 2002 to 2008, Mr. Radchenko was Assistant Professor and Associate Professor of Economics in University of North Carolina at Charlotte. He has been published in many academic journals including Journal of Econometrics, Journal of Applied Econometrics, Macroeconomic Dynamics, and Energy Economics.

Mr. Radchenko has a Ph.D. in Economics from Rutgers University.

Please RSVP hugh@QWAFAFEW.org

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