Micro-cap stocks represent one of the least efficient areas of global equity markets.
Managed volatility and conventional active value strategies appear to be distinct in important ways.
Contrary to a currently popular narrative, over the ten years 2006-2016, lower-beta stocks have had lower average valuations than higher-beta stocks.
Recent months have seen a flurry of speculation about reclassifications across MSCI Frontier, Emerging, and Developed indices—the list includes China A-shares, Korea, Pakistan, Peru, Saudi Arabia, and Taiwan.
This month, global delegates will meet to develop a binding agreement to reduce the pace and impact of climate change.
Almost all investors hold significant crash exposure in their portfolios. While crashes are potentially devastating events, that very danger is also likely a major source of the risk premia that attract investors to equities and other risky assets in the first place.
We believe micro-cap stocks, both in the U.S. and globally, are an attractive investment opportunity.
Diversified Alpha is a global absolute return strategy that seeks to generate modest positive returns in most market environments, with low correlation to a variety of asset classes.
Acadian’s investment objective for the Global Levered Market Neutral (GLMN) strategy is to derive the majority of return from market-agnostic stock selection, driven by optimal exposures to our fundamental and technical drivers of equity returns.
Recently, there has been a proliferation of investment products marketed as “smart beta”.
For a pension fund that has predictable liabilities and thus is “short a bond,” we believe that allocating a material portion of pension assets to a “matching” portfolio is sound investment practice.
Given the high growth and diversification properties of frontier markets equities, flows into the asset class have been robust.
Acadian is sometimes asked why an active process, using publicly available information, should work.
We believe that quantitative investors have an advantage when managing mandates in emerging markets small-cap equity.
The diversification benefits and growth potential of emerging markets equities are now well accepted concepts.