Systematic Investment Strategies - follow up

In my Oct 2017 Editorial note in the Financial Analysts Journal, Systematic Investment Strategies, I stressed the need for more research in response to the shift to systematic investing, i.e. to rules-based investment strategies—of any kind—from purely passive (index investing) to semi-passive (smart beta) to quant (factor-based) and other investment strategies.

Specifically, implications for prices/price dislocations, crowding/systemic risk, market microstructure and liquidity/co-liquidity, design and capacity of factor based systematic strategies, factor timing. And also the need for more research on machine learning in the context of systematic investing.

I would like to share a list of recent articles on these topics from the Financial Analysts Journal - below in no particular order. While there is a lot more work that can be or should be done, these articles definitely provide rigorous insights, and highlight important implications for investment professionals.

The Revenge of the Stock Pickers, by Hailey Lynch, Sébastien Page, Robert A. Panariello, James A. Tzitzouris Jr. & David Giroux

Machine Learning for Stock Selection, by Keywan Christian Rasekhschaffe & Robert C. Jones

Optimal Timing and Tilting of Equity Factors, by Hubert Dichtl, Wolfgang Drobetz, Harald Lohre, Carsten Rother & Patrick Vosskamp

The Impact of Crowding in Alternative Risk Premia Investing, by Nick Baltas

Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending, by Khalid Ghayur, Ronan Heaney & Stephen Platt

Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications, by Terence C. Burnham, Harry Gakidis & Jeffrey Wurgler

Transaction Costs of Factor-Investing Strategies, by Feifei Li, Tzee-Man Chow, Alex Pickard & Yadwinder Garg

Comparing Cost-Mitigation Techniques, by Robert Novy-Marx & Mihail Velikov