// INTERVIEW OP MAAT
Trumponomics has taken its toll on factors DOOR JAN JAAP OMVLEE
Is factor investing the new battleground of the active versus passive debate? We asked Thomas Kieselstein, Co-Founder and Chief Investment Officer of Quoniam Asset Management. Consider ESG as an important aspect, but it is a different type of factor. Part of the reasoning behind factor investing allocation has to
it pays off over the long cycle, but not necessarily in every
do with the availability of supporting scientific research and
year.’
with the high cost pressure in investing in general. Investors are looking to reduce their overall cost and to allocate to
What is the other reason?
semi-active strategies or something in between active and
‘The other key reason why it makes sense, is more efficient
passive. This means that essentially much money is going to
information discovery. So the fact that you systematically use
semi-active or semi-passive investing.
data to cover large universes of stocks, may enable you to detect opportunities which traditional investment managers
What types of strategy do we have?
with less technology or less data available are not able to
‘There are three types of strategy involved here; one is
detect.’
traditional active management, the other is pure passive in Within factor investing we have more passive approaches and
Is there such a thing as a preference for certain factors?
more active approaches, hence the name ‘new battleground’.
‘At Quoniam we do have a certain preference for the
the sense of market cap and then there’s factor investing.
information discovery as opposed to the risk premia part of Basically, we have to differentiate between two reasons. The
factor investing. Simply because risk premia may be a little
first is that there is some form of additonal risk: the ‘factor
less effective going forward due to the fact that many
risk premium’. This type of risk may include higher business
investors are already doing this and it’s a relatively easy task
risks. For example, value stocks tend to be more cyclical in
to do – which could make this a crowded space. There is a
nature, but there may also be technical or implementation
counter argument that every ten years it may fail miserably
risks involved, for instance low liquidity in small-cap stocks.
and then the crowd leaves again.
Of course, the additional risk premia does not always pay off;
Figure 1: Relative performance anti-benchmark versus benchmark
Figure 2: Large US Technology Equities strongly outperformed Large tech stocks
Relative performance anti-benchmark vs benchmark 130
600
120
Amazon.com
500
Microsoft Mastercard
110
400
(average) Apple
100
Visa
300
Facebook 90
Alphabet 200
80
100 70 1995
1998
2001
2004
2007
2010
2013
2016
2019
Source: Quoniam Asset Management GmbH. Compares a 3-Factor (Value, Quality, Sentiment) strategy in two implementations. Universe: Global developed markets 30/06/1995 – 30/09/2019.
42
FINANCIAL INVESTIGATOR
NUMMER 7 / 2019
0 2014
2015
2016
2017
2018
2019
Source: Quoniam Asset Management GmbH, Datastream
