•  
• Tweet
•  
•        Print
•  
•         Track Keywords
•  
• 

Komfie Manalo, Opalesque Asia:

Factors and risk premia are often mixed and confused, laments Marcus Storr, head of hedge funds at FERI Group in Germany.

Joining the latest 2017 Opalesque Germany Roundtable, Storr said concepts such as factor momentum, value and dividend are not really factors to him, "because what you implicitly buy is equity risk premia. You buy a stock for its dividend, for value, or for momentum respectively. So at the end of the day - and this is of the clients' difficulty to understand in detail what they buy - what we from a statistical point of view talk about is risk premia.

"Investors take a risk for which they should receive an expected return. But it's actually the risk premia itself that investors should look at and also the risk management point of view. The other thing is that some investment banking products talk about factors, but sometimes they do not have an expected return. It's very important to clarify that taking risk has to imply a positive expected return."

Decomposing individual stock returns

Ahmet Peker, senior portfolio manager at the Quantitative Fund Management division of Deka Investment added that there are different ways to look at risk premia or to decompose returns into fragments. He explained......................

To view our full article Click here