Biography
Daniel Fang, CFA, CAIA, is a vice president at The Northern Trust Company, Chicago and senior quantitative research analyst responsible for quantitative equity, fixed income, and multi-asset strategy research, design and development. Fang has worked in quantitative finance since 2009 and specializes in quantitative research, portfolio management, and risk modeling. Prior to joining Northern Trust, he was a research analyst at Nuveen Investments where he co-managed two income funds and worked on asset valuation and asset allocation research. Prior to Nuveen, Fang spent four years at Allstate Investments as a quantitative researcher focused on asset allocation, derivative modelling, and risk management. He started his career in finance as a quantitative trader at a hedge fund in Chicago. He has a master’s degree in Financial Mathematics from University of Chicago and a B.S. degree in Hydraulic Engineering from Tsinghua University, China. He also studied in a doctoral program in Civil Engineering at Georgia Institute of Technology. Fang is a member of CFA Society Chicago, CFA Institute, and CAIA association.
This post explores the intricacies of the equity risk premium, scrutinizes traditional valuation models, and introduces an updated framework to guide strategic decision-making in today’s volatile environment.
Investors are showing increased concern about large-cap stocks due to high market concentration and lofty stock valuations. Other factors combine to make a compelling case for small caps.
Equity portfolios constructed using bond momentum signals may outperform their traditional equity price momentum counterparts.
By combining Profitability and Conservatism, we can reduce a portfolio's downside risk and enhance its risk-adjusted returns over the long run.