Foundations in Factors – executive summary

Northern Trust
Door juli 11, 2019 07:00

Foundations in Factors – executive summary

Historically, style factors have been shown to deliver superior risk-adjusted returns to passive capitalization weighted indexes and more persistent performance than traditional active management, making them a compelling alternative for investors. Although the efficacy of style factors conflicts with modern financial theory, they have been successfully employed for more than 40 years to improve upon passive capitalization weighted equity portfolios. Empirical studies have repeatedly shown that style factors outperform capitalization weighted benchmarks across most global markets. However, these results are considered anomalous because they are inconsistent with the concept that expected return is determined solely by beta. Like all investment strategies, style factors are not without potential drawbacks. They are susceptible to prolonged periods of poor relative performance. This cyclicality is problematic because investors commonly evaluate strategies on a three- to five-year horizon. Style factors, like any active investment strategy, are prone to underperforming over short holding periods and can ultimately lead to divestment at inopportune times. This is why we believe factor diversification improves the chances of investors benefiting from style factors. However, diversification is not the only way to reduce the potential style factor underperformance; we believe portfolios can be explicitly designed to address this risk.

Northern Trust
Door juli 11, 2019 07:00


Asset Allocation Consensus Juli


  1. IPFOS – Bestuurders Conferentie 2019

    september 5 @ 14:00 - 18:00
  2. Invesco & Schroders – Real Assets & Energy Transition

    september 10 @ 09:30 - 13:00
  3. Candriam – Sustainbale Investment Conference

    september 12 @ 13:30 - 20:30
  4. ACTIAM – ACTIAM Academy

    september 17 @ 09:30 - 13:00
  5. Markets Group – 3rd Benelux Institutional Forum

    september 26 @ 07:30 - 18:00


Currencies: Us Dollar Bar For Us Fx Intervention Remains High -> #currency #China #tradewar via @PictetWM @PictetAM_NL

Long-term Equity Investments under Solvency II -> #solvency2 #equity #europeancommission via @DWS_Group

Blitzscale and Hope: Unicorns, IPOs and the Fear of Repeating the Late 1990s -> #unicorns #IPO via @epochinvest

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