Factor investing has never been as popular as it is today. However, with the propagation of this type of investment approach, the equity space is becoming increasingly saturated with more and more factors that are ever more removed from academically-grounded
Equity factors were born from thinking that challenged the basics of modern finance. by Head of Quantitative Strategies Michael Hunstad, Ph.D., and Quantitative Research Analyst Rob Lehnherr, CFA A select group of equity factors — value, small size, momentum, low
European equities continued their rally into Q2 with the S&P Europe 350 rising 3%, modest compared to its stellar first quarter gains of 13%. Most of our core European factor indices rose in the second quarter, with the S&P Europe
The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing. Today, institutional investors structure their strategic asset allocation around five risk factors: size, value, low beta, momentum and quality.
Juhani Linnainmaa cautions investors to be wary of alpha decay in newly discovered factors. Using fresh, pre-discovery data, his out-of-sample analysis shows about half of the many factors tested were not robust.
FTSE Fixed Income Factor Research Series As a well-known concept to practitioners and academics, carry has been leveraged in the currency markets for decades. With the understanding of such FX carry trades becoming established, recent academic publications have explored this
Two Sigma Investments In our recent paper, Introducing the Two Sigma Factor Lens, we proposed a parsimonious set of actionable factors that collectively explains the majority of risk in institutional portfolios.1 This paper takes the next step, proposing a methodology
Generating alpha in bottom-up systematic credit portfolios Factor investing has become wildly popular in recent years both among academics and investment managers. Academic researchers have contributed to an exponentially growing number of discovered factors in what has been described as
Alpha Research, asset allocatie & fund selection & OpinioPro (professional investment publications databank) organiseerden een kennis event over Factor Beleggen & Smart Beta: active of passive met resultaten van haar analyse van Factor Investing publicaties van grote vermogensbeheerders en 381
Alpha Research, asset allocatie & fund selection & OpinioPro (professional investment publications databank) organiseerden een kennis event over Factor Beleggen & Smart Beta: active of passive met resultaten van haar analyse van Factor Investing publicaties van grote vermogensbeheerders en 381
What, Exactly, Is a Factor1 ? According to BlackRock, as of June 2018 there was $1.9 trillion invested in factor-based strategies—a figure expected to grow by nearly 80% to $3.4 trillion by 20222 . There is no question that these
Lazrd Asset Management Global equity markets finished the first quarter with modest gains in March, completing their best quarter since 2010. Volatility continued to ebb as the new dovish stance of the Federal Reserve and optimism over a US–China trade
Lazrd Asset Management Global equity markets finished the first quarter with modest gains in March, completing their best quarter since 2010. Volatility continued to ebb as the new dovish stance of the Federal Reserve and optimism over a US–China trade
Index Investment Strategy European equities got off to a strong start in 2019, as the first quarter of 2019 began with a bullish bounce, recovering from the late 2018 pullback. The S&P Europe 350 gained 13% in Q1. All of
Index Investment Strategy European equities got off to a strong start in 2019, as the first quarter of 2019 began with a bullish bounce, recovering from the late 2018 pullback. The S&P Europe 350 gained 13% in Q1. All of
Price momentum is most commonly understood as a phenomenon in which assets that recently enjoyed high (low) returns relative to others are more likely to experience high (low) returns in the future. It is customarily implemented as a cross-sectional trading
The first quarter of 2019 began with a bullish bounce back as better-than-feared earnings reports combined with a new dovish tone at the U.S. Federal Reserve to set markets on their way to recovery. With macro concerns at the fore
Macro factor summary We believe the peak in global growth is behind us but the risk of a near-term recession is low. Inflation is ticking up globally but remains benign. The US Federal Reserve (Fed) is seeking to normalize policy
Introduction Factor investing is increasingly in vogue with estimates of passive assets tracking such strategies reaching US$729bn [1], [2]. This popularity has led investors, academics and practitioners to question the extent to which factor premiums may have been arbitraged away
Can environmental, social and governance concerns (ESG) ft within a factor-based portfolio? In this article, we tackle two issues: the inconsistency in methodologies for ESG scoring, and ways to integrate ESG considerations into factor portfolios.
Multi-Factor Strategies A “factor” is a generic label for company and stock price characteristics that provide the common sources of return across a broad universe of equity securities. For example, the value factor includes stocks that are inexpensive relative to
Strategy Espresso While global growth is expected to slow in 2019, we feel that US equities are still the place to be due to relatively strong earnings and fairly robust economic data. However, investors should be cognisant of the volatility associated
Summary House View factors Macro and Markets Market Indicators In Focus Asset Class and Sector Views Risk Environment
Macroeconomic backdrop We believe that global macroeconomic growth will modestly decelerate in 2019. Against that backdrop, central banks are likely to tread much more cautiously along the path of monetary policy normalisation. We expect corporate earnings to expand more slowly
Themes from the quarterly Quantitative Beta Research Summit The factors that we favor were mixed amid a turbulent quarter that saw a wide range of markets fall sharply and end the year in negative territory. A slowdown in economic activity
Currencies: Us Dollar Bar For Us Fx Intervention Remains High -> https://t.co/2ny01nTS55 #currency #China #tradewar via @PictetWM @PictetAM_NL
Long-term Equity Investments under Solvency II -> https://t.co/MDJWukfKfB #solvency2 #equity #europeancommission via @DWS_Group
2nd Quarter 2019 – Market Review and Outlook -> https://t.co/hrrxSjI1xr #outlook via @pgim
Blitzscale and Hope: Unicorns, IPOs and the Fear of Repeating the Late 1990s -> https://t.co/N6TXHvJWCS #unicorns #IPO via @epochinvest
Women in Private Equity July 2019 -> https://t.co/2M9Q2MOoyS #PrivateEquity
