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Tag "factor"

Diversifying Credit Portfolios With Multi-Factor Strategies

Diversifying Credit Portfolios With Multi-Factor Strategies

🕔15:15, 9.Apr 2021

The past decade has seen the use of multi-factor investing in corporate bonds increase significantly. Easier access to corporate bond data along and a growing body of research has enabled managers to develop robust factor-based …

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Is factor investing still relevant today?

Is factor investing still relevant today?

🕔10:03, 9.Apr 2021

In 50 years of factor investing, there have been a series of love/hate phases with regard to the use of factors in selecting stocks for portfolios. At present, 2019-2020 seems likely to go down in history as a period of aversion, much like 2009-2011 and 1998-2000. These are the periods when most of the conventional factor combinations used by portfolio managers did not perform.

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Diversification through factor-based investing in corporate bonds

Diversification through factor-based investing in corporate bonds

🕔13:49, 24.Mar 2021

Allocations to factor-based strategies in corporate bonds have grown, with an expanding body of research demonstrating its advantages. In contrast with traditional bond investing, which often focuses on actively managing a portfolio’s sensitivity to changes in interest rates (duration), credit risk and currency exposure, factor investing involves picking …

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Podcast: Factor-based investing: it works for corporate bonds too!

🕔13:49, 24.Mar 2021

Applying factors to corporate bond investing can help build a more resilient portfolio, particularly when markets face rising interest rates and heightened volatility. Olivier Laplenie and Charles Cresteil explain.

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Understanding the Performance of the Equity Value Factor

Understanding the Performance of the Equity Value Factor

🕔13:38, 2.Mar 2021

After decades of sound performance, doubts have been cast on the ability of the equity value strategy to keep delivering in the aftermath of the 2008 Global Financial Crisis. Indeed, in a context marked by low yields, sluggish growth and subdued inflation …

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A Gut Punch

A Gut Punch

🕔11:45, 4.Jan 2021

Cliff’s Perspective  Sure, the last nearly three years have hurt, but at least the explanation was straightforward. A core part of our process, value, suffered. So when value rebounds, we will too, right? Well, not necessarily. To be clear, if

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Invesco Global Factor Investing Study 2020

Invesco Global Factor Investing Study 2020

🕔15:21, 30.Oct 2020

Welcome to our fifth annual Global Factor Investing Study, based on an interview programme with 238 factor investors. This study incorporates the views of 138 institutional investors and 100 wholesale investors that are together responsible for managing over US$25.4 trillion

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ESG scores and beyond (Part 1)

ESG scores and beyond (Part 1)

🕔11:31, 2.Oct 2020

Factor control: Isolating specific biases in ESG ratings  Based on the FTSE Russell ESG scores, which cover nearly 4,700 companies, this report provides a) a deep analysis of the three external factors (or biases)—size, activity and country—that historically may have

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Axioma Multi-Asset Class Risk Monitor

Axioma Multi-Asset Class Risk Monitor

🕔07:37, 19.Aug 2020

 Factor Correlations (60 days) and Changes in Correlations (vs previous 60 days)   Factor Volatilities (last 60 days vs previous 60 days)  Exchange Rate and Predicted Risk

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Value and Interest Rates

Value and Interest Rates

🕔15:22, 14.Aug 2020

Are Rates to Blame for Value's Torments? Value stocks sharply underperformed growth stocks from 2017 to early 2020, exacerbating a longer period of lackluster performance that dates back to the Global Financial Crisis for some value factors. Some have blamed …

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Focusing on factors

Focusing on factors

🕔13:14, 10.Aug 2020

Weekly commentary Corporate earnings estimates look to be troughing as economies reopen with fits and starts. We have increased our overweight in the quality factor because we see it as most resilient to the dynamics of a choppy activity restart,

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Applied philosophy

Applied philosophy

🕔11:21, 10.Aug 2020

Factors in two flavours  Strange things are happening with factors. Was the market turbulence in February and March just a dream? Factors seem to tell us that the market …

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Thema: Value sectorneutraal

Thema: Value sectorneutraal

🕔14:53, 5.Aug 2020

Kwartaalupdate Factorbeleggen Aandelen Dit kwartaal, waarin de aandelenbeurzen hard omhoog gingen, is de opgelopen schade van het eerste kwartaal grotendeels teniet gedaan. Hoewel de schade aan economieën door de Corona-crisis groot is, was er dit kwartaal weer positief …

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Factor Investing Has Changed

Factor Investing Has Changed

🕔15:23, 17.Jul 2020

How the Bond Market Impacts Equity Factor Investing Markets have reached a 140-year low in U.S. interest rates. The collapse of rates since the Global Financial Crisis (GFC) has altered the nature of factor investing. Factor returns have been affected

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FTSE Russell – Webinar – Factor Performance Review and Insight

🕔11:00, 16.Jul 2020

Webinar – Factor Performance Review and Insight Join our webinar for analysis and examination of the impact that COVID-19 volatility has had on regional factor performance and factor valuations. Philip Lawlor, managing director, Global Markets Research, and Marlies van Boven,

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Uncertainty Has Seldom Been Higher

Uncertainty Has Seldom Been Higher

🕔11:37, 8.Jun 2020

Quarterly Letter At the March lows, most risk assets appeared to be fair value or cheap, even assuming a moderate hit to fair value from a severe recession. In our multi-asset portfolios, we added to our …

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The Facts Behind Factor Performance

The Facts Behind Factor Performance

🕔15:58, 15.May 2020

The Invesco White Paper Series – March 2020 Due to its simplicity, market-cap weighting has long been a popular means of calculating the composition of market indexes. But as an investment strategy, market-cap weighting has limitations — frequently resulting in outsized

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Portfolio factor allocation schemes

Portfolio factor allocation schemes

🕔15:05, 15.May 2020

The decision over which factors to allocate to, and in what magnitude, has a significant impact on investment outcomes and is an important consideration for investors employing a factor approach to achieve investment objectives. It is analogous to the asset

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Hans Rosling and ‘Scary Statistics’ made it into our Top Five!

Hans Rosling and ‘Scary Statistics’ made it into our Top Five!

🕔10:13, 9.May 2020

#19 – Top Five Best Read Research on OpinioPro What research was read the most on OpinioPro this past week? Hereby a top five overview: On the fifth place: the CIO View by DWS: “Corona and Talf 2.0 – New

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Introducing Stoxx® Factor And Esg-X Factor Indices: Get More From Your Premia Exposures

Introducing Stoxx® Factor And Esg-X Factor Indices: Get More From Your Premia Exposures

🕔09:02, 7.May 2020

Qontigo has introduced a new series of factor-based indices known as the STOXX® Factor Indices. These are designed for investors who want to take advantage of the benefits of reaping factor premia while avoiding the noise that pervades many other

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Value Is in the Eye of the Beholder

Value Is in the Eye of the Beholder

🕔14:40, 1.May 2020

It has been a difficult couple of years for value and factor investing, and it has been no less difficult for us than others. We all owe it to ourselves to ask what we did right, what we did wrong

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The Factor Archives: Value

The Factor Archives: Value

🕔14:12, 1.May 2020

We believe that price is one of the most predictive determinants of future alpha and try to identify companies trading at cheap prices relative to their sales, earnings, cash flows, and dividends. While there are countless value strategies, we take

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FTSE Russell – Webinar – Q1, 2020 Factor Performance Review and Insight

🕔11:00, 21.Apr 2020

Webinar – Q1, 2020 Factor Performance Review and Insight Regional analysis and examination of the impact of Covid-19 on factor performance. Following the publication of our next Market Maps Factor Indicator quarterly report, Philip Lawlor and Marlies van Boven, FTSE

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Northern Trust AM – Webinar – Factor Performance and Outlook for Volatile Markets

🕔17:00, 7.Apr 2020

Webinar – Factor Performance and Outlook for Volatile Markets Special edition of Factor Research Quarterly Getting paid for the risk investors take is important for any market environment, but especially in this period of historic volatility. Many investors are preparing

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Qontigo – Webinar – Managing Your Portfolio in an Extreme EMEA Factor Environment

🕔15:00, 26.Mar 2020

Webinar – Managing Your Portfolio in an Extreme EMEA Factor Environment March 26, 2020, 2:00 PM GMT | 3:00 PM CET As the spread of coronavirus (COVID-19) continues, we are witnessing uncharted turmoil in the global equity markets with factor behaviors

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Qontigo – Webinar – Managing Your Portfolio in an Extreme US Factor Environment

🕔16:00, 25.Mar 2020

Webinar – Managing Your Portfolio in an Extreme US Factor Environment March 25, 2020,  11:00 AM ET | 8:00 AM PT As the spread of coronavirus (COVID-19) continues, we are witnessing uncharted turmoil in the global equity markets with factor behaviors

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Northern Trust AM – Webinar – Navigating Market Uncertainty With Factors & ESG

🕔08:00, 19.Mar 2020

Webinar – Navigating Market Uncertainty With Factors & ESG, partnership with IPE As market volatility, geopolitical risks and economic uncertainty continue to shake global markets, it’s critical for institutional investors to re-evaluate their risk positioning. This means running portfolios as

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S&P 500 Low Volatility Index: Five Decades of History

S&P 500 Low Volatility Index: Five Decades of History

🕔12:39, 9.Mar 2020

S&P Dow Jones Indices (S&P DJI) publishes a series of low volatility indices, offering market participants a perspective on the returns of lower volatility equities and forming the basis for index-linked products globally. 1 Low volatility indices have typically outperformed

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Our views on equity style factors

Our views on equity style factors

🕔14:38, 25.Feb 2020

BII Global weekly commentary We still favor the quality factor for its resilience in late-cycle periods, despite its muted performance this year. We retain for now our moderate pro-risk stance over the next 6-12 months, with an eye on rising

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Chasing Your Own Tail (Risk), Revisited

Chasing Your Own Tail (Risk), Revisited

🕔17:00, 24.Feb 2020

AQR White Paper  One of the most important topics on investors’ minds following the Global Financial Crisis was how to protect their portfolios from the next crisis. Our paper "Chasing Your Own Tail (Risk)" was our response.1 In it, we

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It’s Time for a Venial Value-Timing Sin

It’s Time for a Venial Value-Timing Sin

🕔16:58, 24.Feb 2020

Cliff’s Perspective  Early in the classic movie Young Frankenstein, when the villagers’ suspicions have begun to rise, inspector Kemp cautions them against going too far and starting a dangerous riot. Later in the movie he relents and announces that this

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The presumed end of the value premium

The presumed end of the value premium

🕔16:50, 24.Feb 2020

Value benefits from Behavioral Finance effects In 1934, Benjamin Graham and David Dodd stated in their book „Security Analysis“ that investors could profit from mispricing by investing in low-valued and unpopular stocks. This Value effect, that was later confirmed worldwide by academic

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Are you taking enough risk? How do you know?

Are you taking enough risk? How do you know?

🕔08:07, 19.Feb 2020

Risk & Reward – Research and investment strategies Asset management firms often stress the importance of risk management – and Invesco is no exception. But successful risk management is more than mitigating risk. Taking enough risk is equally important, especially

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Green Intelligence

Green Intelligence

🕔17:20, 17.Feb 2020

Asia’s ESG investing, data integrity and technology Key findings The rise of ESG in Asia: some 95% of respondents believe that ESG investing is important to their firm, with the overwhelming majority saying it will be more so in three

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Value, Momentum and Mean Reversion in Factor Returns

Value, Momentum and Mean Reversion in Factor Returns

🕔17:11, 10.Feb 2020

In brief Negative returns to Value factors over the past ten years might lead one to conclude that such factors' returns will also be challenged going forward. Momentum has had relatively better returns over the same period but has also

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Markets celebrating! But Factor Investors?

Markets celebrating! But Factor Investors?

🕔15:26, 22.Jan 2020

Not So Much… Equity markets around the globe prospered in 2019, as investors were buoyed by the de-escalation of the US-China trade war towards the end of the year, central bank easing around the world—including three interest-rate cuts by the

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Do we Need Active Management to Tackle Capacity Issues in Factor Investing?

Do we Need Active Management to Tackle Capacity Issues in Factor Investing?

🕔17:40, 13.Jan 2020

Blitz and Marchesini (2019) question the investability of factor indices and argue that active management is needed to avoid capacity issues. We show that these claims do not hold. Well-designed implementation rules avoid capacity problems that may arise with poorly

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Quant signals for EU equity sectors and styles

Quant signals for EU equity sectors and styles

🕔09:56, 7.Jan 2020

Focal Point We introduce our proprietary equity valuation tool which provides indications of over- or undervaluation for different sectors and styles of European equities. The regression-based models use macro and financial variables to provide fair value estimates of the ratio between

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Index Dashboard: S&P Europe 350 Factor Indices

Index Dashboard: S&P Europe 350 Factor Indices

🕔07:09, 6.Jan 2020

Commentary Despite slowing growth and Britain’s ongoing struggles to map an exit from the E.U., central bank stimulus and falling yields helped European equities to mark their best year since 2009. The benchmark S&P Europe 350 rose 6% in the

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The impact of esg investing in emerging market equities

The impact of esg investing in emerging market equities

🕔18:24, 16.Dec 2019

Why ESG matters in Emerging Markets Investing according to Environmental, Social and Governance (ESG) criteria is increasingly embraced by investors in developed markets. Integrating ESG factors in Emerging Markets can present more of a challenge. Yet the attraction of innovative, higher-growth markets remains, and EM

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Factor investing considerations

Factor investing considerations

🕔09:29, 11.Dec 2019

Questions and Answers FTSE Russell has produced a series of papers that examine topical factor investing issues. This note consolidates the main findings. Readers interested in the details are encouraged to refer to the original papers [1, 2, 3, 4].

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Plausible Performance: Have Smart Beta Return Claims Jumped the Shark?

Plausible Performance: Have Smart Beta Return Claims Jumped the Shark?

🕔15:35, 4.Dec 2019

Key Points Performance backtests are often used as evidence to “prove” a smart beta strategy is “better” than its competitors. In our view, careful attention must be given to these claims because backtested results are easily data mined. The historical

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All factor strategies go through long periods of poor performance

All factor strategies go through long periods of poor performance

🕔12:04, 22.Nov 2019

Factor investing requires a long-term perspective Talking about a demise of factors seems premature Active managers can add value through intelligent design

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Factor investing in corporate bonds: from empirical research to investment practice

Factor investing in corporate bonds: from empirical research to investment practice

🕔18:47, 18.Nov 2019

Four factors – value, carry, momentum and low risk – provide attractive risk-adjusted returns in the investment grade corporate bond market. Their outperformance cannot be explained by traditional risk-return drivers such as the term and default premium. Transaction costs can

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Invesco Global Factor Investing Study 2019

Invesco Global Factor Investing Study 2019

🕔14:40, 5.Nov 2019

Factor investing adoption continues at pace as asset owners pursue a long-term approach Some 59% of existing global factor investors plan to increase their allocations to factor investing strategies, and 66%-70% of respondents reported their factor investing strategies met or

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Our take on the factor reversal

Our take on the factor reversal

🕔14:08, 25.Sep 2019

A rebound in bond yields has led to a shakeup in equity market factor returns. We prefer defensive factors such as min vol as growth slows. The Fed cut interest rates, but its noncommittal view on the rate outlook suggests

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Foundations In Factors, The Quest To Capture Efficient Alpha Means Challenging Modern Portfolio Theory

Foundations In Factors, The Quest To Capture Efficient Alpha Means Challenging Modern Portfolio Theory

🕔18:20, 16.Sep 2019

Style factors have been shown to historically deliver superior risk-adjusted returns than passive capitalization weighted indexes and more persistent performance than traditional active management, making them a compelling alternative for investors. The benefits of style factors come with the cost

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Monthly Factor Report

Monthly Factor Report

🕔12:00, 13.Sep 2019

Global equity markets posted their second losing month of 2019 in August as escalating trade tensions between the world’s largest economies unnerved investors. Developed markets retreated roughly 2% in the month, with Asian markets hit especially hard. International trade in

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A factor-based approach to diversifying oil exposure

A factor-based approach to diversifying oil exposure

🕔18:35, 9.Sep 2019

The idea of a country establishing an investment portfolio with the proceeds of a temporary revenue stream is nothing new. There are, however, different ways in which the accumulated assets can be used by sovereign asset managers

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Monthly Factor Report – Global

Monthly Factor Report – Global

🕔18:27, 9.Sep 2019

The dominant themes of the past few months remained in place as optimism over an interest rate cut by the Federal Reserve (realized on 31 July) and progress on the China-US trade war overcame weaker economic news in Europe and

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