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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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Integrating Low-Carbon and Factor Strategies in Asia

Integrating Low-Carbon and Factor Strategies in Asia

🕔17:59, 3.sep 2019

Low-carbon and factor-based investing are two key trends in the global investment management industry. This paper investigates the impact of low-carbon screening on traditional market-cap-weighted portfolios and factor portfolios (quality, value, momentum, and low volatility) across seven Asian markets: Australia,

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Factor Investing Works (Despite What Some May Say)

Factor Investing Works (Despite What Some May Say)

🕔09:35, 22.aug 2019

Don’t fall for claims by highly respected asset managers that factor-based investing isn’t working. Factor-based strategies have outperformed capitalization-weighted indices over long time horizons. The May 28, 2019, Institutional Investor article, Why Factor Investing Isn’t Working, began by noting, “Pension

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The size exposure spectrum and factor tilts

The size exposure spectrum and factor tilts

🕔17:18, 2.aug 2019

In this note, we illustrate that capitalization weighting, equal weighting and inverse market-capitalization weighting schemes are special cases of a more general class of factor tilt indexes that embed specific and explicit levels of size exposure. This is of direct relevance

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Foundations In Factors

Foundations In Factors

🕔19:42, 24.jul 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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Global Factor Views – July 2019

Global Factor Views – July 2019

🕔15:50, 23.jul 2019

The global economy continues to deliver modest growth on the back of a resilient US. Elsewhere, macroeconomic data has been disappointing, with the Eurozone, UK and China all showing signs of weakness. Looking ahead, the key threat to growth for

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The Risks of Deviating from Academically-Validated Factors

The Risks of Deviating from Academically-Validated Factors

🕔17:54, 19.jul 2019

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

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Where Factors Come From

🕔23:53, 18.jul 2019

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

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Index Dashboard: S&P Europe 350® Factor Indices

Index Dashboard: S&P Europe 350® Factor Indices

🕔11:02, 2.jul 2019

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

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Factor Investing in Currency Markets: Does it Make Sense?

Factor Investing in Currency Markets: Does it Make Sense?

🕔09:01, 25.jun 2019

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.

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he History of the Cross-Section of Stock Returns

he History of the Cross-Section of Stock Returns

🕔13:05, 20.jun 2019

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.

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The Carry Concept

The Carry Concept

🕔17:02, 7.jun 2019

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

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Forecasting Factor Returns

Forecasting Factor Returns

🕔15:03, 2.jun 2019

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

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Fidelity Fixed Income White Paper

Fidelity Fixed Income White Paper

🕔15:02, 2.jun 2019

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

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Impact Investing & Factor Beleggen

Impact Investing & Factor Beleggen

🕔13:02, 18.apr 2019

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

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Impact Investing & Factor Beleggen

Impact Investing & Factor Beleggen

🕔13:02, 18.apr 2019

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

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What, Exactly, Is a Factor?

What, Exactly, Is a Factor?

🕔13:02, 10.apr 2019

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

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Monthly Factor Report – Global

Monthly Factor Report – Global

🕔11:02, 5.apr 2019

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

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Monthly Factor Report – Global

Monthly Factor Report – Global

🕔11:02, 5.apr 2019

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

Lees het volledige artikel
Index Dashboard: S&P Europe 350® Factor Indices

Index Dashboard: S&P Europe 350® Factor Indices

🕔11:02, 4.apr 2019

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

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Index Dashboard: S&P Europe 350® Factor Indices

Index Dashboard: S&P Europe 350® Factor Indices

🕔11:02, 4.apr 2019

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

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Factor Momentum Everywhere

Factor Momentum Everywhere

🕔13:03, 3.apr 2019

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

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