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Tag "factor"

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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Which financial assets are well positioned and which ones are at risk as policy-makers brace for major COVID-19-induced demand shocks? Find out more in this piece.

‘Whatever it takes’: Fiscal Edition -> https://opiniopro.com/2020/03/ubp/whatever-it-takes-fiscal-edition/ #CentralBanks #china #coronavirus #credit #crisis #ECB #fiscalpolicy #fomc #COVID19 via
@UBP_Group

Middle Market Direct Lending: Benefits of Pursuing Both Sponsored and Non-Sponsored Transactions -> https://opiniopro.com/2020/03/franklin-templeton/middle-market-direct-lending-benefits-of-pursuing-both-sponsored-and-non-sponsored-transac/ #Banks #Credit #lending via
@FTI_Global

Eye on the Market: Man vs Nature -> https://opiniopro.com/2020/03/jp-morgan/eye-on-the-market-man-vs-nature/ #centralbanks #Fed #fomc #government via
@jpmorgan

@JPMorganAM

Can the world economy “afford” this scale of fiscal and monetary stimulus? -> https://opiniopro.com/2020/03/opiniopro-selection/can-the-world-economy-afford-this-scale-of-fiscal-and-monetary-stimulus/ #CentralBanks #coronavirus #FED #fiscalpolicy #fomc #inflation #COVID19 via
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