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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

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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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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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Index investment strategy

Index investment strategy

🕔13:03, 3.apr 2019

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

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Multi-sector asset allocation outlook

Multi-sector asset allocation outlook

🕔15:02, 23.mrt 2019

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

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Factor valuation considerations

Factor valuation considerations

🕔15:02, 21.mrt 2019

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

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Responsible investing: factor friend or foe?

Responsible investing: factor friend or foe?

🕔11:03, 7.mrt 2019

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.

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What are Factors?

What are Factors?

🕔09:13, 5.mrt 2019

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

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With Uncertainty Ahead, is it Time for Low Vol Strategies?

With Uncertainty Ahead, is it Time for Low Vol Strategies?

🕔19:02, 19.feb 2019

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

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SEB House View

SEB House View

🕔11:02, 10.feb 2019

Summary House View factors Macro and Markets Market Indicators In Focus Asset Class and Sector Views Risk Environment

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Global Factor views 2019

Global Factor views 2019

🕔02:01, 9.feb 2019

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

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Factor Views

Factor Views

🕔19:02, 25.jan 2019

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

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Asset Allocation Consensus Juli

Evenementen

  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

Twitter

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

Blitzscale and Hope: Unicorns, IPOs and the Fear of Repeating the Late 1990s -> https://t.co/N6TXHvJWCS #unicorns #IPO via @epochinvest

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