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