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
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
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
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
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.
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.
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
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
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
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
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
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
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
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
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
Risk management remains a priority in view of the mixed economic and consumer data in the US. Find out what investors could focus on.
Deze week in "Multi-Asset Solutions Weekly Strategy Report" van @JPMorganAM een helder plaatje dat #EmergingMarketDebt toch wel heel mooi in een multi-asset portfolio past. Maar het is ook een beetje #confirmationbias 😀-> https://t.co/7b6yAG8Wv4 #assetallocation via
@Opinio_Pro
In Emerging Markets, Does It Pay to Worry About ESG Factors? ->https://t.co/Hca0PmObIB #emergingmarkets #equity #esg via @TRowePrice
Cyber Monday: 4 reasons online sales are surging -> https://t.co/8pxHju7Ins #technology #cyber #BlackFriday via @AXAIM
Lower credit risk observed in sectors that are positively aligned with the SDGs -> https://t.co/fMx3Xawo2A #fixedincome #Credit #SDGs #ESG #SRI via @Robeco @Robeco_Prof_NL
