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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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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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De best gelezen #research bij @Opinio_Pro:

#1 7-Year Asset Class Real Return Forecasts #GMO

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#3 What the heart already knew @TriodosIM @TriodosNL

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Global Asset Allocation Views Q1 2020 -> https://www.opiniopro.com/2020/01/jp-morgan/global-asset-allocation-views-q1-2020/ #AssetAllocation #credit #equites #Equities #FixedIncome via @JPMorganAM

Economic resilience, Fed and elections to drive US markets in 2020 -> https://www.opiniopro.com/2020/01/amundi/economic-resilience-fed-and-elections-to-drive-us-markets-in-2020-2/ #consumption #election #monetarypolicy via @Amundi_ENG

The US federal reserve’s ‘whatever it takes’ moment has arrived -> https://www.opiniopro.com/2020/01/ubp/the-us-federal-reserves-whatever-it-takes-moment-has-arrived/ #AssetAllocation #centralbank #credit #ECB #Equities #FED #USA

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