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Tag "smart beta"

An Overview of Low Volatility Strategies

An Overview of Low Volatility Strategies

🕔13:32, 28.Aug 2020

Smart Beta strategies, such as low volatility, can allow investors to modify their portfolios to better reflect their ongoing return-risk appetite in their strategic allocation. It is possible to build defensiveness into portfolios, while maintaining a degree of upside potential,

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Smart Sustainability: 2020 global survey findings from asset owners

Smart Sustainability: 2020 global survey findings from asset owners

🕔09:26, 10.Aug 2020

Back in 2017, when we first asked questions to ascertain if asset owners were thinking of applying sustainability considerations to smart beta, we were surprised to find out …

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Factor Investing Has Changed

Factor Investing Has Changed

🕔15:23, 17.Jul 2020

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

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Research Target Exposure: Investment applications and solutions

Research Target Exposure: Investment applications and solutions

🕔16:19, 20.Mar 2020

Factor strategies differ significantly in terms of portfolio construction. There is much debate regarding the pros and cons of alternative construction approaches. A vigorous debate has unfurled over the best way to combine factors into a single portfolio, with some

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Alpha Research – Investment Meeting ‘Factor beleggen is mensenwerk’

🕔14:30, 3.Mar 2020

3 maart 2020: Investment Meeting – Factor beleggen is mensenwerk Op dinsdag 3 maart organiseert Alpha Research een Investment Meeting over Factor Investing en Smart Bèta voor professionele beleggers. Specialisten van State Street SPDR, AQR Capital Management en BNP Paribas Asset Management zullen hun visie geven over dit thema.

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Research Target Exposure: Investment applications and solution

Research Target Exposure: Investment applications and solution

🕔13:04, 24.Feb 2020

Factor portfolio construction Most portfolio construction methodologies have some mechanism that permits the levels of factor exposure to be ratcheted up and down; however, factor exposure is rarely the main objective and an alternative decision metric is commonly employed. Examples

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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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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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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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AQR – Factor Investing Seminar with Cliff Asness

🕔10:00, 4.Nov 2019 Read Full Article

Northern Trust AM – Recalibrating Factor Portfolios for Volatility, Lower Interest Rates and Slower Growth

🕔12:00, 19.Sep 2019

Factor Research Quarterly Webinar Market volatility persists and volatility spikes are becoming more frequent. Recently, interest rates have started moving lower and are expected to continue their decline. Add in lower global growth forecasts and it’s time to revisit expectations

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The Advisor’s Case for Smart Beta Direct Indexing

The Advisor’s Case for Smart Beta Direct Indexing

🕔14:41, 12.Sep 2019

Smart beta direct indexing is an increasingly accessible implementation route that accommodates tax-loss harvesting and customizations based on client preferences and circumstances. Advisors are uniquely positioned to assess whether this approach fits into their clients’ portfolios, and if so, to

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Using a Quality Income Strategy in Today’s Business Climate

Using a Quality Income Strategy in Today’s Business Climate

🕔16:42, 10.Sep 2019

At State Street Global Advisors, our baseline call in 2019 was for investors to continue to favour US equities, based on supportive monetary and fiscal policy and a contained inflation outlook. We cautioned investors to beware of volatility, on expectations

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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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t Towards Cost Transparency: Estimating Transaction Costs for Smart Beta Strategies

t Towards Cost Transparency: Estimating Transaction Costs for Smart Beta Strategies

🕔17:34, 19.Jul 2019

Using transparent and replicable estimates of stocks’ effective spread, we compute transaction cost levels and net performance of investable smart beta indices. We show that the extra performance relative to the broad cap-weighted index does not disappear once we account

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FTSE Russell – 2019 smart beta survey results (webinar)

🕔09:00, 11.Jul 2019

Join FTSE Russell on the July 11 at 9:00 a.m. ET / 2:00 p.m. BST for a recorded live video panel discussion from the studios of the London Stock Exchange. Rolf Agather, managing director of research, North America, will be

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Smart beta: 2019 global survey findings from asset owners

Smart beta: 2019 global survey findings from asset owners

🕔11:03, 11.Jun 2019

FTSE Russell is proud to present the sixth annual survey of global institutional asset owners’ attitudes toward evaluation and adoption of smart beta. Each year we have surveyed decision makers across a broad spectrum of AUM tiers and organizational types

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The Alpha/Beta Allocator

The Alpha/Beta Allocator

🕔15:02, 2.Jun 2019

6 steps to a better portfolio After a disappointing year in 2018, active managers have bounced back to a degree, notably in fixed income. 

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How Smart Beta Strategies Work in the Chinese Market

How Smart Beta Strategies Work in the Chinese Market

🕔11:02, 24.Apr 2019

All the risk factors delivered absolute and risk-adjusted quintile return spreads, with the low volatility, value, and high dividend portfolios generating the highest risk-adjusted return spreads. All the Chinese factor indices offered by S&P DJI, except the momentum index, generated

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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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Smart Beta Dashboard

Smart Beta Dashboard

🕔17:02, 14.Mar 2019

Using Low Volatility Portfolios To Adjust Risk-Return Characteristics  Equity investors can fundamentally change the risk-return profile of their overall portfolio by moving some of the core equity allocation into a Low Volatility portfolio. Historically, blending an S&P 500 portfolio with

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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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