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Invesco Global Factor Investing Study 2020

Invesco Global Factor Investing Study 2020

🕔15:21, 30.Oct 2020

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

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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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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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Factor investing: get your exposures right!

Factor investing: get your exposures right!

🕔13:08, 7.Nov 2018

This paper is devoted to the question of optimal portfolio construction for equity factor investing. The first part of the paper focusses on how to make sure that a given equity portfolio has the targeted factor exposures, even before imposing

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The Biggest Failure in Investment Management: How Smart Beta Can Make It Better or Worse

The Biggest Failure in Investment Management: How Smart Beta Can Make It Better or Worse

🕔12:05, 23.Oct 2018

The negative gap between investor returns and fund returns is the biggest failure in investment management. Alpha is only a sideshow. If we extrapolate the investor returns gap to smart beta strategies, poor client timing will completely negate the potential

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Ignored Risks of Factor Investing

Ignored Risks of Factor Investing

🕔11:02, 15.Oct 2018

Factor investing Factor investing, an investment approach which targets specific stock characteristics such as value or momentum, is becoming a stronghold of investor portfolios.1 Many factor-investing strategies are popular for good reason: they are transparent, offer exposure to widely agreed-upon

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Emerging Markets — Are Flows Coming Back? We’re Looking For A Catalyst

Emerging Markets — Are Flows Coming Back? We’re Looking For A Catalyst

🕔11:02, 8.Aug 2018

Are We Past The Most Challenging Times for Emerging Markets? Emerging markets endured some turbulence after the aggressive trade war rhetoric surprised the markets in February this year. Since then, things have changed. Emerging market economic surprise indicators fell from

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Keep Up The Momentum

Keep Up The Momentum

🕔10:10, 3.Aug 2018 Read Full Article
US Small Caps Continue to Power Ahead

US Small Caps Continue to Power Ahead

🕔15:02, 1.Aug 2018

Year to date, small caps (as measured by the Russell 2000 Index) have outperformed all other caps in the US equity markets.1 In the current environment, we see a range of supportive factors for small caps, and as such we believe

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Stress-Testing Smart Beta ETFs

Stress-Testing Smart Beta ETFs

🕔11:02, 20.Jul 2018

Introduction Many Smart Beta ETFs are bought with the expectation of long-term market outperformance. The factors that many are based on have been proven both academically and empirically to produce excess returns. However, especially in the short-term, many of these

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Amid Geopolitical Risk, Consider Convertible Bonds

Amid Geopolitical Risk, Consider Convertible Bonds

🕔15:04, 18.Jul 2018

Strategy espresso Last week the US-China trade war escalated further. The US Treasury published an additional list of Chinese products worth $200 billion that may be subject to a 10% tariff. The new tariffs would be in addition to the

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Five-year trends and outlook for smart beta

Five-year trends and outlook for smart beta

🕔11:02, 12.Jul 2018

Insights from the 2014-2018 FTSE Russell global smart beta surveys This is the 5th year of the FTSE Russell smart beta global asset owner survey. This milestone presents an opportunity to look back and reflect on how smart beta indexes

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Two questions about: Momentum

Two questions about: Momentum

🕔15:02, 4.Jul 2018

In this paper, we explore two questions: Has price momentum continued to work since Jagadeesh/Titman published their paper in 1993? Where is price momentum most effective and in what form?  In this paper, we explore two questions: Almost a quarter

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Q&A with QMA – How Smart is Smart Beta?

Q&A with QMA – How Smart is Smart Beta?

🕔08:53, 16.Jun 2018

The rapid growth of smart beta strategies in recent years has provided our clients with a powerful new tool in their search for better returns, but it has also sowed quite a bit of confusion. Here, Stacie Mintz, portfolio manager

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Q&A with QMA – How Smart is Smart Beta?

Q&A with QMA – How Smart is Smart Beta?

🕔08:53, 16.Jun 2018

The rapid growth of smart beta strategies in recent years has provided our clients with a powerful new tool in their search for better returns, but it has also sowed quite a bit of confusion. Here, Stacie Mintz, portfolio manager

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Factors from Scratch: A look back, and forward, at how, when, and why factors work

Factors from Scratch: A look back, and forward, at how, when, and why factors work

🕔19:03, 11.Jun 2018

With a million dollars to invest today, would you rather buy a portfolio of New York City taxi medallions or shares in Uber stock? When we ask investing audiences this question, the answer is almost always Uber. People tend to

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The Merits and Methods of Multi-Factor Investing

The Merits and Methods of Multi-Factor Investing

🕔13:03, 7.Jun 2018

With a wealth of smart beta indices to choose from, market participants may find it difficult to decide when each factor-based strategy is best suited to deliver returns. Is it wise to rely solely on the performance of one factor?

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Smart beta: 2018 global survey findings from asset owners

Smart beta: 2018 global survey findings from asset owners

🕔11:02, 22.May 2018

FTSE Russell is proud to present the fifth 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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Smart Beta Selection

Smart Beta Selection

🕔13:15, 18.May 2018

Pick the Right One! Presentation Adisor Symposium

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Smart Beta Multifactor Construction Methodology:

Smart Beta Multifactor Construction Methodology:

🕔09:02, 19.Apr 2018

Mixing versus Integrating  Equity factor premiums have been extensively researched and docu- mented. Due to rapid advancements in smart beta product offerings in recent years, exposure to premiums beyond the traditional market beta is now widely available at very low

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The intelligence that guides our investment decisions

The intelligence that guides our investment decisions

🕔19:02, 7.Apr 2018

The intelligence that guides our investment decisions Equity factor premiums have been extensively researched and docu- mented. Due to rapid advancements in smart beta product offerings in recent years, exposure to premiums beyond the traditional market beta is now widely

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Craftsmanship in Smart Beta

Craftsmanship in Smart Beta

🕔11:02, 5.Mar 2018

Strategy Selection While somewhat at odds with today’s big-data, warp-speed approach to life and work, thoughtful craftsmanship—the product design and implementation elements that are tangible, measurable, and impactful—can create positive, persistent results in portfolio performance. Investors seeking to add smart

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Smart Beta: Evolution, not revolution

Smart Beta: Evolution, not revolution

🕔10:39, 2.Mar 2018

New dimensions of diversification The concept that investors could earn a positive return by holding a sufficiently representative cross-section of stocks dates from the launch of the first index fund, in 1975. In the four decades since, index investing has

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Beginning of the end for beta cruising

Beginning of the end for beta cruising

🕔11:02, 2.Feb 2018

With the QE regime coming to an end, so is the suppression of asset price dispersion. BlueBay’s head of credit strategy and asset allocation David Riley looks at capturing alpha as the economic environment turns on the beta trade. 20

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European Smart Beta ETF Market Trends

European Smart Beta ETF Market Trends

🕔05:18, 2.Feb 2018

Lyxor ETF Research European Smart Beta ETF market inflows recovered significantly in Q4 2017 to €909M, after the low reached in Q3 (€555m). That said, Net New Assets stood at €5.0bn at the end of December, which was below their

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Complete Guide To Smart Beta

Complete Guide To Smart Beta

🕔19:02, 25.Jan 2018

Beyond Active And Passive The rising popularity of Smart Beta strategies has shaken up the investment world. Are they passive? Or are they active? How do they work? Do they work? These are just some of the questions posed by

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