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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.mrt 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.okt 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.okt 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 Lees het volledige artikel
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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Zoek

Asset Allocation Consensus Juli

Evenementen

  1. IPFOS – Bestuurders Conferentie 2019

    september 5 @ 14:00 - 18:00
  2. Invesco & Schroders – Real Assets & Energy Transition

    september 10 @ 09:30 - 13:00
  3. Candriam – Sustainbale Investment Conference

    september 12 @ 13:30 - 20:30
  4. ACTIAM – ACTIAM Academy

    september 17 @ 09:30 - 13:00
  5. Markets Group – 3rd Benelux Institutional Forum

    september 26 @ 07:30 - 18:00

Twitter

Currencies: Us Dollar Bar For Us Fx Intervention Remains High -> https://t.co/2ny01nTS55 #currency #China #tradewar via @PictetWM @PictetAM_NL

Long-term Equity Investments under Solvency II -> https://t.co/MDJWukfKfB #solvency2 #equity #europeancommission via @DWS_Group

Blitzscale and Hope: Unicorns, IPOs and the Fear of Repeating the Late 1990s -> https://t.co/N6TXHvJWCS #unicorns #IPO via @epochinvest

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