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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 Lees het volledige artikel

Northern Trust – 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.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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Twitter

De best gelezen #research bij @Opinio_Pro:

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

#2 2020 Long-Term Capital Market Assumptions @InvescoEMEA

#3 What the heart already knew @TriodosIM @TriodosNL

#4 From TINA to FOMO @DWS_Group

-> https://www.opiniopro.com/

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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