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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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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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Standing Alone Against the Crowd: Abandon Value? Now?!?

Standing Alone Against the Crowd: Abandon Value? Now?!?

🕔14:36, 20.nov 2019

The current value–growth cycle has been particularly daunting for anyone with a value orientation. Value has been out of favor for approximately 12 years at this point. In this prolonged phase of growth dominance, the patience of investors in RAFI™

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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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The stage is set for a rebound in unloved European value stocks

The stage is set for a rebound in unloved European value stocks

🕔18:10, 18.nov 2019

Investors have been troubled by the region recently, with a growing feeling that it is mirroring Japan’s ‘lost decade’. But there are reasons to be positive about it, and we are bullish on defensive stocks which we believe are currently

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The Fab Four: Trend, Carry, Volatility And Value

The Fab Four: Trend, Carry, Volatility And Value

🕔10:53, 13.nov 2019

Executive Summary: Risk premia strategies (for example Trend, Carry, Volatility and Value) have faced various headwinds since the 2008 financial crisis. Key drivers of the decline in the levels of premia include historically low interest rates, greater levels of un‐

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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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Lower Drawdowns can Deliver Cumulative Value in a Market Trending Higher

Lower Drawdowns can Deliver Cumulative Value in a Market Trending Higher

🕔07:29, 4.nov 2019

Despite the challenging trade environment, equity prices remain near their highest levels in a decade in both the US and Europe. Volatility has remained relatively low, despite intermittent spikes, leading to increasing investor concerns around equity price sensitivity to geopolitical

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Lump sum or regular investing: which is best?

Lump sum or regular investing: which is best?

🕔07:59, 28.okt 2019

Working out how much to invest and when to do so is something investors often agonise about just as much as where to put their money. Should you invest a lump sum and hope you’ve timed it right, or drip-feed

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Stock-Picking Alpha Q4 outlook

Stock-Picking Alpha Q4 outlook

🕔15:10, 24.okt 2019

Active strategies’ relative performance in Q3 were slightly weaker than in Q2, though uneven across regions. Uncertainties soared early in Q3 with the breakup of the summer U.S.-China trade truce and bold British PM Johnson’s tactics. Later, signs of a

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Does Style Still Matter in Emerging Markets?

Does Style Still Matter in Emerging Markets?

🕔18:27, 21.okt 2019

We recently conducted follow-up research to our 2010 study, Does Style Matter in Emerging Markets? and found that the style distinctions among investment managers that we originally identified have grown more pronounced, generating differentiated patterns of performance—patterns that, in some

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The transformative power of capital

The transformative power of capital

🕔13:11, 11.okt 2019

Asset managers can lead in equity impact investing Assets in impact investing strategies more than doubled from 2018 to 2019, to USD 502 bn1 , targeting solutions for challenges including global poverty, water scarcity and climate change. We believe that

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Secular Trends Changes in demographics: a broad and long-term opportunity set

Secular Trends Changes in demographics: a broad and long-term opportunity set

🕔14:05, 10.okt 2019

Why thematic investing? Traditional approaches to investing are constantly challenged by leading companies which are by nature innovative and, for most of them, multisectoral. Disruptors can be found in any sector or industry, making the traditional industry classification framework less

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Do high-conviction active strategies perform better?

Do high-conviction active strategies perform better?

🕔10:29, 9.okt 2019

Our latest research reveals that when looking for outperforming managers, it’s generally helpful to look for active strategies with above-average active share and below-average turnover.  Our previous research helped investors and financial advisors develop a framework for equity allocation and

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How Much Do Fees Affect the Active versus Passive Debate?

How Much Do Fees Affect the Active versus Passive Debate?

🕔16:40, 30.sep 2019

This report adds institutional accounts to the mutual funds analyzed in the S&P Indices Versus Active (SPIVA) U.S. Scorecards. We also examine the impact of fees. Overall, underperformance among institutional equity accounts was not meaningfully different from that reported for

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Value Vs. Growth: the New BuBBle

Value Vs. Growth: the New BuBBle

🕔12:02, 30.sep 2019

We have been through an extraordinary period of value factor underperformance over the last 18 months. The only comparable periods over the last 30 years are the Tech Bubble and the GFC. Historically, we would expect a very sharp reversal

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Are low-volatility strategies just value investing in disguise?

Are low-volatility strategies just value investing in disguise?

🕔18:06, 26.sep 2019

Exchange-traded funds (ETFs) focused on low-volatility stocks have been popular with investors worried about global economic uncertainty and equity valuations. Yet it’s important for investors to understand exactly what they’re getting—and not getting—with low-volatility strategies.

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Comfortable Being Uncomfortable

Comfortable Being Uncomfortable

🕔13:46, 26.sep 2019

Successful investors are a strange bunch. They can simultaneously hold in their minds multiple competing ideas. It is unusual to find a vivid imagination, nestled in steely analytics, set alongside a deep curiosity for human psychology. There is nature and

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Beyond Peak Passive

Beyond Peak Passive

🕔10:36, 26.sep 2019

There is little doubt that over the last decade, investors with portfolios including indextracking strategies, have benefited from an environment in which cheap beta has thrived. However, GAM Investments’ Matthew Beesley questions whether the unrelenting appetite for passive investing could

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Biodiversity crisis: The role of investors in resolving species extinction

Biodiversity crisis: The role of investors in resolving species extinction

🕔18:07, 23.sep 2019

For investors, biodiversity loss represents a risk to investment returns. For instance, companies which harm biodiversity through their activities will likely have to take on the punitive costs imposed on them because of their practices which harm the environment. In

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Climate scenario analysis: Assessing the future for investments

Climate scenario analysis: Assessing the future for investments

🕔15:38, 23.sep 2019

Climate change scenario analysis seeks to understand the future impact of global warming. It is currently the leading edge of thinking for investors and businesses striving to assess how climate change will affect them. This has been driven in part

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Is now the time for value?

Is now the time for value?

🕔10:28, 19.sep 2019

While September seems to have brought calmer markets at the headline level, beneath the surface this has not been the case. The past few weeks have seen momentum and growth trades come under pressure, with value outperforming growth by 4.1%

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A Window on Index Liquidity: Volumes Linked to S&P DJI Indices

A Window on Index Liquidity: Volumes Linked to S&P DJI Indices

🕔13:42, 17.sep 2019

A robust and active trading ecosystem benefits asset owners and investment managers by fostering transparency, market efficiency, and investor confidence. This paper documents, for the first time, the extent and nature of that ecosystem for indices produced by S&P Dow

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5 questions for our SmartCity portfolio manage

5 questions for our SmartCity portfolio manage

🕔12:37, 17.sep 2019

Smart Cities: Insights On A Powerful Trend Ivo Weinöhrl, Senior Investment Manager for Pictet's SmartCity strategy, explains how the powerful urbanisation trend is creating compelling investment opportunities.

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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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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

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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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