Value investing has underperformed growth investing for over 13 years. We examine several narratives that suggest why the long-term efficacy of the value factor may be dead. Using a bootstrap analysis, we show the likelihood of observing such a large
No it’s not. Quite the opposite. I didn’t want to keep you in suspense. Now for some detail. My colleagues have written a great paper (IMHUO) examining the issue (and sharing this blog’s title). It goes without saying that we
Qontigo has introduced a new series of factor-based indices known as the STOXX® Factor Indices. These are designed for investors who want to take advantage of the benefits of reaping factor premia while avoiding the noise that pervades many other
Investors found few places to hide in the recent and sudden equity market drawdown. Even previously defensive, low-beta stocks weren’t exempt from losses. In this paper, we share our observations of an anomalous shift in equity betas across the market,
Webinar – Five Basic Swing Trading Strategies In the webinar, Trevor Neil will share five basic Swing Trading Strategies. Most people use Swing Trading as a term to describe trades with a holding period of one day up to several
Webinar – Five Basic Swing Trading Strategies In the webinar, Trevor Neil will share five basic Swing Trading Strategies. Most people use Swing Trading as a term to describe trades with a holding period of one day up to several
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
Factor investing requires a long-term perspective Talking about a demise of factors seems premature Active managers can add value through intelligent design
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™
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
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
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‐
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
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
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
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
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
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
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
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
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
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
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.
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
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
"Our midyear #outlook" -> https://www.opiniopro.com/2020/07/blackrock/our-midyear-outlook/
"Monthly Must-Reads" -> https://www.opiniopro.com/2020/07/opiniopro-selection/monthly-must-reads/
"Road to Recovery" -> https://www.opiniopro.com/2020/07/opiniopro-selection/road-to-recovery/ #recovery #credit #monetarystimulus #spreads
"Investment Strategy Commentary: Will the V Become a W?" -> https://www.opiniopro.com/2020/07/northern-trust/investment-strategy-commentary-will-the-v-become-a-w/
