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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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Quality Growth: Resilient businesses in a low-rate world

Quality Growth: Resilient businesses in a low-rate world

🕔09:46, 28.Aug 2020

Growth stocks have continued to outpace value stocks in the recent market volatility Quality Growth, a subset of the growth universe, has shown relative resilience in this selloff Experienced management teams, robust balance sheets, high return on capital and strong

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A Consistent Approach To Custom Esg Investing

A Consistent Approach To Custom Esg Investing

🕔15:16, 20.Aug 2020

Introduction Sustainable investing is under increased scrutiny, as a series of proposed and upcoming regulations start to take effect. The EU Action Plan: Financing Sustainable Growth now requires investment firms doing business in the EU to implement mandated Environmental, Social

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“Deferred Growth” Companies Pose Intriguing Opportunities

“Deferred Growth” Companies Pose Intriguing Opportunities

🕔07:49, 30.Jul 2020

Some strong firms may benefit from a delayed surge in demand. We believe investors should cast a wide net in the search for secular growth opportunities. Health care firms involved in diagnostics and bioprocessing have stayed largely out of the

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Investment style rotations: growth versus value

Investment style rotations: growth versus value

🕔15:10, 24.Jul 2020

Style rotations, where investors switch one type of investment style for another, are nothing new. At some point during most investment cycles different styles – such as growth, quality and value – will outperform at different points as investors rotate

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Reports of Value’s Death May Be Greatly Exaggerated

Reports of Value’s Death May Be Greatly Exaggerated

🕔14:54, 15.May 2020

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

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Is (Systematic) Value Investing Dead?

Is (Systematic) Value Investing Dead?

🕔13:58, 15.May 2020

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

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Introducing Stoxx® Factor And Esg-X Factor Indices: Get More From Your Premia Exposures

Introducing Stoxx® Factor And Esg-X Factor Indices: Get More From Your Premia Exposures

🕔09:02, 7.May 2020

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

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March mayhem: was your portfolio betrayed by beta?

March mayhem: was your portfolio betrayed by beta?

🕔16:56, 29.Apr 2020

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,

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Refinitiv – Webinar – Five Basic Swing Trading Strategies

🕔12:45, 20.Apr 2020

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

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Refinitiv – Webinar – Five Basic Swing Trading Strategies

🕔00:00, 17.Apr 2020

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

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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.Oct 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.Oct 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.Oct 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.Oct 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.Oct 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.Oct 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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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 impact of ESG momentum on valuations

The impact of ESG momentum on valuations

🕔18:57, 9.Sep 2019

How changes in ESG ratings affect price Can you do well by doing good? Environmental, social and governance (ESG) investing has undeniably begun its ascent to the mainstream. This trend not only suggests investors are more readily prepared to pursue

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Investment Consultants And Esg: An Asset Owner Guide

Investment Consultants And Esg: An Asset Owner Guide

🕔18:46, 9.Sep 2019

As institutional investors, we have a duty to act in the best long-term interests of our beneficiaries. In this fiduciary role, we believe that environmental, social, and governance (ESG) issues can affect the performance of investment portfolios (to varying degrees

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Risk and Premium –  A Tale of Value

Risk and Premium – A Tale of Value

🕔18:26, 9.Sep 2019

White Paper Introduction Whatever price multiple of which you are a fan, whichever sectors you exclude, however you neutralize your exposures, whether you equal-weight or cap-weight, one thing remains true: cheap stocks have had an unhappy decade.1 In some cases

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Managing market volatility

Managing market volatility

🕔18:14, 9.Sep 2019

How are defensive market strategies evolving today? Volatility is higher than in 2017, but not in a long-term context Brexit has been more concerning to investors than the China-US trade wars Investors are not driven to change strategy according to

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Top of Mind: Existential questions about value, international diversification, and China

Top of Mind: Existential questions about value, international diversification, and China

🕔18:06, 9.Sep 2019

THIS QUARTER, I FOCUS ON questions being raised about the benefits of investing outside the US and in value stocks. I’ll acknowledge up front that I’m a believer in both of these strategies, but I’ve tried to compensate for any

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3 Habits Of Highly Effective ‘Active’ Investors

3 Habits Of Highly Effective ‘Active’ Investors

🕔18:04, 9.Sep 2019

1 Actively understand the portfolio 2 Actively identify and combine different sources of return 3 Actively use the whole investment toolbox 

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Actively managed low beta: Accessing the benefits while managing potential risk

Actively managed low beta: Accessing the benefits while managing potential risk

🕔10:36, 4.Sep 2019

We believe low-beta equity opportunities can be found across all global markets and sectors. Investing in these opportunities with traditional low-beta strategies can incur unintended risks from significant country, sector, and duration exposures versus cap-weighted benchmarks. Actively managed strategies can

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Integrating Low-Carbon and Factor Strategies in Asia

Integrating Low-Carbon and Factor Strategies in Asia

🕔17:59, 3.Sep 2019

Low-carbon and factor-based investing are two key trends in the global investment management industry. This paper investigates the impact of low-carbon screening on traditional market-cap-weighted portfolios and factor portfolios (quality, value, momentum, and low volatility) across seven Asian markets: Australia,

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Factor Investing in Currency Markets: Does it Make Sense?

Factor Investing in Currency Markets: Does it Make Sense?

🕔09:01, 25.Jun 2019

The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing. Today, institutional investors structure their strategic asset allocation around five risk factors: size, value, low beta, momentum and quality.

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Strategies for Reducing Failures of Self-Control

Strategies for Reducing Failures of Self-Control

🕔13:05, 20.Jun 2019

David Laibson discusses his findings on what types of strategies work best to encourage investors to exert selfcontrol, whether it may be saving more for retirement or resisting the impulse to sell into a falling market.

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The Carry Concept

The Carry Concept

🕔17:02, 7.Jun 2019

FTSE Fixed Income Factor Research Series As a well-known concept to practitioners and academics, carry has been leveraged in the currency markets for decades. With the understanding of such FX carry trades becoming established, recent academic publications have explored this

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Klimaatverandering: de urgentie rond de 2°c – wie volgt ons?

Klimaatverandering: de urgentie rond de 2°c – wie volgt ons?

🕔15:03, 6.Jun 2019

195 landen ondertekenden in 2015 het Klimaatakkoord van Parijs. Maar in 2018 tekenden slechts 20 staats- en regeringsleiders present op de COP 24. Klimaatverandering was naar verluidt slechts een theorie, maar kijk maar eens naar het weerbericht op tv. Verzekeringsmaatschappijen

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European Conservative Equities strategy

European Conservative Equities strategy

🕔14:04, 3.Jun 2019

In this article, we investigate the current bottom-up attractiveness of European sectors and countries and provide a few examples to illustrate how we are able to find attractive low-risk, high-income stocks with positive momentum across the whole European equity market

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