1. Our analysis examines combinations of six factors (value, low beta, profitability, investment, momentum, and size) in simple long-only, investable portfolios that reflect real-world strategies. Based on our research, these six factors produce a substantial diversification benefit across return drivers.
Sustainability, once a fringe consideration, has become a core concern for many investors. The impact companies have on the world – from climate change through to the treatment of employees – is making headlines every day. Those that adapt should
Strategy Espresso On 1 May, investors in US equities were celebrating. The S&P 500 had more than recovered all of the losses from last year’s Q4 sell-off to reach a new all-time high of 2,954. The CBOE Volatility Index (“VIX”), widely accepted
This year’s rally in risk assets came to a screeching halt in May, derailed at first by the collapse of U.S.–China trade negotiations. It was thought that a deal could emerge during the first week of the month. Instead, the
The headline growth numbers in our latest forecasts have not changed significantly since our last update in February. However, these have been boosted by a good start to the year with Q1 GDP beating expectations in the US, eurozone, UK,
Verkiezingen worden wel het feest van de democrate genoemd. In India hebben ze dat goed begrepen. De 17e natonale verkiezingen sinds de onafankelijkheid van Groot-Britannië duren maar liefst van 11 april tot 19 mei. Op 23 mei wordt de uitslag
The new measure of relationship alpha (a) can result in a more profitable wealth management firm with higher client retention and greater success in growing assets. CFA Institute publishes a rich trove of material on wealth management and professional standards.
Investors have a tendency to focus on the characteristics of their portfolios almost to the exclusion of other factors that will lead to success or failure for the larger objective that the portfolio is intended to serve. By taking into
Trend-following strategies have gone through a significant drawdown recently and delivered lower returns in the current decade compared to their multi-decade history.2 Managed futures investors are naturally wondering if something has changed and whether the strategy can deliver better returns
With equity markets strengthening and the Fed on hold there is talk of a surge, or melt-up in markets. Signs of economic recovery, low inflation and easier central bank policy in Europe and Asia reinforce the Goldilocks narrative. Macro headwinds
Strategy Espresso Markets have rallied but we haven’t seen investors go back into equities. Indeed, European-domiciled ETF flows show that fixed income was still the favoured asset class in April with $4.5 billion of inflows versus $820 million out of equity. Year to
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
Central banks have used different types of forward guidance, where the forward guidance horizon is related to a state contingency, a calendar date or left open-ended. This paper reports cross-country evidence on the impact of these different types of forward
Risk & Reward Central banks have used different types of forward guidance, where the forward guidance horizon is related to a state contingency, a calendar date or left open-ended. This paper reports cross-country evidence on the impact of these different
S&P Dow Jones Indices has been the de facto scorekeeper of the ongoing active versus passive debate since the first publication of the S&P Indices Versus Active Funds (SPIVA) U.S. Scorecard in 2002. The SPIVA Europe Scorecard measures the performance
Being successful as an active investment manager requires seeking, finding, and capitalizing on inefficiencies in the market. Markets cannot be perfectly efficient because there are costs to gathering information and reflecting it in prices. Some forces push prices toward efficiency.
Gaining attention since the 1960s, following protests against the Vietnam War and becoming more widespread following a broadcast of the TV-show Zembla (March 2007) on investments of Dutch pension funds in companies associated with the production of land mines and
Some investment strategists advocate concentrated, “best ideas” portfolios as the surest path to equity market outperformance. The premise is obvious: When a portfolio consists only of a manager’s best ideas, returns are undiluted by second-best or lesser ideas. But the
Strategy Espresso The European high yield market has continued to rally following a challenging end to 2018. In this week’s Espresso we highlight some key reasons for the recovery and why we foresee continued near-term support for the asset class. In
What, Exactly, Is a Factor1 ? According to BlackRock, as of June 2018 there was $1.9 trillion invested in factor-based strategies—a figure expected to grow by nearly 80% to $3.4 trillion by 20222 . There is no question that these
As business leaders manage the ever-changing economic, political, and technological landscape they face a significantly magnified exposure to risk and uncertainty. This creates a highly complex portfolio of potential risks that, if managed poorly, can lead to lost opportunities that
Index Investment Strategy European equities got off to a strong start in 2019, as the first quarter of 2019 began with a bullish bounce, recovering from the late 2018 pullback. The S&P Europe 350 gained 13% in Q1. All of
Index Investment Strategy European equities got off to a strong start in 2019, as the first quarter of 2019 began with a bullish bounce, recovering from the late 2018 pullback. The S&P Europe 350 gained 13% in Q1. All of
Fees are under pressure faster than market expected – is asset management no longer a growth sector? C-Suite must define a growth agenda to regain stock multiple. For alpha growth, look to China and Alts. Wholesale banks must restructure and
Price momentum is most commonly understood as a phenomenon in which assets that recently enjoyed high (low) returns relative to others are more likely to experience high (low) returns in the future. It is customarily implemented as a cross-sectional trading
