All Factor Investing/Smart Beta articles
-
White papersSPIVA® Around the World
Percentage of active funds outperformed by benchmarks over 1, 3 and 5-year periods
-
White papers
Value and Growth: The Indivisible Dichotomy
Mutual Series’ Director of Research Grace Hoefig explains how value investing involves more than just computing ratios.
-
White papers
Building Short-Term Resilience Into Long-Term Premia
Strategies designed to deliver risk premia over time need help to survive potential potholes and hairpin corners along the way.
-
White papers
A Return to Normalcy?
The onset of the COVID-19 pandemic a year ago produced the highest-ever monthly volatility reading for the S&P 500® in March 2020. Volatility began to decline as the market’s recovery began, but if we measure volatility on a 12-month trailing basis, as we do in Exhibit 1, we see the sustained impact of last year’s ructions.
-
White papers
Mean Reversion and Momentum
After almost four years of underperformance, we witnessed a change in fortune in February 2021, as the relative performance of the S&P 500® Equal Weight Index turned positive. By the end of April, Equal Weight had outperformed the S&P 500 by 11% over the prior 12 months, as we see in Exhibit 1.
-
White papers
Value and multi-factor equity investing – When value spreads compress
With value spreads now at levels last seen at the peak of the tech bubble in 2000 [1], we expect spreads to narrow in the coming years. That bodes well for value and multi-factor equity strategies irrespectively of their level of sophistication.
-
White papers
Happy Birthday to Low Vol and High Beta!
On April 4, 2011, S&P DJI launched two strategy indices, the S&P 500® Low Volatility Index and the S&P 500 High Beta Index. Ten years of live history let us compare how the two indices actually performed versus their pre-launch back-tests.
-
White papers
Value investing: Is this the biggest opportunity since the tech bubble?
Value stocks have been underperforming ‘glamour stocks’ for a while, rendering valuations as cheap as they were in the tech bubble of 2000, while ‘glamour stocks’ are as expensive as back then.
-
White papers
Blog | Regime change takes root in Factorland
The rotation away from pricey defensive factors (notably Quality) into their cyclically sensitive counterparts (led by Value) went into overdrive in Q1 2021 as markets recalibrated expectations for a quicker post-crisis economic recovery.
-
White papers
Blog | Regimes matter: new thinking in explaining factor behavior
Data since the Global Financial Crisis (GFC) demonstrates that the link between factors and economic cycles is broken—and in effect, the traditional “Investment Clock” framework for explaining factor behaviour is no longer applicable. If we look to evolve this thinking for the post-GFC period, we find in our recent paper that economic volatility regimes have a significant impact on factor payoffs.
-
White papers
Diversify your allocation to corporate bonds with multi-factor investing
Over the past decade, multi-factor investing in corporate bonds has seen significant development. Easier access to better datasets along with an extensive body of research has enabled managers to move the dial significantly.
-
White papers
Is factor investing still relevant today?
In 50 years of factor investing, there have been a series of love/hate phases with regard to the use of factors in selecting stocks for portfolios.
-
White papers
Opportunity Does Now Equal Attainment
We’ve previously argued that most managers should prefer above-average correlation, because the incremental volatility a manager accepts to pursue an active strategy will be lower when correlations are high.
-
White papers
Value stocks – Different definitions can mean significantly different outcomes
There is no universal approach to identifying value stocks or measuring their performance.
-
White papers
The Case for The S&P 500 GARP Index
The S&P 500® GARP (Growth at a Reasonable Price) Index just had its second anniversary since its launch in February 2019. During the latter half of this time, the world experienced the worst global pandemic in a century. Equities entered a swift V-shaped bear market and rebound.
-
White papers
Low-volatility investing, here for the long run
A decade ago, after undertaking comprehensive proprietary research into the characteristics of low-risk stocks, we launched our global low-volatility equity strategy.
-
White papers
Diversification through factor-based investing in corporate bonds
Allocations to factor-based strategies in corporate bonds have grown, with an expanding body of research demonstrating its advantages.
-
White papers
Understanding the Performance of the Equity Value Factor
After decades of sound performance, doubts have been cast on the ability of the equity value strategy to keep delivering in the aftermath of the 2008 Global Financial Crisis. Indeed, in a context marked by low yields, sluggish growth and subdued inflation combined with an accelerating digitalization of the economy, value investors have struggled to see the light at the end of the tunnel. But what does the future hold?
-
White papers
Exploring Techniques in Multi-Factor Index Construction
In multi-factor equity index construction, the decision-making and practical implementation can be complex and challenging. This paper examines the range of portfolio construction choices available to those seeking rank-based, multi-factor approaches, and the relative advantages of each.
-
White papers
Man Bites Dog: The Year for Active Management?
For at least five years, we’ve noticed that, despite historical performance, active managers regularly proclaim that this year will at last be the time when active management shows its value.
