All Factor Investing/Smart Beta articles

  • ESG & Factor Investing - a new stage has been reached
    White papers

    ESG & Factor Investing: a new stage has been reached

    2020-05-15T13:43:00Z By Amundi Asset Management

    ESG Investing is evolving extremely rapidly, in Europe and abroad. The importance of taking into account environmental, social and governance factors in investment decisions has become more acute with the coronavirus. Past Amundi research has underlined that ESG integration has been a driver of alpha since 2014.

  • Factors and Factor Indices
    White papers

    Factors and Factor Indices

    2020-05-12T14:31:00Z By S&P Dow Jones Indices

    There is a subtle but important distinction between factors and factor indices.  “Factor” denotes an attribute with which long-term excess returns are thought to be associated. Fama and French, for instance, famously found that small size and cheap valuation were factors in this sense.  A number of other variables – prominently including momentum, low volatility, and quality – have likewise joined the factor pantheon.

  • S&P 500 Dividend Futures - Divining Time To Recovery
    White papers

    S&P 500 Dividend Futures: Divining Time To Recovery

    2020-05-06T13:47:00Z By S&P Dow Jones Indices

    In 2019, the S&P 500® companies in aggregate paid a record $485 billion in dividends. This year, the figure could be closer to $415 billion, and it could be another seven years before they recover to 2019 levels, according to futures prices. Dividend futures, that is.

  • Quantifying impact - measuring and managing effects on people and the planet
    White papers

    Quantifying impact: measuring and managing effects on people and the planet

    2020-05-06T13:22:00Z By Nuveen

    As responsible investing (RI) moves into the mainstream, investors are increasingly looking for strategies that go beyond traditional environmental, social and governance (ESG) principles to produce measurable benefits for people and the planet. In response, many RI programs are now expanding to embrace what are known as “impact investing” strategies. 

  • Control and transparency in equity factor investing
    White papers

    Control and transparency in equity factor investing

    2020-05-04T15:54:00Z By FTSE Russell

    The 2008 financial crisis gave a huge boost to factor investing. Twelve years later, equity markets are again being rocked, this time by the coronavirus pandemic, with its severe knock-on effect on economic activity and corporate earnings.

  • Low-Vol factor during the COVID-19 market fall
    White papers

    Blog | Why didn’t the Low Vol factor protect to the downside?

    2020-05-01T12:49:00Z By FTSE Russell

    The Q1 2020 sell-off left investors asking themselves, “Where should we have invested?” The conventional wisdom is that defensive strategies tend to be best suited to protecting portfolios during market downturns[1]. Defensive factor strategies include Quality and (low) Volatility strategies. However, the COVID-19 downturn presents us with a puzzle: while Quality preformed relatively well, (low) Volatility did not. Why didn’t Volatility protect portfolios when markets were down?

  • Crowding Risk in Smart Beta Strategies
    White papers

    Crowding Risk in Smart Beta Strategies

    2020-04-27T12:50:00Z By Scientific Beta

    A recurring criticism of smart beta strategies is the presumption of a risk of “crowding”. It is frequently pointed to as a potential risk but is rarely formalised or even defined.

  • Portfolio factor allocation schemes
    White papers

    Portfolio allocation schemes

    2020-04-23T12:13:00Z By FTSE Russell

    Factor allocation decisions are becoming a prominent consideration for factor investors. Which factors to allocate to, and in what magnitude, has a significant impact on investment outcomes and should be a key focus of investors. As multi-factor investing grows in popularity, we hope it will evolve from the mere identification of a set of factors to cover the explicit choice of the relative magnitude of each factor’s exposure.

  • How have factors in Asia reacted to COVID-19?
    White papers

    Blog | How have factors in Asia reacted to COVID-19?

    2020-04-22T13:20:00Z By FTSE Russell

    How have factor strategies performed in the coronavirus crisis?

  • Defending Your Core with Factors
    White papers

    Webinar: Defending Your Core with Factors

    2020-04-15T21:34:00Z By S&P Dow Jones Indices

    Now that the coronavirus has turned the market on its head after an 11-year bull run, investors will be forced to navigate large spikes in volatility for the foreseeable future. How can defensive factor strategies help advisors avoid retreating from the equity market and help protect client assets?

  • UK factors take a different path to safety
    White papers

    Blog | UK factors take a different path to safety

    2020-04-15T20:32:00Z By FTSE Russell

    UK factors seem to be dancing to the beat of a different drummer than those in other equity markets. Last year, while its global peers held to a strong defensive bias, the riskier Size (or smaller-cap) factor not only outstripped all other factors in the UK but everywhere else as well.

  • Weekly Market Navigation Update
    White papers

    Webinar | Weekly Market Navigation Update

    2020-04-15T20:23:00Z By FTSE Russell

    Philip Lawlor, managing director, Global Markets Research, FTSE Russell reviews Q1 2020 regional factor performance and examines the COVID–19 correction impact on factor behaviour.

  • Assessing the Robustness of Smart Beta Strategies
    White papers

    Overview: Assessing the Robustness of Smart Beta Strategies

    2020-03-31T09:15:00Z By Scientific Beta

    This is a detailed summary of the corresponding white paper that highlights the sources of a lack of robustness in the design of smart beta strategies and describes the methods employed by Scientific Beta to improve robustness. It also presents the protocol that Scientific Beta employs to measure robustness, through its four dimensions: conditional performance and risk analysis to various regimes; stability of performance and risk over time; robust statistical inference of the significance of a strategy’s outperformance; and out-of-sample testing to confirm robustness.

  • Seeking Volatility Protection Using Indices
    White papers

    Seeking Volatility Protection Using Indices

    2020-03-25T10:24:00Z By S&P Dow Jones Indices

    With markets fluctuating between “risk-on” and “risk-off” environments, shifts in economic conditions can pose significant challenges for investors. Exhibit 1 shows events throughout the current market cycle causing dramatic spikes in volatility and large drawdowns. With more of these likely in the future, as our long bull market cycle ages, how do investors best position portfolios to respond?

  • Putting Defensive Indices to the Test
    White papers

    Putting Defensive Indices to the Test

    2020-03-23T21:57:00Z By S&P Dow Jones Indices

    In January 2019, we highlighted several indices designed to reduce the impact of large equity market drawdowns. Here we analyze the same suite of indices divided across three broad categories: defensive equity, multi-asset, and volatility. This analysis simply reviews performance since the S&P 500®’s high on Feb. 19, 2020, through the close on Friday, March 20, 2020.

  • Low Volatility in Europe and Asia
    White papers

    Low Volatility in Europe and Asia

    2020-03-17T11:39:00Z By S&P Dow Jones Indices

    By this point, the infamous COVID-19 has made its way around the world and wreaked havoc through equity markets across the globe. We’ve already highlighted the value of protection in the U.S. and Canada.

  • The Virtue of Protection
    White papers

    The Virtue of Protection

    2020-03-11T11:10:00Z By S&P Dow Jones Indices

    It remains to be seen what the full economic impact of the COVID-19 virus will be, but it is already clear that no equity market  has escaped unscathed.  (In fact, most of them have been scathed rather badly.) The Canadian equity market was humming along in 2020 through February 20, 2020, with the S&P/TSX Composite climbing 5.5% in almost two months.

  • Cushioning the Decline
    White papers

    Cushioning the Decline

    2020-03-10T11:04:00Z By S&P Dow Jones Indices

    With the S&P 500 down -14.7% for calendar 2020, and -18.8% since its peak in late February, investors are rightly concerned to identify strategies that might help to mitigate the ongoing decline.  A number of defensive factor indices have performed relatively well in March, but the leader for the year so far is S&P 500 Low Volatility.

  • Financial quality metrics and ESG factor interactions in equity markets
    White papers

    Financial quality metrics and ESG factor interactions in equity markets

    2020-03-05T16:51:00Z By Eaton Vance

    As factor-based investing grows, quality factors tend to be favored most by investors, given their consistent outperformance over the past five years. As Exhibit A shows, the Russell 1000 Quality Factor Total Return Index has outperformed the Russell 1000 Total Return Index over the one-year, three-year and five-year periods ended August 30, 2019.

  • The Irrelevance of Value in Low Volatility
    White papers

    The Irrelevance of Value in Low Volatility

    2020-03-04T11:00:00Z By S&P Dow Jones Indices

    Low volatility strategies have achieved considerable market acceptance in the aftermath of the 2008 financial crisis.  For most of the 12 years since then, skeptics have argued that low vol might become, and sometimes that it has become, overvalued.  It’s an understandable concern, especially in light of the continuing popularity of low volatility strategies.