All Factor Investing/Smart Beta articles
-
White papers*Assessing the added value of thematic investments*
Thematic investing brings a new dimension to the usual asset class categories, resulting in fresh opportunities for investors to diversify portfolio risk and mitigate the impact of correlations between asset classes, sectors, regions and styles.
-
White papers
How to Calculate the Beta of a Portfolio to a Factor
To understand risk, you have to understand the common metrics used to measure it.
-
White papers
Innovation Insights : Did The Fourth Industrial Revolution Kill Mean Reversion Investing? We Think So
Franklin Equity Group’s Matt Moberg and his team highlight three reasons we may be experiencing the demise of mean reversion investing and how we may be at the beginning of a period in which growth outperforms value.
-
White papers
Stalwarts Continue to Increase Presence in the S&P 500 Low Volatility Index
If the equity market’s report card so far in 2021 is any indication, it’s on track to be another stellar year. Through Aug. 19, 2021, the S&P 500® is up 17%. The gains were achieved steadily; apart from January, the benchmark has been up every month in 2021. Predictably, in such an environment the S&P 500 Low Volatility Index has lagged, up 14% through close of Aug. 19, 2021.
-
White papers
For sustainability, diversification and upside potential: US value equities
It’s payback time for investors who have been seeing a return to favour of the equity value investment style after years of underperformance versus growth stocks. A sustainable investing approach in value equities can enable investors to benefit from attractive valuations of responsibly managed companies that can deliver steady long-term returns.
-
White papers
Blog | Rebalancing and factor returns: separating the wheat from the chaff
Despite growing adoption of factors and factor investing, we still come across articles and publications, which seem to miss the point of portfolio rebalancing, diversification and factor returns.
-
White papers
Factors in Quant Credit
A comprehensive understanding of the application of factors is crucial for investors in quant credit.
-
White papers
The role of diversification return in factor portfolios
The Diversification Return has long been supposed to represent the incremental return associated with portfolios that are regularly rebalanced compared to those that are not.
-
-
White papers
Revisiting Quality Investing
In the field of factor investing, quality is undoubtedly the equity factor with the weakest consensus.
-
White papers
Profiling Minimum Volatility
Minimum volatility is part of a broader group of defensive strategies that have been in existence for decades. They are based on the low volatility anomaly, the phenomenon that lower-risk stocks outperform over time, contradicting the conventional wisdom that risk and reward go hand in hand.
-
White papers
Equity factor investing – An ever-evolving journey
The multi-faceted nature of equity factor investing means it can play a dynamic and highly useful role in portfolios, especially for investors looking for a diversified exposure that can perform in the long run.
-
White papers
SPIVA® 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.
