All Factor Investing/Smart Beta articles – Page 2
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White papersValue stocks – Different definitions can mean significantly different outcomes
There is no universal approach to identifying value stocks or measuring their performance.
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White papersLow-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.
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White papersDiversification 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.
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White papersUnderstanding 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?
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White papersEquity factor investing – The impact of portfolio constraints on performance
We investigate the impact of long-only constraints on portfolio performance in the context of the recent underperformance of equity multi-factor funds.
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White papersEquity factor investing: Putting performance into perspective
What drives the performance of equity multifactor funds? While the value, quality, low risk and momentum factor styles have outperformed over the long term, there have been periods of underperformance. These include the tech bubble of the late 1990s, the Great Financial Crisis of 2008, and now the COVID-19 crisis. Value factor underperformance explains this latest drawdown.
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White papersLight at the end of the tunnel for multi-factor equity investing?
Multi-factor equity investing has underperformed in 2020 as a small number of growth stocks left the peleton far behind.
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White papersFactor Investing and ESG in the Corporate Bond Market Before and During the COVID-19 Crisis
The objective of this paper is to illustrate the factor investing space in corporate bonds before and during the COVID-19 crisis and is the natural extension of our prior analysis on both the new alternative credit factors and the ESG integration in credit.
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White papersCorporate ESG News and the Stock Market
ESG investing’s popularity has continually increased in the past five years. ESG data is increasingly integrated into investment processes. However, the information contained in ESG-related news for corporates has not been entirely exploited by institutional and long-only investors.
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White papersMeasuring and Managing Carbon Risk in Investment Portfolios
This article studies the impact of carbon risk on stock pricing. To address this, we consider the seminal approach of Görgen et al. (2019), who proposed estimating the carbon financial risk of equities by their carbon beta. To achieve this, the primary task is to develop a brown-minus-green (or BMG) risk factor, similar to Fama and French (1992). Secondly, we must estimate the carbon beta using a multi-factor model.
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White papersMarket weekly – Factor investing in equities – Lessons from the COVID-19 crisis (podcast)
Our multi-factor equity strategy seeks to tilt portfolios towards value, quality, low volatility and momentum stocks. During the recent rally in developed equity markets, exposures to these factors did not perform as might have been expected. In this week’s podcast, Grégory Taieb, quantitative investment specialist, and Laurent Lagarde, head of quantitative equity portfolio management, talk to Daniel Morris, senior market strategist, about the particularities of the recent rally and the outlook for factor investing in equities.
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White papersFundamental Beta: Philosophy and Application
The Invesco Listed Real Assets Team’s philosophy behind developing the properity Fundamental Beta strategy revolves around providing a cost-effective alternative to market capitalisation-weighted passive strategies.
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White papersESG & Factor Investing: a new stage has been reached
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.
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White papersQuantifying impact: measuring and managing effects on people and the planet
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.
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White papersDisappearing Alpha & Hidden Beta—A Sleight of Hand
Comparing Option Strategy Indices and Hedge Fund Indices before and after the 2008 – 09 financial crisis reveals that what many investors thought was “alpha” was just an illusion.
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White papersEquity Portfolio Construction: Filling the Gap Between Alpha and Beta
Separating equity alpha and beta is a good first step—but could investors be doing more in the space left between them?
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White papersSimply Put(Writing)
PutWrite strategies can improve the risk-return efficiency, liquidity, flexibility and cost-effectiveness of investor portfolios.
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White papersThe Circular Q3 2019: keeping you in the sustainability loop
As responsible-investment activity heats up, we sample temperatures across the market to pinpoint flaring activity
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White papersFactor investing also works in corporate bond markets
Impressed by the historically good performance of factor investing in equity markets, more and more investors are appreciating the potential of this approach for bonds, says investment specialist Grégory Taieb of BNP Paribas Asset Management. “It can improve a portfolio’s long-term risk/return profile, and create diversification benefits for investors.”
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White papersBenefits of an allocation to low-volatility equities for risk-averse investors
While empirical evidence of the low-volatility factor has existed since the 1970’s, interest among investors grew in the wake of the global financial crisis, through exposure to low-risk strategies. The low-volatility factor became the “Hot Topic” from both an academic and an investment standpoint.
