All Factor Investing/Smart Beta articles – Page 4
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White papersUsing factor investing to navigate choppy, low-return markets
Describing factors and how to implement them in portfolio construction
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White papersPositioning Value in Portfolio Construction
Value investing is well used by investors, and has been the subject of extensive academic research. Yet recent years have shown that value factor has not behaved as expected.
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White papersAlternative Risk Premia: what do we know?
In a challenging low yield environment, rethinking traditional asset allocation strategies is a common challenge for investors and asset owners in order to diversify their portfolio and capture new sources of returns.
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White papersSmarter beta: Multi-factor investing for corporate credit
Olivier Laplénie finds that smart beta fixed income for corporate debt is best informed by a subtle combination of bond and equity indicators
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White papers
Style Investing in Fixed Income Markets
A disciplined, systematic approach to over/underweight securities based on well-known factors, or styles, such as value, momentum, carry and defensive, can offer alternative sources of outperformance not only within equities, where these ideas have long been studied and applied, but also within fixed income markets.
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White papers
Value in Selecting Sectors: Sector rotation strategy based on the Shiller CAPE ratio
Each year there are significant differences between the performance of the best sector and the worst, making it more attractive to invest in the former rather than the latter.
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White papers
The flexibility of factor investing facilitates the creation of low carbon active strategies
In a research article published in 2012 in the Journal of Portfolio Management, entitled “Demystifying risk-based strategies: A simple alpha plus beta description”, BNP Paribas Investment Partners was already demonstrating that the excess return of traditional smart-beta strategies could be explained by their factorial exposures.
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White papers
Measuring Portfolio Factor Exposures: A Practical Guide
Why Should Investors Care About Factor Exposures?
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White papers
The last Smart Beta paper you’ll ever (have to) read
Institutional investors could be forgiven for rolling their eyes at yet another article on “smart beta.” Indeed, the hype around this topic over the last few years has been intense.
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White papers
Absolute Return Fixed Income: Where does it fit in?
We define absolute return as a style of investing focused on alpha strategies with returns coming from beta largely excluded. While beta is usually positive, it may not always be.
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White papers
PanAgora - Diversification beta strategies
Among equity investors the term “Alternative Beta” has come to refer to an alternative investment approach to passive capitalisation weighted (CW) portfolios.
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White papers
The case for pension funds to consider buy and maintain
Why should pension funds consider a buy and maintain strategy and how are such strategies being used by pension funds?
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White papers
Research Affiliates - Financial engineers and the factor bubble
Is there a factor bubble? Tabulating papers in the top finance journals, nearly 250 factors appear to provide excess returns.
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White papers
Russell Indexes - Smart beta implementation strategies
Insights into how smart beta is being implemented, focusing on the survey responses of over 50 asset owners that currently have smart beta allocations
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White papers
TOBAM - Make diversification your beta
Yves Choueifaty, President and Founder of TOBAM, explains why concepts such as “smart beta” or “neutral portfolio” require clear definitions and how the Maximum Diversification® approach answers the need for beta.
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White papers
PanAgora - Efficient smart beta analysis
There is increasing interest in “smart beta” strategies as investors seek new ways in which to capture risk premia more efficiently and inexpensively. However, the term “smart beta” means different things to different people.
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White papers
Some smart beta approaches are smarter than others
The ‘low-risk anomaly’ has been around since at least 1926. Empirical evidence first found over 40 years ago shows that low-volatility investment portfolios tend to produce higher returns than riskier portfolios
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White papers
Smart beta: Not new, not beta, still awesome
Let’s be blunt. Smart Beta is mostly re-packaged, re-branded quantitative management. That’s not to say we don’t like it or think it’s not good for investors.
