All Strategies articles
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White papersBlog | 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.
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Video
Exploring the Potential Implications of Market Reversals
How has the market’s response to the pandemic impacted the potential opportunity set?
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White papers
Revisiting Quality Investing
In the field of factor investing, quality is undoubtedly the equity factor with the weakest consensus.
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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.
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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.
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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.
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White papers
Value 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 papers
Macro Monthly. The market will test the Fed. The Fed will win.
In coming months, the market may confuse the Federal Reserve’s increasing bullishness on the US economic outlook with hawkishness on rate expectations.
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White papers
Russell Growth and Value indexes: the enduring utility of style
As of December 31, 2019, there were $5.7 trillion of active strategies using Russell US Style Indexes as performance benchmarks, and $466 billion using them as the basis for passive investment, for a total of $6.2 trillion in benchmarked assets.
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White papers
Macro Quarterly - New year, same early-cycle recovery
Macroeconomic themes and tactical asset allocation opportunities
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White papers
Liquidity Stress Testing in Asset Management
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers asset-liability liquidity risk management (or asset-liability matching).
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Video
How Indexing Has Simplified Factor Investing
Explore two paths to implementing quality in portfolios as S&P DJI’s Shaun Wurzbach and Pavel Vaynshtok join Andrew Neatt from TD Wealth Private Investment Advice for a practical look at using S&P 500 Quality Index and S&P 500 Dividend Aristocrats to protect against short-term shocks and keep long-term goals in reach.
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White papers
IPE EDHEC Research Insights Autumn 2020
This Scientific Beta special issue of the Research Insights supplement to IPE contains articles on
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White papers
Video: Why investors are turning to private assets amid uncertainty
In this video Georg Wunderlin and Johanna Kyrklund discuss the key challenges and benefits of using private assets, as identified by Schroders’ Institutional Investor Study.
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White papers
Fear and volatility in Los Angeles
Investors have adopted forward-looking measures of risk as inputs into strategic asset allocation exercises. The two approaches most commonly employed today are:
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White papers
Inverting factor strategies
Factor investing is a simple concept. Put simply, factor exposures drive the performance of diversified portfolios. With a construction technique that furnishes the ability to achieve precise and controlled factor exposures, it is possible to readily construct factor strategies—and their opposites—in a transparent manner.
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White papers
Epic Battle or Rope-a-Dope?
Identifying the winner of the rumble between ‘The Japanifier’ and ‘The Stimulator’ is likely to be the key determinant in successful portfolio construction for years to come.
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White papers
Monthly Allocation Views
It’s clear that this is not a normal summer. Allocation Views discusses adapting to a new way of doing things.
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White papers
Vixology
How VIX history rhymes—and why we believe option writing strategies are still attractive despite the huge equity market rally.
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White papers
Do we Need Active Management to Tackle Capacity Issues in Factor Investing?
This paper shows that the claims by Blitz and Marchesini (2019), who question the investability of factor indices and argue that active management is needed to avoid capacity issues, do not hold for the following reasons:
