All Strategies articles
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White papersIs 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
Asset allocation: In the midst of the Covid-19 winter
Macro developments confirm our base case. Unusual risk factor distracts investors from positive market fundamentals. We maintain a pro-risk stance through equities, high yield and oil.
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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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White papers
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
The Market Is Up, But So Is Volatility
So far, 2020 has brought us a global pandemic, a coordinated global economic shutdown, and, in the U.S., a notably contentious election. So it’s no surprise that volatility has been, and remains, elevated. Despite all this, equities have fared reasonably (some would say surprisingly) well, with the S&P 500® climbing 13% through Nov. 19 since the end of 2019.
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White papers
Motions of the Market
The S&P 500® rose by 10% in the 12 months ending on Oct. 31, 2020, trouncing the S&P 500 Equal Weight Index by 9.1%, as seen in Exhibit 1. While such outperformance is not unprecedented, it does remind us of previous market peaks (especially in December 1999), and raises questions about whether a reversal may be in the cards.
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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
Not a Coincidence
We recently issued our mid-year SPIVA® reports for the U.S., Australia, and Europe, and other regions will follow in due course. Although one can sometimes find exceptions in the short run, the long-term results of SPIVA can be easily summarized:
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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
Comparing Defensive Factors During the Last 3 Bear Markets
In the factor world of investing, Low Volatility and Quality have been commonly referred to as defensive factors. The following is an examination of the performance of the S&P 500 Quality Index and the S&P 500 Low Volatility Index compared to the S&P 500 during the last 3 equity bear markets. The graphs and data in this report are generated from the Optimal Asset Management’s Factor Allocator Tool.
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White papers
The S&P Global REIT QVM Multi-Factor Index Part II – Performance, Country Composition, and Factor Exposure
In the previous blog, we introduced the construction process of the S&P Global REIT Quality, Value & Momentum (QVM) Multi-Factor Index. In this blog, we look into the empirical results of the strategy.
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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
The S&P Global REIT QVM Multi-Factor Index Part I – Strategy Construction Process
In this blog (and in a subsequent post), we will introduce the S&P Global REIT Quality, Value & Momentum (QVM) Multi-Factor Index. This index integrates individual quality, value, and momentum factor scores into one composite and is designed to capture multi-factor equity premia. In essence, the strategy seeks to include companies with the following characteristics: solid financial strength combined with steady fund flow from operation (FFO) growth, attractive valuation, and lasting risk-adjusted momentum.
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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.
