Highlights

May 2019

Note Factor investing in fixed-income: EDHEC-Risk Institute paper shows that it is possible to build duration-timing strategies that are economically superior to bearing unconditional duration risk

The abundance of theoretical and empirical research on factor investing in the equity universe contrasts strongly with the relative scarcity of research on the existence and exploitability of risk premia in bond (...)

Strategy

An alternative to traditional Euro Credit Management: a Smart Beta Credit approach incorporating ESG criteria

Innovation

Solactive launches the Adaptive Wealth Strategies U.S. Factor Index combining three strategies in one index

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August 2018

News ETFGI reports that Active ETFs and ETPs listed globally reach a new high of US$95.9 billion at the end of July 2018

ETFGI, a leading independent research and consultancy firm on trends in the global ETF/ETP ecosystem, reported today that assets invested in Active ETFs and ETPs listed globally reached a new high of US$95.9 billion, following net inflows of US$3.59 billion and market moves (...)

March 2018

Strategy Does a liquidity factor premium exist in the stock market?

Academic studies present ample evidence in support of the existence of four factor premiums in stock markets: Low Risk, Value, Momentum, and Quality. Factor investing puts these concepts into practice by enabling investors to allocate their capital explicitly to these (...)

February 2018

News ETFGI reports that assets invested in Smart Beta ETFs and ETPs listed globally increased by 32.3 percent during 2017 to reach 658 billion US dollars

ETFGI reported today that assets invested in Smart Beta ETFs and ETPs listed globally increased by 32.3% during 2017 to reach a new high of US$658.35 Bn at the end of December. (All dollar values in USD unless otherwise (...)

January 2018

Innovation Solactive expands family of USD High Yield Corporates Indices used as the basis for three new Xtrackers ETFs

Solactive is adding three new indices to its family of high yield corporate bond indices, which have been developed as the basis for three new Xtrackers ETFs issued this week and trading on the NYSE.

January 2018

News Amundi extends its Smart Beta and Factor Investing range with a new Dynamic Multi Factor Allocation process

Amundi launches a dynamic multi factor equity range within its Luxembourg international flagship Amundi Funds SICAV: “Amundi Funds Dynamic Multi Factors Euro Equity”, “Amundi Funds Dynamic Multi Factors Europe Equity” and “Amundi Funds Dynamic Multi Factors Global (...)

December 2017

Strategy How does ‘quantamental’ fit with factor investing?

‘Quantamental’ is a relatively new portmanteau word in asset management lingo. Its creation is indicative of a trend in our industry. Quantamental is the fruit of the marriage of the quantitative and fundamental (also known as judgmental) disciplines in managing (...)

November 2017

Innovation Amundi unveils the first European Equity Multi-Factor Market Neutral ETF

Amundi ETF continues to innovate with the launch of the first European Equity Multi Factor Market Neutral ETF. Available on Euronext Paris, it will also be listed on the main European stock exchanges in the coming (...)

October 2017

News ETFGI reports assets invested in Smart Beta equity ETFs/ETPs listed globally have increased 18.3% in 2017 to reach a new record of US$630 Bn at the end of August

ETFGI reported today that assets invested in Smart Beta equity ETFs/ETPs listed globally have increased 18.3% in the first 8 months of the year, reaching a new record of US$630 Bn at the end of August 2017...

September 2017

News ETFGI reports assets invested in Smart Beta equity ETFs/ETPs listed globally have increased 18.3% in 2017 to reach a new record of US$630 Bn at the end of August

ETFGI, a leading independent research and consultancy firm on trends in the global ETF/ETP ecosystem, reported today that assets invested in Smart Beta equity ETFs/ETPs listed globally have increased 18.3% in the first 8 months of the (...)

June 2017

News Aberdeen adds smart beta fund to quant product range

The Fund offers exposure to five targeted ‘risk premia’ factors: value, quality, momentum, small size and low volatility. The investment objective is to provide investors with risk-adjusted returns with an emphasis on income generation and a volatility well below that of (...)

May 2017

Innovation Solactive launches Stable Income Europe Index

The index targets investors interested in a smart beta concept that puts more emphasis on the role played by free cash flow yield, aside from tilting composition towards high dividend and low volatility shares. Specifically, free cash flows are typically used to provide an (...)

April 2017

Strategy Low volatility, the hidden factor

Robert Haugen, who discovered the low-volatility anomaly in 1972, wrote numerous articles and books to try to popularise what he called the ‘hidden factor’. To some extent, it was only the advent of smart beta investment strategies that turned his dream into reality, as low (...)

April 2017

News European Smart Beta ETF market flows accelerated in Q1 2017 at EUR1.8bn.

Total Assets under Management are up 11% vs. the end of 2016, reaching EUR 31.8 billion and including a positive market impact (+4.2%). Net New Assets into Smart Beta ETFs have already reached a quarter of the record high EUR7bn figure reached in (...)

April 2017

Strategy Quality, the positive factor

Quality is positive: it is about good companies that are efficient at managing their businesses profitably, creating shareholder value and being rewarded with above average returns. Yet, quality is not always easy to recognise or measure. Here are a few pointers for avoiding (...)

March 2017

Opinion Psychology and smart beta

‘Smart beta’ sounds like an oxymoron. How smart can it be to continue using the same strategy in such fickle markets? A portfolio manager calling on all his skills (‘alpha’) in analysing market environments (the source of ‘beta’) should be able to outperform an unchanged (...)

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Strategy Risk factor investing explained

Risk factor investing is growing in popularity, but there’s a risk of getting lost in the factor “zoo”. In this Expert Opinion Thierry Roncalli, Head of Quantitative Research at Lyxor Asset Management, explains the concept of risk factors and distinguishes between facts and (...)

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Strategy How Smart is ‘Smart Beta’ Investing?

Investors increasingly embrace “smart beta” investing, by which we mean passively following an index in which stock weights are not proportional to their market capitalizations, but based on some alternative weighting scheme. Examples include fundamentally-weighted indices (...)

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Strategy From Smarter Beta to Smart Alpha

Unlike cap-weighted indexes, smart beta strategies are not buy-and-hold: they require trading and rebalancing to maintain their respective exposures. This can have a surprising impact on long-term performance, and may also provide a cause for concern in the shorter (...)

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Strategy Does a liquidity factor premium exist in the stock market?

Academic studies present ample evidence in support of the existence of four factor premiums in stock markets: Low Risk, Value, Momentum, and Quality. Factor investing puts these concepts into practice by enabling investors to allocate their capital explicitly to these (...)

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Strategy Why is smart beta a true revolution?

So what is “smart beta”? A mere revolt against traditional indices? No, Sir, it’s a true revolution – the factor investing revolution. The questioning of allegiance to traditional indices, which until now were used broadly despite some serious drawbacks, has only just begun, but (...)

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Strategy Risk factors: taking risk budgeting one step further

An increasing number of pension funds are opting to invest in ‘alternative’ or ‘smart beta’ indices to supplement their passive management activities. Several competing methods currently exist, each with their own objectives. Analysing the risk contribution of each factor by (...)

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Strategy How does ‘quantamental’ fit with factor investing?

‘Quantamental’ is a relatively new portmanteau word in asset management lingo. Its creation is indicative of a trend in our industry. Quantamental is the fruit of the marriage of the quantitative and fundamental (also known as judgmental) disciplines in managing (...)

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Opinion Psychology and smart beta

‘Smart beta’ sounds like an oxymoron. How smart can it be to continue using the same strategy in such fickle markets? A portfolio manager calling on all his skills (‘alpha’) in analysing market environments (the source of ‘beta’) should be able to outperform an unchanged (...)

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Interview Caroline Le Meaux Lambert : « We are looking for strategies able to benefit from upward equity trends while limiting volatility »

Caroline Le Meaux Lambert, head of delegated asset management at Caisse des Dépôts for the French public pension fund Ircantec, tells us a little more about the Smart Beta concept.

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Strategy “Diversified Equity Factor Investing” combines four complementary factors that are loosely correlated with one another

Based on factor investment, this innovative approach capitalises on the attractive performances thus far of smart beta strategies. It is based on the combination, within the same portfolio, of four complementary factors that are loosely correlated with one another: Quality, (...)

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Strategy Invest with “style” and outperform

Investment « styles » aim to capture risk premia and/or market anomalies that can be seen structurally over long periods. While no formal classification exists, a distinction is traditionally made between four major style families, not only applicable to equities but also to (...)

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Interview Yves Choueifaty : "Our Smart Beta strategy is designed to maximize diversification of any given investment universe"

According to Yves Choueifaty, Founder and President of TOBAM, The main advantage of the TOBAM’s Anti-US Credit Benchmark® is to build a portfolio without "bias" towards highly indebted issuers or those belonging to a particular (...)

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News ETFGI reports that assets invested in Smart Beta ETFs and ETPs listed globally increased by 32.3 percent during 2017 to reach 658 billion US dollars

ETFGI reported today that assets invested in Smart Beta ETFs and ETPs listed globally increased by 32.3% during 2017 to reach a new high of US$658.35 Bn at the end of December. (All dollar values in USD unless otherwise (...)

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Strategy Solactive starts benchmark offering - Sets the foundation for new smart beta index creation

Solactive, one of the growing player in the index space, made a strategic decision to enter the benchmark index business with the launch of benchmark families in the equity as well as the fixed income space...

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Innovation Solactive expands family of USD High Yield Corporates Indices used as the basis for three new Xtrackers ETFs

Solactive is adding three new indices to its family of high yield corporate bond indices, which have been developed as the basis for three new Xtrackers ETFs issued this week and trading on the NYSE.

Focus

Interview Isabelle Bourcier : “Our ambitions is to grow in Smart Beta and SRI ETFs”

Evolution of the ETF market, impact of the regulations, ongoing development at BNP Paribas Asset Management...Isabelle Bourcier, Head of quantitative and index management at BNP Paribas Asset Management shares its view with (...)

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