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 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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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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Note Building Minimum Variance Portfolios with low risk, low drawdowns and strong returns
This paper provides an introduction to the STOXX Minimum Variance Indices and aims to achieve three things : i) an overview of minimum variance investing ii) the methodology for the construction and maintenance of the STOXX Minimum Variance Indices, highlighting the unique (...)
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Innovation State Street Global Advisors Launches Multi-Factor Global Equity Fund
Today’s launch represents one of the industry’s first UCITS advanced beta multi-factor funds combining three factors: low valuation, low volatility and high quality. All three strategies demonstrate increased risk-adjusted returns over a long-term investment horizon when (...)
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News Lombard Odier Investment Managers publishes its independently-calculated Smart Beta indexes on Bloomberg
Lombard Odier Investment Managers (LOIM), the institutional asset management arm of the Lombard Odier Group, is pleased to announce that its proprietary FWD Smart Beta indexes - calculated independently - are now available through the Bloomberg Professional (...)
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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 (...)
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Interview Philippe Goubeault : « We could replace a benchmarked fund by a ’Smart Beta’ index »
According to Philippe Goubeault, CFO of Agirc Arrco, ’Smart Beta’ strategies can already be part of the asset allocation program of Agirc and Arrco even if their current weight in existing portfolios is not significant (...)
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Note Lyxor research highlights the growing role of Smart Beta in new investment strategies
Lyxor Asset Management today unveils the results of a new wide-ranging study that compares the performance of European domiciled active funds with that of their benchmarks. The research highlights the growing importance of risk factors and other Smart Beta strategies in (...)
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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 Controling investment risk in commodities investment
Commodities exhibit unique characteristics including low correlations with bonds and equities and inflation-hedging abilities. These have made commodities an attractive addition to diversified portfolios and have generated growing interest in commodity (...)
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Note Diversity wins : Persistent investor interest in smart beta, particularly within diversifying strategies
Willis Towers Watson’s institutional investment clients globally allocated $10bn, via 175 selections, to diversifying investment strategies in 2015. Within this grouping, liquid alternatives attracted the most interest with over $8.1bn, of which approximately half is in smart (...)
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Innovation Solactive launches Solactive SuperRegion Select Index licensed to Credit Suisse
Solactive AG, the German multi-asset class index provider, announces today the release of the Solactive SuperRegion Select Index. The new launch consists of a smart beta concept incorporating high dividend yield shares that also exhibit low historical volatility from Asia, (...)
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