Highlights

April 9

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

To achieve long-term returns comparable to those of investment-grade credit but with a consistently lower level of risk, CPR AM has chosen to combine the DTS risk measure with a rigorous specific risk control and structural sources of return to enhance (...)

Innovation

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

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

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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 (...)

March 2017

Strategy Value, the obvious factor

All famous investors from Benjamin Graham to Warren Buffet have, first and foremost, been fervent advocates of value investing. Value can be assessed in very diverse ways and value investing can also suffer from some drawbacks. Here are a few pointers for understanding value (...)

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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 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 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 Combining Active and Passive management in a Portfolio

In recent years, long-held ideas on portfolio construction have been called into question. Investors can now choose from a range of “smart beta” strategies, offering exposure to market risk premia in a systematic, transparent fashion. Where does the dividing line between (...)

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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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Note Smart Beta 2.0 – Taking the risks of new equity benchmarks into account

In research published two weeks ago entitled, “Smart Beta 2.0,” EDHEC-Risk Institute is seeking to draw the attention of investors to the risks of traditional smart beta equity indices and propose a new approach to smart beta investing to take account of these (...)

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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 (...)

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Innovation Lombard Odier Investment Managers and ETF Securities join forces to offer fundamental fixed income exchange traded funds

Lombard Odier Investment Managers (“Lombard Odier IM”), a pioneer in smart beta fixed income investing, and ETF Securities, one of the world’s leading innovators of exchange traded products (“ETPs”), have partnered to offer a range of transparent, cost-effective and (...)

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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 (...)

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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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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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Opinion When Smart Is Not That Smart

Can Beta Become Smarter? Nobel Prize-winning economist William Sharpe introduced the notions of “beta” and “alpha” decades ago. Put simply, Sharpe defined beta as a measure of a portfolio’s sensitivity relative to the market. Under this definition, it is difficult to fathom how (...)

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Innovation Lyxor AM and Finvex Group launch the first indexed ETF on low-volatility European SRI equities

The aim of this ETF is to improve the stability of a portfolio of European equities, thereby optimising its performance. The index strategy is therefore founded on a two-pronged risk management approach that considers “qualitative risk” by filtering the investment universe in (...)

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Product BNP Paribas L1 Equity World Low Volatility

The Fund BNP Paribas L1 Equity World Low Volatility seeks to outperform the MSCI World Index over a full market cycle with risk reduction objective and limiting tracking error risk level. Absolute volatility is targeted to be lower than the MSCI World (...)

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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