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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Product iSTOXX™ Europe Minimum Variance
The approach initiated by Ossiam’s research and management team intends to obtain an optimized portfolio that includes a selection of stocks where volatility is among the lowest in the investment universe
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Interview Michel Manteau : « We have mainly chosen minimum variance strategies because we seek to reduce the volatility of our equity portfolio »
Michel Manteau, head of portfolio management at CARMF (« Caisse Autonome de Retraite des Médecins de France »), the retirement institution for french doctors tells us more about Smart Beta strategies.
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Interview Salwa Boussoukaya-Nasr : « We look at all the existing strategies that are based on risk metrics, factor-based or fundamental values approaches. »
According to Salwa Boussoukaya-Nasr, CFO of FRR (« Fonds de Réserve pour les Retraites ») the French reserve fund, developments are necessary for more transparency for the turnover costs generated by the implementation of Smart Beta (...)
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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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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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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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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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News Solactive joins forces with Sarasin & Partners LLP on the Sarasin Systematic Efficient Indices
Solactive AG is pleased to join forces with Sarasin & Partners LLP on Sarasin’s Systematic Efficient Approach Indices (SSEA Indices), a family of indices which seek to outperform the market-cap over the medium-long term and across multiple market (...)
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Innovation Invesco launches high-dividend, low-volatility ETFs
According to Invesco, Canadian investors are increasingly seeking income from their holdings but they may be concerned about the relatively limited opportunities within the domestic equity market. Foreign equity markets may provide greater (...)
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News European Smart Beta ETF Market Trends
European Smart beta ETF market flows are still positive in the second quarter of 2015, but growth has decelerated compared to Q1 2015. NET NEW ASSETS (NNA) year to date (30/06/2015) amounted to EUR 2.3 billion, i.e. 60% of the 2014 NNA within the first half of the year. Total (...)
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Interview Philip Tindall : « We see further development of non-market cap approaches in bonds »
According to Philip Tindall, senior investment consultant at Towers Watson, there has been a lot of interest in smart betas area, and investors are beginning to allocate assets - Towers Watson’s clients have invested more than (...)
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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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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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