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 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 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 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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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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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 (...)
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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 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.
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Note A growing interest from investors in Smart Beta ETFs with more requirements and challenges to address
In a survey of investment professionals conducted as part of the Amundi ETF, Indexing & Smart Beta research chair at EDHEC-Risk Institute on “ETF and Passive Investment Strategies”, EDHEC-Risk Institute has solicited the specific views of 180 European ETF investors on (...)
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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 “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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Pedagogy 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 (...)
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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 (...)
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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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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 (...)
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