All topics

The Top Factor Investing Papers of 2018

The best of 2018 - Factor Investing and Smart Beta

The winning and commended papers for all 15 categories at the 2018 Savvy Investor Awards were announced on December 4th.  The first link below will take you straight to our blog for the Best Factor Investing Paper category, where you can view both the winning paper and the other commended papers that were recognized.   

Additionally, we've included some great factor investing papers from the past few weeks, most of which just missed the cutoff for this year's awards.  

best factor investing 2018


The Best Factor Investing Papers of 2018 (Savvy Investor Awards)

The winner of this year's award for Best Factor Investing Paper was AQR. Click here for more information about their paper as well as other commended papers recognized in the Savvy Investor Awards.


Alternative approaches to multi-factor index construction (FTSE Russell)

FTSE Russell shows that a bottom-up approach to multi-factor index construction that is based upon multiple tilting provides advantages to a top-down approach based upon selection and weighting.

Smarter Beta via Optimization and Custom Risk Modelling (Axioma)

Axioma and CS HOLT discuss a process whereby an optimizer and a custom risk model can be used together to create a portfolio of precise factor exposures with an intuitive profile of return attribution and a high information ratio.

Invesco Global Factor Investing Study 2018

Invesco's 3rd annual Global Factor Investing Study is based upon interviews with over 300 institutional investors and is the largest in-depth analysis of global factor investing.

Crowded Trades: Implications for Sector Rotation and Factor Timing (State Street/MIT)

The authors use a combination of two measures in order to identify asset bubbles as they are forming as well as the appropriate exit points for holders of these assets, applying this analysis to equity sectors and to factor exposures.

Factor investing: get your exposures right! (BNP Paribas AM)

How should equity factor investors go about constructing an optimal portfolio? The authors demonstrate how to ensure that a portfolio has the precise factor exposures intended, then they apply this framework to a practical factor investing scenario.