Once the decision to adopt a smart beta / factor-based strategy is made, the next questions are likely - which one(s)? And how? This list of papers focuses specifically on these two aspects of the investment process, whether you are looking at a multi-factor, multi-asset, or ESG-mindful portfolio.
At the top of the list is the annual smart beta survey from FTSE Russell, which gives a great insight into the major trends in utilisation of smart beta strategies amongst institutional investors globally.
Smart beta: 2018 global survey findings from asset owners (FTSE Russell)
FTSE Russell's 2018 global smart beta survey looks at trends in awareness and utilisation of smart beta strategies among global asset owners.
Guide to factor investing - From concept to implementation (Robeco, May 2018)
Institutional investors are embracing factor-based approaches to portfolio allocation and to securities selection. Robeco addresses factor selection, low-fee strategies, and other considerations within this guide.
How active managers are using factor strategies (BlackRock)
(For compliance reasons, this paper is only accessible in the United States)
Smart beta ETF assets are growing at a rapid pace. Via 3 case studies, BlackRock elucidates the potential benefits of adding factors to existing strategies.
The Merits and Methods of Multi-Factor Investing (S&P Dow Jones Indices, 2018)
Given the multitude of smart beta indices to choose from, investors may find it hard to choose which factor-based strategy (or multi-factor approach) to use.
Implementation considerations for factor investing (FTSE Russell, Mar 2018)
FTSE Russell discusses how a specific risk profile can guide the selection of factors that seek to generate certain outcomes. Obtaining an appropriately diversified and consistent factor exposure can also prove difficult.
Why should investors consider credit factors in fixed income? (Invesco, 2018)
(For compliance reasons, this paper is only accessible in certain geographies)
If factor premiums are simply manifestations of investor behavior, then they ought to be able to be applied to other asset classes, such as fixed income. Invesco describes a four-factor model for the corporate bond market.
Factor investing in fixed income (BNP Paribas AM, May 2018)
Fixed income is the new frontier for factor investing. Pursuing factor strategies in credit markets is yet to reach the levels of popularity enjoyed on the equity side of portfolios. This could be about to change.
When Size Does Matter (Axioma, 2018)
Axioma examines the effectiveness of two different models in evaluating risk within the Japanese small-cap equity market.
Thematic Indexing, Meet Smart Beta: ESG in Factor Portfolios (SSGA, 2018)
Should ESG be incorporated as an additional factor, or used to screen the universe of potential investments? SSGA examines both approaches in an attempt to determine how best to merge ESG into factor portfolios.
Understanding the role of alternative risk premia (Wellington Management, 2018)
Wellington looks at 4 categories of alternative risk premia that persist historically, as well as their specific objectives and implementation challenges.
Factor Investing: An Academic Source of Excess Returns (Savvy Investor, 2018)
Robeco and Savvy Investor have jointly produced this special report on factor investing, covering everything from its academic beginnings to its practical applications, including links to external smart beta articles for further review.