All topics

Best Factor Investing Paper 2018

  • Posted by: ,  Chief Executive
  • 04 December 2018
  • Views1075

AQR wins "Best Factor Investing Paper 2018"

The concept of factor investing dates back to the 1970s, but in the last five years there has been a surge in interest from institutional investors. Factor-based allocations have their roots in academic research, documenting the existence of factor premiums, which can be systematically harvested to improve risk-adjusted returns. The papers below continue the quest to understand and explain the concept further.

Factor Investing 2018


WINNER: AQR CAPITAL MANAGEMENT


Fact, Fiction, and the Size Effect (AQR Capital Management)

The "size effect" is based on the discovery that small cap equities have better long-run, risk-adjusted returns than larger stocks. This was the first generally accepted return anomaly to challenge the conventional wisdom of the standard asset pricing model. In this paper, Ron Alquist, Ronen Israel, and Tobias J. Moskowitz use publicly available data to examine the facts about the size effect, aiming to clarify and correct misunderstandings.


HIGHLY COMMENDED


Exploring the world of factors - Nine academics on smart beta and factor investing (Robeco)

Factor investing strategies have at their foundation a huge amount of empirical and academic justification built over many decades. Robeco are one of the leaders in factor investing research, with a large number of high quality reports published on the Savvy Investor platform. In this paper, they bring together nine academics to discuss a variety of pertinent issues.

A Framework for Analyzing Multifactor Funds (Morningstar)

Factor investing has gained widespread acceptance over the last decade, and in recent years an increasing number of equity multifactor funds have become available. In this report, Morningstar outlines a framework to help investors get under the hood of each fund and understand the implications better.

Implementation considerations for factor investing (FTSE Russell)

This 18-page paper from FTSE Russell aims to answer some of the practical questions asked by instituional investors when considering allocating to factor strategies.

Low Volatility: A Practitioner's Guide (S&P Dow Jones Indices)

This "practitioner’s guide" is part of a series from S&P Dow Jones Indices, aimed as helping investors better understand each of the key equity risk factors. In particular, the report does three things: it examines the evidence for the low-volatility "anomaly", it describes how low-volatility indices are constructed, and it discusses how low vol strategies can be best applied.

Diversification, Volatility, and Surprising Alpha (Intech)

In this 17-page quant paper, authors from Intech and the London School of Economics examine the observation that cap-weighted indices can be outperformed by equal-weighted, random-weighted, or other, simply constructed, systematic portfolios. The authors seek to provide a better explanation of this than the current prevailing view.


 

Digital Assets for Award Winners (including highly commended papers) 

Savvy Investor has created digital assets (award banners and links) for you to publicise your award in social media, blogs, emails, newsletters and on your website.

To receive your digital assets, please email business@savvyinvestor.net.

 

About the Savvy Investor Awards

The World's leading content platform for institutional investors

Savvy Investor is the world’s leading resource hub for institutional investors. Having uploaded more than 25,000 pensions and investment white papers since launch, we have a unique platform from which to host these Awards. The Savvy Investor Awards are judged on the basis of the quality and readability of the paper and its appeal to our institutional investor audience. Since launch in 2015, more than 33,000 institutional investment professionals have registered for the site, with 200-250 new members joining every week.

To find out how you can partner with Savvy Investor in 2019 to enhance your thought leadership credentials in the institutional investor marketplace, please contact our Business Development Manager, Stuart Blake, stuart.blake@savvyinvestor.net.

 

related content