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Best Factor Investing Paper 2019

QMA wins "Best Factor Investing Paper 2019"

The underperformance of the "value" risk factor over the last couple of years has been a real concern for advocates of factor investing. Perhaps for this reason, the winning paper from QMA has struck a real chord with investors, with more than 3000 views since its publication in September. In the space of just 12 pages, the QMA authors present a variety of tables and charts which enable them to construct a persuasive argument.

Factor Investing 2019


Value vs. Growth: The New Bubble (QMA)

QMA's paper focuses on the recent underperformance of Value vs Growth, and finds that such extreme periods of underperformance have only occurred twice in the last 30 years. They argue that investors should consider adding a value tilt to portfolios.


Global Factor Premiums (Robeco)

Robeco examines 24 global factor premiums across a variety of asset classes and using over 200 years of data. Focusing on a relatively small number of factors for each asset class, the new evidence shows that the large majority of these key, global factors are strongly present under conservative p-hacking considerations, with limited out-of-sample decay of the return premia.

Do Factor Premia Vary Over Time? A Century of Evidence (AQR Capital Management)

AQR conducts a comprehensive study of factor timing, examining factor premia (value, carry, momentum, defensive) for six asset classes and over a century of return data.

What, Exactly, Is a Factor? (Qontigo)

This paper is not a primer on factors. Instead, Qontigo/Axioma discusses many different ways of constructing a long-short factor-mimicking portfolio, then analyzes the 'purity' of their exposures to a particular factor and the returns that are achieved. Portfolio construction choices related to the underlying investment universe, exposures to other factors, rebalancing frequency, and the ability to go short all materially affect the returns of a factor portfolio.

Smart Beta 2019 - Global Survey Findings from Asset Owners (FTSE Russell)

FTSE Russell surveyed 178 global institutional asset owners in the course of this survey, who between them represent over USD 5 trillion in assets under management. This report details their survey responses, as well as their attitudes towards smart beta and smart beta index-based strategies. Multi-factor strategies account for 71% of factor strategy adoptions by survey respondents.

What explains the poor performance of factor strategies over the last 3 years? (Scientific Beta)

Long-only factor strategies have exhibited poor performance from 2016-2019. To delve deeper into an analysis of these factor returns, Scientific Beta first describes the drivers of factor performance (exposure to the big six rewarded factors), diversification away from unrewarded idiosyncratic equity risk, and the management of systematic non-factor risks. Ultimately, they find that the last driver, systematic non-factor risks (mostly to do with the implementation of factor portfolios) is the reason for underperformance.

Factor Investing in Equities and Corporate Bonds: Neutralising Bias (BNP Paribas Asset Management)

When constructing equity factor portfolios, one should not overlook non-style factors such as sectors, regions, size, and the market factor, as these can also influence equity returns. In fact, in order to properly analyze the performance of a style-factor-tilted portfolio, BNP Paribas Asset Management suggests holding equivalent non-style factor exposures to the benchmark index. The same holds true for style-factor-tilted corporate bond portfolios.

Digital Assets for Award Winners (including highly commended papers) 

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About the Savvy Investor Awards

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Savvy Investor is the world’s leading resource hub for institutional investors. Having uploaded more than 30,000 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 43,000 institutional investment professionals have registered for the site, with 150-200 new members joining every week.

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Savvy Awards 2019 Magazine

Savvy Investor has produced a 24-page page magazine to celebrate the Award winners. Click to download a copy of the 2019 Awards magazine.