Stock Selection and Analysis

The Best Factor Investing Papers - 2017 Q1

The Top 12 Factor Investing White Papers from Q1

Research on Factor Investing continues to evolve. The marketplace is developing quickly and there are multiple pathways to factor investing products. The Savvy Research team has curated this list of the most popular factor investing white papers from January-March 2017.

Our first paper, from Invesco, provides a very helpful study of the factor investing marketplace, the players within it, their attitudes and strategies. Other papers reflect the latest research on specific factors, and methods of combining and blending multiple factors.

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Invesco Global Factor Investing Study 2016
(This paper is not accessible in certain geographies) 
This factor investing study explores the growth of factor investing. The authors interview industry professionals at 66 leading global institutional investors, asset consultants and private banks.

The Case for Multi-Beta Multi-Strategy High Factor Exposure Indices (EDHEC)
This paper details Scientific Beta's well-diversified "top-down" multi factor index. 

Hedge fund bets show Low Volatility is still far from overcrowded (Robeco, 2017)
This article by Robeco examines the relation between hedge fund bets and the low-volatility anomaly.

The Case for Factor-Based Investing in European Equities (Invesco, March 2017)
(This paper is not accessible in certain geographies) 

This brief paper explores whether European equity markets are particularly amenable to factor-based investing. The authors examine factor-based style indices, among other pieces of evidence.

Factor Investing and Asset Allocation (CFA Institute Research Foundation, 2017)
Factor investing is as old as the hills yet it has only recently become a widespread practice. What is behind this sudden change in the fund management industry?

Quality: A Practitioner's Guide (S&P Dow Jones Indices, Jan 2017)
This paper by S&P Dow Jones Indices acts as an important guide to Quality Factors. 

Momentum: A Practitioner's Guide (S&P Dow Jones Indices, Jan 2017)
This paper by S&P Dow Jones Indices acts as a helpful guide to Momentum Factors. 

Concerns regarding the new Fama-French 5-factor model (Robeco, Jan 2017)
The creators of the Fama-French model have updated it to include adding two new factors: Profitability and Investment. This new model, however, raises many questions.

Diversify and Purify Factor Premiums in Equity Markets (BNP Paribas, Mar 2017)
This paper by BNP Paribas examines how to improve the efficacy of strategies aimed at capturing factor premiums in equity markets.

Fundamentals of Efficient Factor Investing (Financial Analysts Journal, 2017)
This paper appeared in CFA Institute Financial Analysts Journal. It examines factor-based investing and simulates optimal combinations of factor and security portfolios.

Betting Against Correlation (Cliff Asness, Feb 2017)
In this paper, Cliff Asness of AQR Capital Management takes a deep look into what drives the low-risk effect.

Forecasting Factor and Smart Beta Returns (Hint: History is Worse than Useless) - Research Affiliates, 2017
This 16-page paper by Research Affiliates discusses how to forecast factor and smart beta returns. The authors argue that using past performance to forecast future performance is likely to disappoint.

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