Quantitative Methods

Factor Investing - Top White Papers Q2 2017

The Top Factor Investing White Papers from Q2

Factor Investing continues to gain market share and the body of research continues to grow. There are multiple possible routes to implementing factor-based investing strategy, and a growing array of products on offer. Below, the Savvy Research team has curated the most popular factor investing content from April-June 2017.

FTSE Russell, Robeco, BlackRock and others are key contributors to thought leadership within factor investing. Together, their content delivers in depth analysis and insight.

Savvy Investor

iSTOXX Europe Factor Indices - Equity Returns with Bond-Like Volatility
The iSTOXX Multi-Factor Indices offer investors a unique and innovative solutions to targeting and capturing premia of six well-documented sources of risk: value, carry, momentum, size, low risk and quality.

2017 Smart Beta Survey - studio panel and discussion (FTSE Russell)
Watch FTSE Russell’s Rolf Agather, Managing Director, Research and Analytics, and an esteemed institutional panel as they analyse some of the key findings from the 2017 smart beta survey.

The Rise of Factor-Based Investing (LGIM)
Investors are looking to go beyond asset class labels and understand the true drivers of risk and return in their portfolios.

Bridging the Gap: Adding Factors to Passive and Active Allocations (MSCI)
Using a risk budgeting framework, this paper investigates how active mandates and factor allocations can be combined. Risk budgeting brings together the manager selection and factor allocation processes.

Factor Exposure and Portfolio Concentration (FTSE Russell, May 2017)
An ideal read for asset owners who need a better understanding of factor tilting and want to compare outcomes for factor portfolio construction by looking at exposure and diversification properties of portfolios.

Factor Investing Insights (BlackRock, 2017)
Adopting a factor lens can help investors better understand the risks in their portfolios. Managing factor exposures can potentially improve returns, reduce risk and lower overall portfolio expenses.

Three ways to successfully implement factors and smart beta (Robeco, 2017)
This paper provides a clearer picture of the essence of factor-based investing and suggest three potential ways in which investors can implement these strategies.

Factor Investing Combinations: The sum of the parts (S&P Dow Jones Indices)
This paper explores a framework in which factors can be analyzed for their potential contribution as a piece of the whole.

The Merits and Methods of Multi-Factor Investing (S&P Dow Jones Indices, 2017)
With a wealth of smart beta indices to choose from, market participants may find it difficult to decide when each factor-based strategy is best suited to deliver returns.

Leveraging factors without using leverage (FTSE Russell, 2017)
In this Insights, we empirically show that the FTSE Russell “tilt-tilt” integrated methodology is more capital efficient in delivering exposures than a mixed composite methodology.

Optimal Holdings of Active, Passive and Smart Beta Strategies (QMA, 2017)
We find that for moderate excess return targets and long horizons, enhanced index and smart beta strategies play an important role in reducing investment risk.

Factor Investing in the Corporate Bond Market (Financial Analysts Journal)
This article was recently published in the CFA Institute's Financial Analysts' Journal. It examines the performance of size, low-risk, value, and momentum factor portfolios in the corporate bond market.

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