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Factor Insight: Mar 2021

Top Recent Content on Factor Investing

How smart is smart beta? When does factor investing increase alpha? What effect can portfolio rebalancing have? We’ve seen an influx of factor-related content over March answering these questions and more. Below is a selection of top content from this topic area.

Within this list, Nuveen discusses a factors-first approach to pension plan portfolio construction, Qontigo speaks to the capabilities of a new macroeconomic model for factor attribution analysis, and Wellington Management embraces a quality-oriented approach for both value and growth-minded investors.

factor analysis


Pension Plans’ Top Priority: Optimising portfolio construction (Nuveen, 2021)

A factors-first approach to portfolio construction may be a more optimal approach than corporate pension plans are currently utilising, regardless of their funding level. Here, Nuveen elaborates on this approach and the identification of the relevant factors.

Risk & Reward Q1 (Invesco, Mar 2021)

For compliance reasons, this paper is only accessible in certain geographies

In their newest Risk & Reward magazine, Invesco showcases articles on a variety of topics. The headline article is on factor investing in China and the abundance of opportunities to generate alpha via factor investing within the China A-share market.

The Case for Quality in Value and Growth (Wellington Management, Mar 2021)

Wellington Management makes the case for quality value and quality growth approaches as opposed to the more extreme versions of growth or value (extreme growth and deep value).

When Macro Factors Speak, Investors Should Listen (Qontigo, Mar 2021)

Qontigo showcases a new macroeconomic risk model from Axioma that is able to provide a factor-based decomposition analysis for return attribution, while also including specific macroeconomic factor details.

Multi-Factor Index Construction (S&P Dow Jones Indices, 2021)

Efficient multi-factor index construction can be a difficult task. S&P Dow Jones Indices looks at some of the pros and cons of equity index portfolio construction techniques.

Understanding the Performance of the Equity Value Factor (Amundi, 2021)

For compliance reasons, this paper is NOT accessible in the United States

Amundi Asset Management attempts to shed some light on the various drivers of the equity value factor's historical underperformance since 2008.

Factor Dynamics Through the Cycle (MFS, 2021)

MFS analyses factor performance through the various phases of a traditional economic cycle (recovery, expansion, slowdown, and downturn), finding that the downturn phase is especially relevant.

How to Improve Low Volatility Factor Investing Outcomes (Intech, 2021)

For compliance reasons, this paper is only accessible in certain geographies

For plan sponsors who may be looking into minimum volatility investing, Intech advises that relaxing the constraints inherent within a traditional minimum volatility index approach may set the stage for increased alpha (and improved funding levels).

Surprise! Factor Betas Don’t Deliver Factor Alphas (Research Affiliates, 2021)

The distinction between factor characteristics and factor betas is an important one. In this paper, Research Affiliates defines the two and elaborates on the utility value of each for investors.

Rebalance Timing Luck: Dumb luck of smart beta (2020)

How much does portfolio rebalancing frequency affect portfolio returns? For factor portfolios, the authors show that rebalancing schedules can have a tremendous effect.

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