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Factor Investing White Papers in 2018

  • ,  Chief Executive |
  • 18 Apr 2018
  • Updated 08 Jun 2018

Factor Investing Papers and Webinars You Won't Want to Miss

The role of factors in equity returns is now so widely appreciated that investors can't afford to ignore the role that they play in driving investment performance. FTSE Russell's new paper seeks to help institutional investors to gain a deeper understanding of factor investing, and in so doing, improve their investment strategies. Other papers in the list below consider a wide variety of topics within the factor investing field, including examinations of how risk factors perform in Australia and Japan.

For US investors, look out for BlackRock's webinar taking place on May 1st, entitled "Factors - A new Lens". For European investors, look out also for Invesco's new paper on Low Volatility Investing, which examines the remarkable history of this risk factor and assesses the risks and opportunities that lie within the sector.

Savvy Investor

Implementation considerations for factor investing (FTSE Russell, Mar 2018)
Factors can enhance portfolio diversification and performance relative to traditional market-cap indexes. This paper aims to help institutional investors to better understand the role of factor investing to aid the decision-making process.

Low volatility investing: Standing out from the crowd (Invesco Europe, Apr 2018)
(For compliance reasons, this paper is only accessible in certain geographies)
The history of low-volatility investing is examined, charting its rise from the margins to the mainstream. This includes an analysis of the current market, as well as threats and opportunities for the sector.

Webcast: Factors - A New Lens (BlackRock)
(For compliance reasons, this paper is only accessible in the USA)
Institutional investors looking for greater efficiency and transparency have increased their use of factors. Investors are using factors to target specific outcomes like enhancing returns, mitigating risks, and increasing diversification.

Carbon Risk Integration in Factor Portfolios (S&P Dow Jones Indices, Mar 2018)
S&P Dow Jones Indices illustrates that factor portfolios that are carbon-efficient can potentially be a meaningful part of the core equity tactical and strategic asset allocation process.

Overcrowding and capacity in factor-based investing: Should we be worried? (LGIM, Apr 2018)(For compliance reasons, this paper is not accessible in the USA and Canada)
Is there overcrowding in factor-based investing? LGIM probes the questions of overcrowding and capacity, attempting to bring some clarity to the situation.

Understanding the role of alternative risk premia (Wellington Management, Mar 2018)
Four categories of alternative risk premia are considered that have persisted over time and that could potentially be profitable. The paper also includes implementation challenges and a note on portfolio construction.

Top-down or bottom-up? Balancing exposure and diversification in multi-factor index construction (FTSE Russell, 2018)
The pros and cons of a variety of single and multi-factor construction techniques for portfolios are examined with an eye to factor exposure, # factors targeted, and measures of concentration.

ESG Factors in Global Macro Investing (Franklin Templeton, 2018)
(For compliance reasons, this paper is only accessible in the EMEA region)
This paper by Franklin Templeton investments reviews the importance of ESG factors in macroeconomic analysis through a series of specific case studies.

How smart beta strategies work in the Australian market (S&P Dow Jones Indices, Mar 2018)
Given the amount of increased interest in smart beta and factor investing strategies in Australian equities, S&P Dow Jones Indices looks at the effectiveness of 6 well-known factors in this market over a 13 year timespan.

The Many Faces of Japanese Style Portfolios (Axioma, Mar 2018)
Axioma looks at style factor portfolios in the APAC region and portfolio construction methods for designing them, with a particular focus upon the Japanese market.

Factor Investing: An Academic Source of Excess Returns (Savvy Investor, 2018)
Authored by Savvy Investor and sponsored by Robeco, this 24-page special report is designed as a go-to resource for anyone interested in factor investing, covering a host of different factor investing issues in a short timespan.

Enhance your skill: how active managers are using factor strategies (BlackRock, 2017)
(For compliance reasons, this paper is only accessible in the USA)
Factor investing continues to grow at a rapid pace, with almost $34 billion globally flowing into smart beta ETFs since the beginning of 2017. BlackRock looks at 3 compelling case studies pointing to the utility of factor strategies.

Smart Beta Multifactor Construction Methodology: Mixing versus Integrating (Research Affiliates, 2018)
How can investors choose the robust and implementable multifactor smart beta strategies? What is the optimal allocation? Should they maintain a static exposure, or reallocate dynamically as time goes on?

Thematic Indexing, Meet Smart Beta: Merging ESG into Factor Portfolios (SSGA, 2018)
Should ESG be incorporated as an additional factor, or used to screen the universe of potential investments? SSGA examines both approaches in an attempt to determine how best to merge ESG into factor portfolios.