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Factoring It In: Q3 2021 Factor Investing Update

Top Recent Content on Factor Investing

Whether due to Value's underperformance, or the odd shift in correlations that caused low-volatility strategies to lag during the onset of Covid-19 last year, or other influences, factor investing seems to have become less fashionable in 2021. At least that's the impression we've received from the sparse amount of content being produced on the subject.

This being said, factor anomalies are still present, and where there are anomalies in global markets there are also institutional investors seeking to capture alpha. Here is a selection of the top factor investing papers produced by leading asset managers so far this quarter. 

factor investing q3 2021

Investment Perspectives: Factoring it all in – Q2 2021 (Wells Fargo AM)

In this quarterly retrospective, Wells Fargo Asset Management analyses returns through a factor lens that examines five style factors. Their analysis also covers unintended factor tilts that frequently tag along when seeking out specific factor exposures.

When Should I Use a Linked Model? (Qontigo, Jul 2021)

This Qontigo paper examines when it is best to use one Axioma risk model over another, focusing in on their Linked Model, their global model, and their regional sub-models.

Rebalancing and Factor Returns (FTSE Russell, Sep 2021)

FTSE Russell explains the relationship between portfolio rebalancing, factor returns, and diversification, as well as some of the common misconceptions within other academic research on the subject.

Where Is Momentum? (State Street, 2021)

State Street seeks to combine various research approaches into a unified framework for analysis of the momentum factor.

Factor Investing in Emerging Market Credits (Robeco, 2021)

In EM hard currency corporates, Robeco finds that the value, size, low-risk, and momentum factors are significant and that they do predict future returns.

How to Calculate the Beta of a Portfolio to a Factor (Man Group, 2021)

Man Group discusses risk metrics and the process of measuring risk exposures related to specific factors.

Factor Timing Is Tempting (Alpha Architect, 2021)

This article appearing on Alpha Architect looks at whether factor timing is possible in different stages of the economic cycle and the academic research that exists on the subject.

The Underperformance of Value (Meketa, 2021)

Meketa presents a primer on the value factor, attempting to explain the underperformance of value versus growth in recent years.

Tech-oriented Thematic Indices Through a Factor Lens (Qontigo, 2021)

This study analyses four indices that are technology-oriented and thematic in nature from a factor perspective through the use of Axioma's Worldwide Fundamental Factor model.

The Quality Factor and Unknown-Unknown Risks (WisdomTree Investments, 2021)

For compliance reasons, this paper is only accessible in the UK & Europe

WisdomTree discusses H1 performance and proposes that the conditions may warrant an increase in allocations to the quality factor.