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.
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.
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.
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.
State Street seeks to combine various research approaches into a unified framework for analysis of the momentum factor.
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.
Man Group discusses risk metrics and the process of measuring risk exposures related to specific factors.
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.
Meketa presents a primer on the value factor, attempting to explain the underperformance of value versus growth in recent years.
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.
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.