Quantitative Methods

The Evolution of Smart Beta - 2017 survey reveals new trends

FTSE Russell survey highlights growth of multi-factor investing

FTSE Russell's 2017 Smart Beta survey of asset owners reveals robust growth in the adoption of smart beta indexing, particularly multi-factor strategies -  the use of which appears to have tripled in the last two years.

Below, our Research Team has listed the top 12 factor investing papers published in the last couple of months. All of these are free to access on the Savvy Investor research platform.

wordle evolution smart beta papers

Smart beta: 2017 global survey findings from asset owners (FTSE Russell, 2017)
Now in its fourth year, FTSE Russell’s comprehensive survey of global asset owners focuses on key themes behind the adoption, evaluation and implementation of smart beta.

Bridging the Gap: Adding Factors to Passive and Active Allocations (MSCI)
How does the factor allocation fit into a manager's overall equity program? This MSCI paper uses a risk budgeting framework to investigate how active mandates and factor allocations can be combined.

The Rise of Factor-Based Investing (LGIM)
Factor-based investing, which seeks to identify the underlying characteristics that drive performance, has grown rapidly since the financial crisis. This paper by Legal & General Investment Management assesses its rise.

Factor Exposure and Portfolio Concentration (FTSE Russell, May 2017)
This paper by FTSE Russell is an ideal read for asset owners who need a better understanding of factor tilting and want to compare outcomes for factor portfolio construction.

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. This paper considers how effective a multi-factor approach might be.

Factor Investing Insights (BlackRock, Apr 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. Learn more in BlackRock’s ETF Desk Reference.

Why Invest in Momentum as a Factor? (SSGA, 2017)
This 6-page paper by State Street Global Advisors provides a helpful overview of Momentum Investing.

Investing in the Quality Factor (SSGA, 2017)
The authors of this paper explain how they think about the Quality Factor in equities and why they consider their tilting methodology to be a better way to capture the factor — especially for investors with limited risk budgets.

Three ways to successfully implement factors and smart beta (Robeco, 2017)
This paper by Robeco aims to give investors a clearer picture of what factor-based investing actually is and how to best implement quantitative strategies.

Factor Timing is Hard (AQR Capital Management, 2017)
In this paper, Cliff Asness of AQR Capital Management argues that contrarian factor timing is not easy and current factor valuations are not extreme, contrary to popular belief.

Factor Investing Combinations: The sum of the parts (S&P Dow Jones Indices)
Given the success of strategies that exploit single factors, it is not surprising that strategies designed to exploit more than one factor have begun to pique the interest of market participants. This paper explores further.

Factor Investing: Made Simple Guide (PLSA, 2017)
This guide has been produced by the UK Pensions and Lifetime Savings Association (PLSA). It provides a helpful introduction to factor investing.

Why Factor Tilts Are Not Smart "Smart Beta" (Research Affiliates, 2017)
The authors' analysis of three first-generation smart beta strategies shows factor-replicated portfolios are ineffective substitutes for their smart beta counterparts, exhibiting poorer performance, high turnover, and low capacity.

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