In our last report, we showed that in 2017, insurance companies increased their use of exchange-traded funds (ETFs) by a significant amount (37% year-over-year). In 2018, insurance companies continued to increase their use of ETFs and, in spite of a market correction in the Q4 2018, held ETF assets in line with long-term…

Almost every year since 2006, EDHEC has conducted a survey on European professional investors’ views and uses of ETFs, as part of the Amundi research chair at EDHEC-Risk Institute on 'ETF, Indexing and Smart Beta Investment Strategies'.

Interest in factor investment solutions have significantly risen in the past decade. In general, factor investing refers to an approach that targets stock characteristics that drive the difference in expected returns over the long term. Sometimes, factor investing is referred to as smart beta, or strategic beta, because the…

Robert Haugen, who discovered the low-volatility anomaly (low vol) in 1972, wrote numerous articles and books to try to popularise what he called the ‘hidden factor’. To some extent, it was only the advent of smart beta investment strategies that turned his dream into reality, as low vol is central to the smart beta approach…

Style-factor risk premia have been well-documented (and harvested) in the equity world for decades, but have proven far more elusive for bonds. The new Axioma Factor-based Fixed Income Model (FFIM) demonstrates that style factors not only do exist in credit, but that they also carry discernible risk premia, which, in turn,…

Using a comprehensive set of global “smart beta” exchange-traded funds (ETFs), in conjunction with factor risk premia and transaction cost estimates from Axioma Factor Risk Models, we find that the market of smart beta strategies capturing equity factors has room to grow, and rebalancing costs are not expected to exceed…

S&P Dow Jones Indices looks at six risk factors, or 'smart bets' strategies in the Australian equity market.

Factor investing has never been as popular as it is today. However, with the propagation of this type of investment approach, the equity space is becoming increasingly saturated with more and more factors that are ever more removed from academically-grounded research. This paper discusses factor definitions used in…

In 2015 three academics, in conjunction with a smart beta ETF provider, published a set of research papers that showed that between January 1969 and December 2014 adopting alternative approaches to index construction produced better returns than a conventional market cap weighting methodology.1 A market cap based scheme was…

By analyzing portfolio holdings, we find that a significant subset of Hedged Mutual Funds (HMFs) and smart-beta Exchange-Traded Funds (ETFs) tilt their portfolios towards well-known anomaly characteristics and that such tilts are highly persistent. Short positions of HMFs amplify their factor tilts. Most “single-factor” ETFs…

Emerging markets offer divergent factor exposures across and within regions. Smart beta ETFs do not necessarily offer high factor exposures. It is all about fund selection.

What’s ahead for exchange-traded funds (ETFs) globally in 2023? Jason Xavier, our Head of EMEA ETF Capital Markets, explains where he sees areas of growth and opportunity including smart-beta ETFs, income-oriented strategies, and select emerging markets.

With this survey, EDHEC-Risk Institute aims to provide insights into investor perceptions of exchange-traded funds (ETFs) and of smart beta and factor investing strategies, with a strong focus on investor interest in SRI (Socially Responsible Investing)/ESG (Environmental, Social, Governance), building on the analysis of…

Arun Singhal, Qontigo’s Managing Director of Index Product Management, joined Willis Towers Watson's The Podfolio podcast to discuss index investing, and the emergence of smart beta strategies that blur the line between active and passive approaches. The podcast also covers a new index incorporating the Climate…

Numerous factors have been driving the development of passively managed vehicles and their increasing weight in institutional investors’ portfolios. In particular, a recent PwC study showed that the weight of passive investments in global pension funds’ portfolios grew from 19% in 2017 to 25% in 20201. Key benefits are that…

The largest stock holdings in a global market-cap index consistently turn over. Investing in these companies, particularly via a highly concentrated market-cap index, can mean underperformance for investors over time. Investing in a diversified strategy, such as a smart beta multi-factor index, can improve diversification,…

In this paper, Qontigo analyses tax efficient smart-beta portfolios based on the flagship STOXX Factor Index Suite with direct indexing to realize the tax advantages. Smart-beta strategies naturally lend themselves to tax alpha given their high turnover.

EDHEC-Risk Institute investigate the role of sectors on the performance of smart-beta products during the COVID-19 crisis. Cross sectional differences in excess returns (versus a market capitalized portfolio) are driven by strong exposures to a historically unique COVID-19 related industry rotation, rather than to long term…

EDHEC-Risk Institute has announced the results of the 13th EDHEC European ETF, Smart Beta and Factor Investing Survey, a comprehensive survey of 191 European ETF and smart beta investors, conducted as part of its Amundi research chair on “ETF, Indexing and Smart Beta Investment Strategies”. This survey, conducted since 2006…