momentum

Sustainability Oxford 2023

Why ESG-momentum strategies with a focus on governance bring best returns

ESG-momentum matters when it comes to outperformance according to new research by Pictet Asset Management's head of sustainability Eric Borremans who says investors should sharpen their ESG lens and use active ownership to trigger positive change.

Sarah RundellNovember 13, 2023

Risk

Size matters: diversity across factors

The size factor has recently come under attack from smart beta providers because its performance has lagged behind other factors. A common recommendation is to remove size from the factor menu, to give more weight to factors with better performance. But due to its low correlation with other factors, size offers substantial diversification benefits.

Mikheil Esakia, Felix Goltz, Ben Luyten and Marcel SibbeJuly 17, 2019

Asset Classes

Factors trump skill: MSCI

MSCI research has shown that, among top-performing funds, more than half of active returns come from factors, rather than manager skill, and style factors have the biggest impact.

Amanda WhiteJuly 14, 2017

Uncategorised posts

Real factors, and how to use them

Factor investing has become a topic du jour, but according to four experts, there are only a handful of factors that are persistent and robust. If used strategically, these can be useful.

Amanda WhiteMay 29, 2017

Uncategorised posts

Why investors employ smart beta strategies

The common view is smart beta is used to side step expensive active equity managers or hedge fund managers whose processes are on the surface opaque, but on close investigation turn out to be largely beta like in approach. As investors have gained experience and familiarity they have also learnt about how it offers greater […]

David RowleyJuly 31, 2015

Uncategorised posts

Quality factor explained by profitability: Robert Novy-Marx

Among academic classifications, and the subsequent implementation of factor investing, “quality” is one of the newer areas of investigation. Robert Novy-Marx, the Lori and Alan S. Zekelman Professor of Finance at the University of Rochester, is leading the charge on the academic justification of quality as a factor, although he has a “jaded scepticism” about […]

Amanda WhiteJune 10, 2015

Sustainability Oxford 2023

Why ESG-momentum strategies with a focus on governance bring best returns

Risk

Size matters: diversity across factors

Asset Classes

Factors trump skill: MSCI

Uncategorised posts

Real factors, and how to use them

Uncategorised posts

Why investors employ smart beta strategies

Uncategorised posts

Quality factor explained by profitability: Robert Novy-Marx

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