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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
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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
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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
Uncategorised posts

Factors the same in credit and equities

Robeco will launch the world’s first multi-factor credit fund, after academic research by its quantitative research team reveals that size, low-risk, value and momentum factors have economically meaningful and statistically significant risk-adjusted returns in the corporate bond market. David Blitz, co-head of quantitative strategies at Robeco in Rotterdam, tells Amanda White why an active approach makes […]
Amanda WhiteMay 7, 2015
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