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
Opinion
Alignment of interest
The mechanism for sharing risks via fees in the pension industry is weak, says Fiona Trafford-Walker. Asset-based fees don't reflect managers’ ability, and clients don't get enough of the benefit of scale.
Fiona Trafford-WalkerFebruary 10, 2016
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
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
Research
The real factor exposures in “smart beta” indexes
Investors relying on nomenclature of smart beta indexes as an accurate reflection of their factor exposures should take a closer look. New research, using a “factor efficiency ratio”, finds that most smart beta indexes are unable to provide desired factor exposures without taking on substantial unintended exposures. Importantly the paper finds that some smart beta […]
Amanda WhiteDecember 12, 2014