This research by academics at Tilburg University and the VU University Amsterdam, looks at the hurdles of implementing factor investing. It translates those into a checklist for implementing factor investing. The research, conducted for Robeco, finds that three approaches to factor investing are emerging and conducts case studies to examine how these approaches are implemented and correspond to the checklist.
The paper is available below
Amsterdam, checklist, factor investing, Robeco, Tilburg University, trustees
Singapore’s two largest asset owners, GIC and Temasek, see attractive opportunities in climate adaptation solutions – a relatively underfunded area compared to decarbonisation. The former has already made selective adaptation investments and said the opportunity set across public and private debt and equity could increase to $9 trillion by 2050.
This research paper by MSCI defines macro-economic risk as the change in asset value due to persistent shocks to real economic growth. This definition underscores the role of long horizons in macroeconomic risk and the principal issue facing investors: how should asset allocation respond to large macroeconomic shocks, given that their consequences are likely to
In the paper Pension Funds, Sovereign-wealth Funds and Intergenerational Justice from the Norwegian School of Economics, those Scandinavians have come up with something better than the national alcohol monopoly: a natty new finance term. “Intergenerational justice” (try saying it thrice after a glass of aquavit) seems to refer to a combination of two things: a
When Hurricane Sandy descended on the east coast of the United States and headed inland, it forced the closure of all the nation’s financial markets. Christopher Finger and Oleg Ruben at MSCI thought this was important because, although there are plenty of precedents for natural disasters in terms of economic impact, the storm was singular
Moving with business cycles, procyclical stocks have been found to yield higher average returns than countercyclical stocks. William Goetzmann and Akiko and Masahiro Watanabe use 50 years of real GDP growth expectations from economists’ surveys to determine forecasted economic states in order to avoid the effects of econometric forecasting model error. The scholars created a
This paper suggests a new specification for leverage aversion, which may better capture the unique risks of leverage. The authors also introduce mean-variance-leverage efficient frontiers, comparing them with conventional mean-variance efficient frontiers. They conclude that leverage aversion can have a large impact on portfolio choice. Leverage aversion, efficient frontiers and the efficient regionmrec4inarticleinline Sponsored Content
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