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News & Research
Most Recent News & Research
After rising in tandem with other investment styles for most of 2019, value stocks — those trading at below-average valuations — have since May slipped back to the bottom, adding to their multi-year lagging record.
Minimum-variance strategies – which aim to reduce swings in portfolio prices and typically consider both share-price volatility and intra-stock correlation – have gained much traction since the global financial crisis.
Index | Factor Investing
The low volatility premium – An analysis of factor exposures of minimum variance strategies
Minimum variance strategies have gained significant traction especially since the global financial crisis. They aim at reducing or minimizing variance, i.e. the square of volatility as measured by standard deviation, or, in this case, price fluctuations of portfolio prices around their mean.
A recent report by State Street Global Advisors examined this behavior, which refers to low-volatility stocks’ long-run outperformance even if they take on less risk — i.e. have lower beta — than the broader market.
The growing popularity of smart-beta products has fueled the debate around whether their advantages and potential performance can prevail across different market environments.
A new and intriguing offshoot of the active vs passive debate is emerging. As factor index investing continues to expand the choices available to investors, is it still a truly passive strategy, or is it active?
Index | Factor Investing
Factor Performance Can Be Timed and Exploited, Study Finds Factor Performance Can Be Timed and Exploited, Study Finds
Investment factors such as size or value have a ‘robust’ momentum profile that allows investors to time their future performance based on recent returns, according to a study1 published by researchers at AQR Capital Management LLC.
Ever since the onset of the financial crisis in 2008, volatility has become a critical aspect for investors to consider in their portfolios.
Ever since the onset of the financial crisis in 2008, volatility has become a critical aspect for investors to consider, measure and position in their portfolios.
When it comes to evaluating the success of equity portfolios or constructing a traditional passive investment strategy, the go-to instrument has usually been the market capitalization-weighted index.
Following years of a debate centered on the arguments in favor and against the two investment styles, more professional asset managers and asset allocators are combining passive and active funds to access markets and strategies efficiently.
Strong balance sheets, established businesses, higher return-on-equity and superior profitability.