Tag Archives: factor-based investing
What’s inside the S&P DJI Australian Factor Indices?
In our paper, How Smart Beta Strategies Work in the Australian Market, our studies indicated that most factor indices in Australia exhibited distinct return characteristics during up and down markets. Indeed, different factor indices also displayed unique style and industry factor exposures, resulting in factor index performance differentials over the long term. In this blog,…
How Factors Behaved Differently in the Australian Market in the First Half of 2020
In our paper “How Smart Beta Strategies Work in the Australian Market,” we examined the long-term performance characteristics of S&P DJI’s Australian factor indices in different market trends. In the first half of 2020, the Australian equities market had a roller coaster response to the coronavirus outbreak, global market crash, and government stimulus packages. While…
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Battle of Factors: Low Volatility versus High Beta
2020 has surprised us all with a number of firsts. Not only did we witness wild swings in the market from one quarter to the next, we also saw an unusual performance of commonly followed factors. While this blog will not attempt to predict factor performance, it will address recent factor behavior and put this…
2020 – The Dawn of the Passive Investing Era in India: Part Two
The previous blog highlighted the significant shifts to passive investing in India. However, Indian passive trends have continued to favor plain vanilla indices due to their ease of understanding, rather than exploring alternative thematic indices, such as the S&P Kensho New Economies Indices or factor Indices. However, once the acceptability and acceptance of passive investment…
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How Factors in the China A Share Market Behaved Differently during the Coronavirus Outbreak
In the first quarter of this year, the China A shares market was on a roller coaster in response to the domestic coronavirus outbreak followed by the spread of coronavirus in other parts of the world. In our previous blog, “How the Chinese Equity Market Responded to the Domestic and Global Coronavirus Outbreak,” we looked…
How Does Factor-Based Investing Work in the China A Market?
Factor-based investing has gained popularity in the global investment community. While the long-term risk premia of factors have been evidenced in developed equity markets, some believe the inefficiencies in emerging markets could create better opportunities for factor-based investing. In our recently published paper, “How Smart Beta Strategies Work in the Chinese Market,” we examined the…
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Multiple Paths to Multiple Factor Indexing
Single factor “smart beta” indicized strategies that were once exclusive to the realm of active management. Multifactor indexing is beginning to garner much interest as the newest chapter of index innovation. It’s a natural conjecture that if single factors are successful, combining more than one factor should prove even more beneficial. While any combination of…
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Factor-Based Investing in US IG Corporate Bonds: Volatility and Credit Spread
Factor-based investing in equities is a well-established concept supported by over four decades of research. However, factor-based investing in fixed income remains in its nascent stages. Our analysis has found that factor-based fixed income strategies implemented in a rules-based, transparent index can represent an alternative tool for fixed income portfolio construction. In the next few…
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Where Can Smart Beta Take You? Our FA Forum Is Coming to an Internet Near You
I am excited about our Miami Financial Advisor Forum, “Where Can Smart Beta Take You?” This educational event will occur at the Epic Hotel in Miami on Feb. 24, 2016. For the first time, we will livestream this financial advisor forum. We hope that by broadening access to this event, more of you will find…
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