In this blog, we investigate the dispersion of carbon intensity scores in detail and its effect on carbon-efficient portfolio construction via equal- and market-cap-weighted approaches. A company’s carbon efficiency is measured by its carbon intensity score (C.I. score), provided by Trucost, which is defined as the greenhouse gas (GHG) emissions from a company’s direct operations Read more […]
Factor investing in Asia has grown at a rapid pace, with smart beta passive AUM growing at a 42% compound annual growth rate over the past five years, albeit from a relatively lower base.[1] With increasing awareness of climate change and related risks, investors may look to integrate carbon screening into their factor portfolios. In Read more […]
In recent years, governments have become increasingly aware of the perils of greenhouse gases and have aimed to penalize the source of pollution while looking to incentivize low-carbon technologies. In addition, investors are now considering an organization’s future financial position to discount potential write-downs of assets and the effect on revenues, costs, cash flows, and Read more […]
In our previous blog, our studies indicated that most factor indices in China exhibited distinct return characteristics during up and down markets. To understand the sources that drive differential factor performance, we examined the risk factor exposures and factor impact on the performance of S&P China A-Share Factor Indices[1] based on the Axioma AXCN4-MH China Read more […]
In our earlier blog, “How Important Are Earnings Revisions Signals for Fundamental Factor Strategies in Asia?”, we discussed that the signals from earnings revisions were important for fundamental factor strategies applied across broad markets. They reduced the risk and enhanced the return of the comparable factor portfolios, across the majority of markets. In our research Read more […]
In our previous blog, “The Hunt for Value With High Earnings Expectations in Asia,” we discussed how a simple sequential earnings revision screen historically delivered positive return alpha over the value screen in the majority of markets. The value screen was constructed based on the average of three underlying factors: book value-to-price ratio, earnings-to-price ratio, Read more […]
In our previous blog, Earnings Revision Strategies in Asia, we discussed how those strategies performed in Asia. Although they worked well in various markets except Japan, there were some implementation challenges, such as high portfolio turnover and low liquidity for small-cap stocks. Therefore, implementing this strategy in combination with other fundamental factors with lower overall Read more […]
Factor-based strategies have been regularly used by market participants in their portfolio construction process. Apart from the established factors like value, size, volatility, etc., research on alternative factors has remained important to explain sources of alpha. One such alternative factor is consensus analysts’ earnings forecasts. Ample empirical research exists that explains the market’s reaction to Read more […]
The story of Asian fixed income remains compelling, and select Asian bond markets recorded strong growth and solid performance in 2016. Most Asian currencies strengthened with the news of the Brexit, which may further improve sentiment among market participants. Asian bond yields, though tightened, are still at an elevated level compared with their global peers. Read more […]
As an exercise in understanding market volatility, we recently introduced the dispersion-correlation map to see how volatility manifests in dispersion and correlation. We saw very high levels of correlation at the beginning of January for both the S&P 500 and S&P Europe 350; the S&P Pan Asia BMI also sat at above average correlation then. Read more […]
