Tag Archives: multi-factor investing

Sep 15, 2020

The S&P Global REIT QVM Multi-Factor Index Part II – Performance, Country Composition, and Factor Exposure

In the previous blog, we introduced the construction process of the S&P Global REIT Quality, Value & Momentum (QVM) Multi-Factor Index. In this blog, we look into the empirical results of the strategy. Performance Rebasing the two indices to 100 on June 30, 1999, the S&P Global REIT QVM Multi-Factor Index reached 999.42 on Aug….

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Sep 14, 2020

The S&P Global REIT QVM Multi-Factor Index Part I – Strategy Construction Process

In this blog (and in a subsequent post), we will introduce the S&P Global REIT Quality, Value & Momentum (QVM) Multi-Factor Index. This index integrates individual quality, value, and momentum factor scores into one composite and is designed to capture multi-factor equity premia. In essence, the strategy seeks to include companies with the following characteristics:…

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Sep 8, 2020

Even Smarter Beta in South Africa? – Diversifying and Optimizing

The equity risk premia from factors (such as quality, momentum, and low volatility) have been widely accepted and adopted by investment practitioners across the globe and South Africa alike. The belief by many is that exposure to these risk factors, in addition to the market, could reward investors over the long term. While the long-term…

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May 11, 2017

Ingredients in a Multi-Factor Recipe

In our previous blog on multi-factor merits, we discussed the diversification benefits of combining equity factors.  We highlighted how multi-factor indices may generate more stable excess returns, while avoiding the risks inherent in timing factors.  But to achieve this, can market participants just throw lots of factors into a pot and hope for the best?…

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May 9, 2017

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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May 2, 2017

Multi-Factor Merits: Are You Putting All Your Eggs in One Single-Factor Basket?

It is undeniable that an individual investor would need considerable skill (or luck) to navigate optimally between the various single-factor equity strategies.  If the goal is to outperform the benchmark, then simply choosing between a quality, value, momentum, or low volatility strategy may present the biggest risk.  While they all have been shown to hold…

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