Factor Investing – the best white papers of 2016

(Last Updated On: February 9, 2017)

In this guest post, Andrew Perrins, CEO of Savvy Investor, shares some of the best Factor Investing white papers from the last 12 months. 


Smart Beta strategies continue to gain ground


Factor investing strategies continue to grow in popularity, so it is no surprise that many of the most popular papers on Savvy Investor last year were written on this subject. Click to see our list of The Top Smart Beta Papers of 2016 from the recent Savvy Investor Awards. The overall award for this category went to EDHEC-Risk Institute, who produced a number of excellent papers on the subject.


Below I list the winning paper of 2016, together with other popular papers that have been published already on Savvy Investor in 2017.

The Robustness of Smart Beta Strategies (EDHEC-Risk Institute, 2016)

This EDHEC paper examines the importance of robustness for smart beta strategies, explaining how a strategy being “relatively robust” differs from “absolute robustness”. The authors describe how the robustness of smart beta performance can be assessed and quantified, describing various approaches, which may be used to improve the robustness of smart beta strategies.

Fundamentals of Efficient Factor Investing (FAJ, 2017)

This paper adapts traditional portfolio theory to more recently popularized factor-based investing. It simulates optimal combinations of factor and security portfolios using US stocks from 1968 to 2015.

Concerns regarding the new Fama-French 5-factor model (Robeco)

Eugene Fama and Kenneth French have revamped their famous 3-factor model by adding two new factors to analyze stock returns: Profitability and Investment. But this 5-factor model raises many questions, and competing academic models are already being proposed.

Capacity of Smart Beta Strategies: A Transaction Cost Perspective (BlackRock)

Using a transaction cost model, the authors from BlackRock estimate the capacity of momentum, quality, value, size, minimum volatility, and a multi-factor combination of the first four strategies.

Factor-based investing: the devil is in the detail (LGIM, Jan 2017)

This LGIM paper discusses the key concepts behind factor-based investing. It highlights the importance of undertanding and translating them.

Building Confidence in Smart Beta Equity Strategies (Goldman Sachs)

Andrew Alford examines some reasons for investors’ limited adoption of Smart Beta equity strategies. He is optimistic that allocations will increase over time as investors continue to evaluate these strategies.


Savvy Investor www.savvyinvestor.net is the world’s leading platform for the distribution of white papers to global institutional investors. Registration is free, and provides access to over 15,000 white papers, as well as a personalised newsletter, keeping you up to date with investment news and research, and a global directory of investment conferences.

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