Tag Archives: evolution

Evolution of Smart Beta – 2017 survey reveals new trends

 

 

FTSE Russell survey highlights growth of multi-factor investing

Andrew Perrins of Savvy Investor shares an insight in to the latest Smart Beta trends.

 

FTSE Russell’s 2017 Smart Beta survey of asset owners reveals robust growth in the adoption of smart beta indexing, particularly multi-factor strategies – the use of which appears to have tripled in the last two years.

 

Below, the Savvy Investor Research Team has listed the top 12 factor investing papers published in the last couple of months. All of these are free to access on the Savvy Investor research platform.

Smart beta: 2017 global survey findings from asset owners (FTSE Russell, 2017)

Now in its fourth year, FTSE Russell’s comprehensive survey of global asset owners focuses on key themes behind the adoption, evaluation and implementation of smart beta.

Bridging the Gap: Adding Factors to Passive and Active Allocations (MSCI)

How does the factor allocation fit into a manager’s overall equity program? This MSCI paper uses a risk budgeting framework to investigate how active mandates and factor allocations can be combined.

The Rise of Factor-Based Investing (LGIM)

Factor-based investing, which seeks to identify the underlying characteristics that drive performance, has grown rapidly since the financial crisis. This paper by Legal & General Investment Management assesses its rise.

Factor Exposure and Portfolio Concentration (FTSE Russell, May 2017)

This paper by FTSE Russell is an ideal read for asset owners who need a better understanding of factor tilting and want to compare outcomes for factor portfolio construction.

The Merits and Methods of Multi-Factor Investing (S&P Dow Jones Indices, 2017)

With a wealth of smart beta indices to choose from, market participants may find it difficult to decide when each factor-based strategy is best suited to deliver returns. This paper considers how effective a multi-factor approach might be.

Factor Investing Insights from BlackRock (BlackRock, Apr 2017)

Adopting a factor lens can help investors better understand the risks in their portfolios. Managing factor exposures can potentially improve returns, reduce risk and lower overall portfolio expenses. Learn more in BlackRock’s ETF Desk Reference.

Why Invest in Momentum as a Factor? (SSGA, 2017)

This 6-page paper by State Street Global Advisors provides a helpful overview of Momentum Investing.

Investing in the Quality Factor (SSGA, 2017)

The authors of this paper explain how they think about the Quality Factor in equities and why they consider their tilting methodology to be a better way to capture the factor — especially for investors with limited risk budgets.

Three ways to successfully implement factors and smart beta (Robeco, 2017)

This paper by Robeco aims to give investors a clearer picture of what factor-based investing actually is and how to best implement quantitative strategies.

Factor Timing is Hard (AQR Capital Management, 2017)

In this paper, Cliff Asness of AQR Capital Management argues that contrarian factor timing is not easy and current factor valuations are not extreme, contrary to popular belief.

Factor Investing Combinations: The sum of the parts (S&P Dow Jones Indices)

Given the success of strategies that exploit single factors, it is not surprising that strategies designed to exploit more than one factor have begun to pique the interest of market participants. This paper explores further.

Factor Investing: Made Simple Guide (PLSA, 2017)

This guide has been produced by the UK Pensions and Lifetime Savings Association (PLSA). It provides a helpful introduction to factor investing.

Why Factor Tilts Are Not Smart “Smart Beta” (Research Affiliates, 2017)

The authors’ analysis of three first-generation smart beta strategies shows factor-replicated portfolios are ineffective substitutes for their smart beta counterparts, exhibiting poorer performance, high turnover, and low capacity.

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Bob Discolo: Hedge funds are still in the early stages of evolution

Bob Discolo: Hedge funds are still in the early stages of evolution

Bob Discolo is a 24 year hedge fund industry veteran who currently oversees roughly $3.7 billion as Head of Hedge Fund Solutions Group at $67 billion asset manager PineBridge Investments.

In this Opalesque.TV interview, Bob discusses exactly what he has observed in his 24 years investing in hedge funds, and why he believes hedge funds are still in the early stages of their evolution.

To know more Why Bob Discolo believes hedge funds are still in the early stages of their evolution – watch this video: http://www.opalesque.tv/hedge-fund-videos/robert-discolo/1

 

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Bob Discolo sees a new model of more customized hedge fund solutions with lower fees across the board, to appease the most recent institutional investor appetites.

Get more information about Bob Discolo watch this video: http://www.opalesque.tv/hedge-fund-videos/robert-discolo/1

 

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Milestones in quant analytics in the evolution of “What is Data Science?”

Milestones in quant analytics in the evolution of “What is Data Science?”

I’m in the process of researching the origin and evolution of data science as a discipline and a profession. I would greatly appreciate any pointers to additional key milestones (events, publications, etc.).

A Very short history of data science

whatsthebigdata.com

I’m in the process of researching the origin and evolution of data science as a discipline and a profession. Here are the milestones that I have picked up so far, tracking the evolution of the te…

 

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Great initiative! Thanks for the link- very informative article

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Are you planning for the evolution of Big Data and Quant Analytics?

Are you planning for the evolution of Big Data and Quant Analytics?

My key takeaway: you have to plan for data growth in conjunction with any projects you undertake. In which ways are you?
IBM Fellow Jeff Jonas on the evolution of Big Data news.cnet.comRecently named IBM Fellow Jeff Jonas is one of the most interesting big data thought-leaders. He spoke to CNET about the increasing value of data-driven decisions. Read this blog post by Dave Rosenberg on Software, Interrupted.
–Now Jeff Jonas was in to ‘big data’ before that term was coined. I would have thought he would have jumped ship long ago after his golden handcuffs came off. For those that don’t know… A while back, IBM acquired his Las Vegas company… What was it 2003?
–I guess it shows IBM is a good place to work if you are into business analytics 🙂
–No, not really. I believe is outside of IM.
Jonas went to IBM because they paid him a boat load of cash for his company. Being named a Fellow is sort of like getting tenure at a University. So why would he leave?

 

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