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  1. Many institutional investors have struggled to determine the appropriateness of factors for their own plan, what role these allocations might play, which factors should be adopted and how factor indexes can be used.

  2. Many institutional investors recognize that their reference universe should include large-, mid- and small-cap equities and that smaller companies should earn a risk premium over larger ones. In practice, however, many of these investors - particularly in Europe and Asia - underweight the small-cap segment.

  3. While a growing body of research shows that exposure to factors, such as Value, Momentum, Low Size and Low Volatility, has produced positive excess returns, factor investing for large-scale portfolios has not been well studied.

  4. Investors have long debated the benefits of active versus passive investing. There are institutional investors with strong convictions in each camp, but many have become increasingly pragmatic, combining active and passive mandates in pursuit of the best risk-adjusted return.

  5. Factor indexes historically have generated premia in developed markets. Now, as global markets have become more correlated, investors are starting to seek additional sources of returns within emerging markets.

  6. Equity factor investing aims to capture exposures to different equity risk premia. Factor modeling and factor investing are rooted in the Capital Asset Pricing Model (CAPM) dating from the mid-1960s, Arbitrage Pricing Theory from the 1970s and Fama and French’s three-factor model from the 1990s.

  7. March and April of this year saw one of the worst periods of active performance over the past 10 years for actively managed portfolios. And this happened, despite a flat stock market and historically low volatility levels.

  8. Institutional investors are trying to better understand how their portfolios benchmarked to factor indexes may behave in different economic regimes. In previous posts, we tried to answer the question: "I think economic activity/inflation is going to increase/decrease over the near term...

  9. Institutional investors have historically been concerned over the changing state of the economy and its impact on their investments whether it was about "Abenomics" or "taper tantrums." As a result, we are noting that they are increasingly taking changing macroeconomic conditions into consideration for their asset allocations.

  10. As we recently said in our post, systematic factors have historically been sensitive to macroeconomic and market forces but not in the same way. For example, some, such as Value, Momentum and Size have been pro-cyclical, meaning they outperformed when economic growth and volatility were rising.

Showing 171 - 180 of 183 entries

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