Using Systematic Equity Strategies: Managing Active Portfolios in the Global Equity Universe

categories: Americas, EMEAI, Factor and Risk Modeling, Investing (Investment Management), Performance Analysis, Portfolio Construction and Optimization, Risk Management, RMA, Asia Pacific, PMA, Asset Owners, Hedge Funds, Equities, Research Paper, MELAS Dimitris, BALINT Imre, Asset Managers (Quant or Fundamental)

Both quantitative managers and fundamental stockpickers need to understand their risk exposures, build efficient portfolios and differentiate themselves from their competitors. Factor models identify country, industry and style factors, which help forecast and explain portfolio risk. A subset of style factors, Systematic Equity Strategy (SES) factors — such as value, momentum and quality — has also earned positive long-term returns historically. In this paper, we review the role of SES factors in global portfolios and show how active managers can use these factors in an effort to differentiate their strategies and to enhance quantitative alpha models and fundamental security selection.


Download File

Research_Insight_Using_Systematic_Equity_Strategies_April_2016.pdf