TAKE CONTROL OF YOUR INVESTMENT DESTINY Increasing control over your investments.
|
|
- Hector Harrison
- 5 years ago
- Views:
Transcription
1 TAKE CONTROL OF YOUR INVESTMENT DESTINY Increasing control over your investments. To appreciate the power of Factors, consider this: Humankind is formed from just 23 Chromosome pairs CMINST
2 Yet, they are capable of building a whole world of diversity. 3 Similarly, we believe that investment factors can help investors build the portfolio they need. 4 2
3 Challenge for Investors Case for Factor-based Investing What Next? The Real World Economic and Market Outlooks are Constrained Economic Growth Forecasts Volatility Risk is to the Downside Developed Global 3.1% 3.3% US 2.5% 2.5% Eurozone 1.5% 1.7% Japan 0.8% 1.2% Emerging Markets 4.2% 4.1% SSGA forecasts, as of 31 December The above estimates are based on certain assumptions and analysis made by SSGA. There is no guarantee that the estimates will be achieved. Low economic growth will impact profitability, and therefore equity returns Weakness in global trade and strong US dollar will weigh on EM equities Ripple effect of decelerating growth in China Continued weakness in commodity prices Geopolitical risks 6 3
4 Creating a Mismatch Between Expected and Required Returns Equity Return Forecasts are Low State Retirement Systems Target 1-Year 10-Year Developed Global 2.1% 6.1% US LC 1.4% 6.0% Europe 2.6% 6.1% UK -0.4% 6.4% Japan 5.9% 6.4% Emerging Markets 1.2% 6.9% SSGA forecasts, as of 31 December The above estimates are based on certain assumptions and analysis made by SSGA. There is no guarantee that the estimates will be achieved. 7.68% Source: NASRA, Public Pension Plan Investment Return Assumptions, September Investors are Looking for Ways to Close the Gap SEEKING HIGHER RETURN OPTIONS More active management Illiquid assets Tactical overlays MANAGING RISK Minimize drawdowns Liability matching Manage risk budget EVALUATING COSTS Align costs with value Manage implementation Consider soft costs Factor-based investing strategies can help meet each of these aims. 8 4
5 Challenge for Investors Case for Factor-based Investing What Next? The Real World Firmly Grounded in Academic Research 1980 s 1990 s 2000 s 2010 s Cap-weighted e.g. S&P 500 Style aware e.g. Value, Growth, Small Alternative weighting e.g. Fundamental Factor-targeted e.g. Smart Beta Black, Jensen and Scholes, The Capital Asset Pricing Model: Some Empirical Tests (1972) Rosenberg, Reid & Lanstein Persuasive Evidence of Market Inefficience (1985) Fama & French, Common risk factors in the returns on stocks and bonds (1992) Arnott, Hsu & Moore, Fundamental Indexation (2005) Ang, Goetzmann & Schaefer Evaluation of Active Management (2009) Baker, Bradley & Wurgler Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly (2011) 10 5
6 What Are Factors? Factors are the underlying drivers of the risks and return of an asset class. They re the building blocks that enable investors to shape investment returns. Sample Equity factors include: Value Size Volatility Quality Momentum Premium in Low Valuation stocks. Smaller cap stocks tend to outperform. Lower volatility stocks tend to generate a higher riskadjusted return. Quality companies are rewarded with stronger share prices. Stocks which have done well recently tend to carry on doing well in the near term. 11 Factors Can Generate Positive Excess Annual Returns Value Size Volatility Quality Momentum Annualized Excess Returns Over Developed Equities Since 1993 Source: SSGA as of 29 February Figures show the mean annualized excess returns over the MSCI Developed Equities Index since Back-tested data tilted strategies, excess return relative to MSCI World Index. You cannot invest directly in an index. Past performance is not a guarantee of future results. Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income. The calculation method for value added returns may show rounding differences. Data is from April 1, 1993 through December 31,
7 Factors are Present Across Asset Classes, Not Just Equity EQUITY Value Size Volatility Quality Momentum FIXED INCOME Value Size Volatility Quality Momentum Term Premium CURRENCY Value Trend Carry 13 Challenge for Investors Case for Factor-based Investing What Next? The Real World 7
8 How Can investors Use Factors Effectively? Value? Size? Momentum? Quality? 15 You re Already a Factor investor, but You Can Increase Your Control Factor exposures are a significant component of active management returns. On average, 50% of active management excess returns can be accounted for by exposure to factors. PORTFOLIO RETURN = Cap-Weighted Index Return Factor Returns Manager Skill Passive Return Active Return Source: Bender, Hammond and Mock; Journal of Portfolio Management, May
9 Factors Returns Vary Under Different Environments Downturn Recession Recovery Boom Positive Economic Growth but Slowing Negative Economic Growth and Slowing Negative Economic Growth but Improving Positive Economic Growth and Improving MARKET CYCLE VALUE Mixed SIZE VOLATILITY QUALITY MOMENTUM Mixed Mixed Source: Russell, SSGA. Example for illustrative purposes only. Past performance is not a guarantee of future results. 17 Factor Valuations What Looks Good Now? Base = 0 6 Current Average 4 Attractive Attractive Attractive Attractive Attractive Expensive Expensive Expensive -4 Expensive -6-8 Expensive VALUE Looks expensive SIZE Looks reasonable VOLATILITY Looks fairly attractive QUALITY Looks attractive MOMENTUM Looks well priced Source: SSGA, FactSet based on estimates. As of December 31, Universe: MSCI World Index. For each factor, spreads calculated by subtracting the median Book-to-Price (B/P) of bottom quintile (lowest ranked stocks) from the median B/P of top quintile (highest ranked stocks). Quintiles contain equal weighted number of securities. Average Spread represents the average median B/P spread over previous 120 months. Valuation spread data is as of the date indicated, are subject to change, and should not be relied upon as current thereafter. Valuation spreads may be different when measured within different equity universes. 18 9
10 3 Approaches to Implement Your Factor Convictions APPROACH 1 APPROACH 2 APPROACH 3 Value Value Quality Size Volatility Value Momentum Quality SINGLE FACTOR Focus on individual factors MULTI-FACTOR or combine factors such as Value and Quality. ACTIVE QUANT Dive deeply into advanced factor definitions. 19 Challenge for Investors Case for Factor-based Investing What Next? The Real World 10
11 What Problems Can Factor Investing Solve? Managing Downside Volatility The Search for Yield The Need for Excess Returns Getting the Most Out of Fees Uncorrelated Returns 21 In Our Recent Global Survey of 400 Institutional Investors 76% of respondents who had implemented Smart Beta reported moderate to significant improvement in meeting their long-term aims. Source: SSGA, FT Remark, The Great Divide. March About this study: FT Remark, in association with State Street Global Advisors (SSGA), surveyed senior executives with asset allocation responsibilities at 400 institutional investors (with at least $200Mn AUM). The Respondents are distributed: 24% Asia, 38% Americas, 38% EMEA. The survey included a combination of qualitative and quantitative questions and all interviews were conducted by phone. The results were analyzed and collated by FT Remark and all responses are anonymized and presented in aggregate
12 CASE 1 Improving passive exposure CASE 3 Replacing/reducing active manager allocations CLIENTS CASE 2 Taking the desired risk exposures 23 Improving Passive Exposure CASE STUDY CHALLENGE Remain passive but achieve better risk-adjusted returns. SOLUTION Reduce risk and improve return with a multi-factor allocation. 100% MSCI World Index (Passive Strategy) 25% MSCI Quality Mix Index (Smart Beta) 75% MSCI World Index (Passive Strategy) Return PA Sharpe Ratio Return PA Sharpe Ratio RESULTS BETTER RETURNS, BETTER SHARPE RATIO Source: State Street Global Advisors. The information contained above is for illustrative purposes only
13 Taking the Desired Risk Exposure CASE STUDY CHALLENGE US Defined Benefit Fund needed to improve fixed income performance relative to liabilities without jeopardizing funding status. SOLUTION Optimize portfolio s credit risk premium. Assess Quality versus Value and capture mispriced credit risk. Return 48BPS RESULTS FUNDING PRESERVED, BETTER RETURNS Source: State Street Global Advisors. The information contained above is for illustrative purposes only. 25 Reducing Active Manager Allocations CASE STUDY CHALLENGE 50 % Passive 50 % Active Managers SOLUTION 75 % Active Beta Value Low Vol Size 25 % Active Managers Classic Core-Satellite Fundamental Characteristics Security Count 708 Active Risk 0.43 Portfolio Ending Active Share Risk (%) Asset Specific Risk Factor Risk Total Fees (%) 0.28 Factorized Core Portfolio Fundamental Characteristics Security Count 737 Active Risk 1.21 Portfolio Ending Active Share Risk (%) Asset Specific Risk Factor Risk Total Fees (%) 0.19 RESULTS FOCUSED EXPOSURES, REDUCED FEES Source: State Street Global Advisors. The information contained above is for illustrative purposes only
14 WHY FACTOR INVESTING? Fee Productivity Flexibility Meet Challenges Control Cost-efficient implementation. You decide what matters. Aim for growth. Control volatility. Take control of your investment destiny. 27 Disclosures The information provided does not constitute investment advice and it should not be relied on as such. It should not be considered a solicitation to buy or an offer to sell a security. It does not take into account any investor's particular investment objectives, strategies, tax status or investment horizon. You should consult your tax and financial advisor. All material has been obtained from sources believed to be reliable. There is no representation or warranty as to the accuracy of the information and State Street shall have no liability for decisions based on such information. Past index performance is not a guarantee of future results. Investing involves risk including the risk of loss of principal. The whole or any part of this work may not be reproduced, copied or transmitted or any of its contents disclosed to third parties without SSGA's express written consent. This information should not be used or construed as an offer to sell, a solicitation of an offer to buy, or a recommendation for any security State Street Corporation All Rights Reserved. CMINST Exp. Date 31/03/
15 15
TAKE CONTROL OF YOUR INVESTMENT DESTINY Increasing control over your investments.
TAKE CONTROL OF YOUR INVESTMENT DESTINY Increasing control over your investments. Challenge for Investors Case for Factor-based Investing What Next? The Real World Economic and Market Outlooks are Constrained
More informationSmart Beta: Unlocking New Investment Opportunities
Smart Beta: Unlocking New Investment Opportunities Ana Paula Harris State Street Global Advisors FOR INVESTMENT PROFESSIONAL USE ONLY. Not for use with the public. All the information contained in this
More informationEvolving Equity Investing: Delivering Long-Term Returns in Short-Tempered Markets
March 2012 Evolving Equity Investing: Delivering Long-Term Returns in Short-Tempered Markets Kent Hargis Portfolio Manager Low Volatility Equities Director of Quantitative Research Equities This information
More informationin-depth Invesco Actively Managed Low Volatility Strategies The Case for
Invesco in-depth The Case for Actively Managed Low Volatility Strategies We believe that active LVPs offer the best opportunity to achieve a higher risk-adjusted return over the long term. Donna C. Wilson
More informationINSIGHTS. The Factor Landscape. August rocaton.com. 2017, Rocaton Investment Advisors, LLC
INSIGHTS The Factor Landscape August 2017 203.621.1700 2017, Rocaton Investment Advisors, LLC EXECUTIVE SUMMARY Institutional investors have shown an increased interest in factor investing. Much of the
More informationWhy Use Smart Beta in DC?
Smart Beta for DC Smart Beta for DC Why Use Smart Beta in DC? Increasing numbers of our DC clients are looking to us to help them use smart beta solutions in their schemes. Offering improved risk-adjusted
More informationEconomic Outlook. DMS Economic Outlook for next 12 months
Economic Outlook DMS Economic Outlook for next 12 months GDP growth has rebounded from a dismal first quarter and GDP is growing modestly at 2.6%. Personal income growth has improved in recent months and
More informationSTRATEGY OVERVIEW. Long/Short Equity. Related Funds: 361 Domestic Long/Short Equity Fund (ADMZX) 361 Global Long/Short Equity Fund (AGAZX)
STRATEGY OVERVIEW Long/Short Equity Related Funds: 361 Domestic Long/Short Equity Fund (ADMZX) 361 Global Long/Short Equity Fund (AGAZX) Strategy Thesis The thesis driving 361 s Long/Short Equity strategies
More informationMoving Beyond Market Cap-Weighted Indices
Moving Beyond Market Cap-Weighted Indices Trustee Forum London 12 May 2011 Michael Arone, CFA, Global Head of Product Engineering 1 The Expanding Passive Universe Why is Cap Weighting the Norm? Theory
More informationIdentifying a defensive strategy
In our previous paper Defensive equity: A defensive strategy to Canadian equity investing, we discussed the merits of employing a defensive mandate within the Canadian equity portfolio for some institutional
More informationFortigent Alternative Investment Strategies Model Wealth Portfolios Fortigent, LLC.
Fortigent Alternative Investment Strategies Model Wealth Portfolios Important Disclaimers The information provided is for educational purposes only and is not intended to be, and should not be construed
More informationSmart Beta Dashboard. Thoughts at a Glance. January By the SPDR Americas Research Team
By the SPDR Americas Research Team Thoughts at a Glance 2017 marked another year of factor performance shifts. s comeback in the US on the heels of the US election and the potential for a Trump-flation
More informationU.S. LOW VOLATILITY EQUITY Mandate Search
U.S. LOW VOLATILITY EQUITY Mandate Search Recommended: That State Street Global Advisors (SSgA) be appointed as a manager for a U.S. low volatility equity mandate. SSgA will be managing 10% of the Diversified
More informationFactor investing: building balanced factor portfolios
Investment Insights Factor investing: building balanced factor portfolios Edward Leung, Ph.D. Quantitative Research Analyst, Invesco Quantitative Strategies Andrew Waisburd, Ph.D. Managing Director, Invesco
More informationLazard Insights. Distilling the Risks of Smart Beta. Summary. What Is Smart Beta? Paul Moghtader, CFA, Managing Director, Portfolio Manager/Analyst
Lazard Insights Distilling the Risks of Smart Beta Paul Moghtader, CFA, Managing Director, Portfolio Manager/Analyst Summary Smart beta strategies have become increasingly popular over the past several
More informationEquity Markets in a Late-Cycle Environment: Balancing Opportunity and Risk
Equity Markets in a Late-Cycle Environment: Balancing Opportunity and Risk Speaker: Olivia Engel, CFA Senior Managing Director, CIO, Active Quantitative Equity State Street Global Advisors 2 Content What
More informationGoing Beyond Style Box Investing
Going Beyond Style Box Investing NCPERS Presented by Erin Doyle Orekhov, Client Portfolio Manager May 22, 2017 For financial professional or qualified institutional investor use only. Not for inspection
More informationAdvisor Briefing Why Alternatives?
Advisor Briefing Why Alternatives? Key Ideas Alternative strategies generally seek to provide positive returns with low correlation to traditional assets, such as stocks and bonds By incorporating alternative
More informationSeeking higher returns or lower risk through ETFs
Seeking higher returns or lower risk through ETFs BROUGHT TO YOU BY: Contents Seeking higher returns or lower risk through ETFs Factors and the rise of smart beta Reducing risk through smart beta strategies
More informationFactor Investing: Smart Beta Pursuing Alpha TM
In the spectrum of investing from passive (index based) to active management there are no shortage of considerations. Passive tends to be cheaper and should deliver returns very close to the index it tracks,
More informationDiscover the power. of ETFs. Not FDIC Insured May May Lose Lose Value Value No No Bank Bank Guarantee
Discover the power of ETFs Not FDIC Insured May May Lose Lose Value Value No No Bank Bank Guarantee Discover exchange-traded funds (ETFs) Financial television programs and publications continue to give
More informationSPDR MSCI STRATEGICFACTORSSM ETF SUITE
SPDR MSCI STRATEGICFACTORSSM ETF SUITE SPDR MSCI StrategicFactors ETF Suite A Multi-Factor Approach to Smart Beta Key Takeaways Smart beta strategies can bridge the gap between active and passive management,
More informationState Street Global Equity Fund Why Smart Equity Investors Continue to Look for Value
Market Commentary July 2018 State Street Global Equity Fund Why Smart Equity Investors Continue to Look for Value Ample evidence demonstrates the long-term efficacy of value investing. As with any investment,
More informationRAFI Dynamic Multi-Factor Emerging Markets Index
RAFI Dynamic Multi- RAFI Roadmap: A guide to better investor outcomes RAFI Dynamic Multi- benchmark asset class EM Cap-Weight Large-Mid Equity What is the Process? 1. Separate the universe into large companies
More informationSOLUTIONS RANGE. Authorised Financial Services Provider (FSP 612)
SOLUTIONS RANGE Authorised Financial Services Provider (FSP 612) MONEY MARKET AND ENHANCED YIELD FUNDS Money Market The fund aims to achieve returns above the STefI Call Index, while minimising the risk
More informationTactical Growth ETF. Investor Presentation N ORTHC OAST I NVESTMENT A DVISORY T EAM NORTHCOASTAM. COM
Tactical Growth ETF Investor Presentation N ORTHC OAST I NVESTMENT A DVISORY T EAM 203.532.7000 INFO@ NORTHCOASTAM. COM NORTHCOAST ASSET MANAGEMENT An established leader in the field of tactical investment
More informationBuilding a Resilient Fixed Income Portfolio for all Stages of the Economic Cycle
Building a Resilient Fixed Income Portfolio for all Stages of the Economic Cycle Matthew J. Eagan, CFA, Vice President and Portfolio Manager, Fixed Income, Loomis, Sayles & Company Kevin P. Kearns, Vice
More informationTactical Income ETF. Investor Presentation N ORTHC OAST I NVESTMENT A DVISORY T EAM NORTHCOASTAM. COM
Tactical Income ETF Investor Presentation N ORTHC OAST I NVESTMENT A DVISORY T EAM 203.532.7000 INFO@ NORTHCOASTAM. COM NORTHCOAST ASSET MANAGEMENT An established leader in the field of tactical investment
More informationCan We Lower Portfolio Volatility and Still Meet Equity Return Expectations?
Can We Lower Portfolio Volatility and Still Meet Equity Return Expectations? Richard Yasenchak, CFA Senior Vice President, Client Portfolio Manager, INTECH FOR INSTITUTIONAL INVESTOR USE/NOT FOR PUBLIC
More informationSmart Beta Dashboard. Thoughts at a Glance. March By the SPDR Americas Research Team
By the SPDR Americas Research Team Thoughts at a Glance For the first two months of Q1, US outperformed the broader market by nearly 5%. However, as 10-year Treasury yields and inflation expectations came
More informationQ3 Investment Review & Outlook
Q3 Investment Review & Outlook October 22, 2018 Russ Allen, CIO Disclosures Important Disclosures: This information is for discussion purposes only and is being furnished on October 22, 2018. This information
More informationHigh conviction: Creating multi-asset portfolios designed to achieve investors objectives
The Invesco White Paper Series High conviction: Creating multi-asset portfolios designed to achieve investors objectives Contributors: Duy Nguyen, CFA, CAIA Senior Portfolio Manager Chief Investment Officer
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS AUGUST 2018 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) -80.00% ABCERI S&P
More informationAspiriant Risk-Managed Equity Allocation Fund RMEAX Q4 2018
Aspiriant Risk-Managed Equity Allocation Fund Q4 2018 Investment Objective Description The Aspiriant Risk-Managed Equity Allocation Fund ( or the Fund ) seeks to achieve long-term capital appreciation
More informationGoldman Sachs Asset Allocation Portfolios Investment Outlook
Goldman Sachs Asset Allocation Portfolios Investment Outlook Overview The Goldman Sachs Asset Allocation Portfolios are managed by the Global Portfolio Solutions (GPS) team. 1 GPS has been designing customized
More informationSmart Beta Dashboard. Thoughts at a Glance. June By the SPDR Americas Research Team
By the SPDR Americas Research Team Thoughts at a Glance Factor performance diverged across regions in Q2. In the US, all factors with the exception of underperformed broad US equities. As volatility in
More informationSmart Beta. or Smart Alpha?
Smart Beta or Smart Alpha? Kenneth Winther Senior Vice President, kenneth.winther@tryg.dk, Tryg External lecturer, kw.fi@cbs.dk, Copenhagen Business School 1 26. november 2015 Smart beta in a nutshell
More informationIntroducing BlackRock's Target Allocation ETF Models
Introducing BlackRock's Target Allocation ETF Models Eve Cout Director, Managed Accounts Business Thomas Wood, CFA Lead Strategist, US Model Portfolios Tuesday January 23 rd, 2018 BENEFIT # 1 Scale and
More informationSmart Beta and Factor Investing Global Trends for Pension Investors
Smart Beta and Factor Investing Global Trends for Pension Investors Pascal Blanqué CIO Amundi Executive summary Risk factor investing: Seeing a strong momentum among long-term investors (pension funds,
More informationDiscover the power. of ETFs. Not FDIC Insured May May Lose Lose Value Value No No Bank Bank Guarantee
Discover the power of ETFs Not FDIC Insured May May Lose Lose Value Value No No Bank Bank Guarantee Discover exchange-traded funds (ETFs) Financial television programs and publications continue to give
More informationFactor Investing. Fundamentals for Investors. Not FDIC Insured May Lose Value No Bank Guarantee
Factor Investing Fundamentals for Investors Not FDIC Insured May Lose Value No Bank Guarantee As an investor, you have likely heard a lot about factors in recent years. But factor investing is not new.
More informationTranslating Factors to International Markets
LEADERSHIP SERIES Translating Factors to International Markets Strategies that combine the potential diversification benefits of international exposure with the portfolio-enhancing benefits of factors
More informationEnhancing equity portfolio diversification with fundamentally weighted strategies.
Enhancing equity portfolio diversification with fundamentally weighted strategies. This is the second update to a paper originally published in October, 2014. In this second revision, we have included
More informationThe Equity Imperative
The Equity Imperative Factor-based Investment Strategies 2015 Northern Trust Corporation Can You Define, or Better Yet, Decipher? 1 Spectrum of Equity Investing Techniques Alpha Beta Traditional Active
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS JUNE 2017 80.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% -80.00% ABCERI S&P GSCI ER BCOMM ER
More informationNewGen Trading Fund Equity long-short trading strategy
NewGen Trading Fund Equity long-short trading strategy Disclaimer The information in this document is furnished on a confidential basis exclusively for your use and retention and, by accepting this document,
More informationInvesco Diversified Dividend Fund. Building a solid foundation
Invesco Diversified Dividend Fund Building a solid foundation of dividend growers Equity Objective Seeks long-term capital growth with current income as its secondary objective Symbols A: LCEAX C: LCEVX
More informationVelocityShares Equal Risk Weighted Large Cap ETF (ERW): A Balanced Approach to Low Volatility Investing. December 2013
VelocityShares Equal Risk Weighted Large Cap ETF (ERW): A Balanced Approach to Low Volatility Investing December 2013 Please refer to Important Disclosures and the Glossary of Terms section of this material.
More informationVelocityShares Equal Risk Weight ETF (ERW) Please refer to Important Disclosures and the Glossary of Terms section at the end of this material.
VelocityShares Equal Risk Weight ETF (ERW) Please refer to Important Disclosures and the Glossary of Terms section at the end of this material. Glossary of Terms Beta: A measure of a stocks risk relative
More informationBuilding Portfolios with Active, Strategic Beta and Passive Strategies
Building Portfolios with Active, Strategic Beta and Passive Strategies It s a Question of Beliefs Issues to think about on the Active/Passive spectrum: How important are fees to you? Do you believe markets
More informationVideo: GIC Wealth Management Perspectives
GLOBAL INVESTMENT COMMITTEE FEB.8, 2017 Video: GIC Wealth Management Perspectives Video: The Case for Active Management A new video takes a deep dive into the drivers of recent Active Manager underperformance
More informationAlternative Data Integration, Analysis and Investment Research
Alternative Data Integration, Analysis and Investment Research Yin Luo, CFA Vice Chairman Quantitative Research, Economics, and Portfolio Strategy QES Desk Phone: 1.646.582.9230 Luo.QES@wolferesearch.com
More informationActive M Emerging Markets Equity Fund (NMMEX) (Formerly known as Multi-Manager Emerging Markets Equity Fund)
NORTHERN FUNDS Active M Emerging Markets Equity Fund (NMMEX) (Formerly known as Multi-Manager Emerging Markets Equity Fund) 2Q 2018 Performance Review June 30, 2018 Please carefully read the prospectus
More information+ = Smart Beta 2.0 Bringing clarity to equity smart beta. Drawbacks of Market Cap Indices. A Lesson from History
Benoit Autier Head of Product Management benoit.autier@etfsecurities.com Mike McGlone Head of Research (US) mike.mcglone@etfsecurities.com Alexander Channing Director of Quantitative Investment Strategies
More informationAI: Weighted Sector Strategy DEC
KEN STERN & ASSOCIATES DEC 31 2016 1 Tactical Rebalanced AI: Strategy DEC 31 2016 Ken Stern & Associates Strategy seeks to track the investment results of the Morgan Stanley Capital International USA Investable
More informationMulti-asset capability Connecting a global network of expertise
Multi-asset capability Connecting a global network of expertise For Professional Clients only Solutions aligned with investors' needs We have over 25 years of experience designing multi-asset solutions
More informationETF Research: Understanding Smart Beta KNOW Characteristics: Finding the Right Factors Research compiled by Michael Venuto, CIO
ETF Research: Understanding Smart Beta KNOW Characteristics: Finding the Right Factors Research compiled by Michael Venuto, CIO In this paper we will explore the evolution of smart beta investing through
More informationMarket Insights. The Benefits of Integrating Fundamental and Quantitative Research to Deliver Outcome-Oriented Equity Solutions.
Market Insights The Benefits of Integrating Fundamental and Quantitative Research to Deliver Outcome-Oriented Equity Solutions Vincent Costa, CFA Head of Global Equities Peg DiOrio, CFA Head of Global
More informationBUILDING STRONGER PORTFOLIOS WITH MULTI-ASSET SOLUTIONS
NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE BUILDING STRONGER PORTFOLIOS WITH MULTI-ASSET SOLUTIONS Leveraging the best ideas of J.P. Morgan Stronger portfolios for better client results It takes
More informationAn Economic Perspective on Dividends
2017 An Economic Perspective on Dividends Table of Contents Corporate Outlook... 1 2 Market Environment... 3 7 Payout Ratio... 8 9 Long-term View...10 12 Global View... 13 16 Active Management... 17 Risk
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS JULY 2018 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) -80.00% ABCERI S&P GSCI ER BCOMM
More informationRAFI Fundamental US Index
RAFI Roadmap: A guide to better investor outcomes RAFI Fundamental US Index benchmark US Cap-Weight 500 asset class Equity What Is the Process? Investment Process 1 2 Determine size of companies using
More informationGlobal Multi Asset Global Tactical Asset Alloc $346.8 billion
Columbia (Model Portfolio Provider) 225 Franklin Street Boston, Massachusetts 02110 Style: Sub-Style: Firm AUM: Firm Strategy AUM: Global Multi Asset Global Tactical Asset Alloc $346.8 billion Year Founded:
More informationModest Style Bets, Modest Price
Reprinted by permission of Morningstar, Oct. 21, 2016 Modest Style Bets, Modest Price ETF SPECIALIST 10-21-16 by Alex Bryan, CFA Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF (GSLC) offers exposure
More informationDiscussion of The Promises and Pitfalls of Factor Timing. Josephine Smith, PhD, Director, Factor-Based Strategies Group at BlackRock
Discussion of The Promises and Pitfalls of Factor Timing Josephine Smith, PhD, Director, Factor-Based Strategies Group at BlackRock Overview of Discussion This paper addresses a hot topic in factor investing:
More informationCOMPLETE GUIDE TO SMART BETA. Beyond Active and Passive
COMPLETE GUIDE TO SMART BETA Beyond Active and Passive Complete Guide to Smart Beta 04 THE IDEA 04 Smart Beta Strategies: A Roadmap 06 Value 08 Size 10 Low Volatility 12 Quality 14 Momentum 16 Multi-Factor
More informationLow Volatility Strategies: Applying Quantitative Thinking To Build Better Portfolios
Low Volatility Strategies: Applying Quantitative Thinking To Build Better Portfolios February 2014 Hillsdale Investment Management Harry Marmer, CFA, MBA Executive Vice-President, Institutional Investment
More informationDIVIDENDS A NEW PERSPECTIVE
July 2015 DIVIDENDS A NEW PERSPECTIVE Richard Cloutier, Jr., CFA Vice President Chief Investment Strategist OVERVIEW During the last bull market, investors focused their attention on rapidly growing businesses
More informationSmart Beta ETFs: 3 ways to address investor needs
Smart Beta ETFs: 3 ways to address investor needs Help achieve investor goals with smart beta ETFs This guide highlights three ways investors are using ishares smart beta ETFs: 1 Lower volatility can help
More informationFactor Investing & Smart Beta
Factor Investing & Smart Beta Raina Oberoi VP, Index Applied Research MSCI 1 Outline What is Factor Investing? Minimum Volatility Index Methodology Historical Performance and Index Characteristics Risk
More informationSmart Beta #
Smart Beta This information is provided for registered investment advisors and institutional investors and is not intended for public use. Dimensional Fund Advisors LP is an investment advisor registered
More informationFactor Performance in Emerging Markets
Investment Research Factor Performance in Emerging Markets Taras Ivanenko, CFA, Director, Portfolio Manager/Analyst Alex Lai, CFA, Senior Vice President, Portfolio Manager/Analyst Factors can be defined
More informationTailwinds Tactical Portfolio Suite
Tailwinds Tactical Portfolio Suite Newfound Case ID: 4176917 1 December 2015 The Newfound Mission Defensive Simple Consistent Thoughtful In August 2008, Newfound Research was founded based on a simple,
More informationNN First Class Return Fund - Passief
NN First Class Return Fund - Passief All Fund in Scope data as of end September 018 The NN First Class Selective Passive Return Fund gained.6% The global economy is still in a consolidation phase Equities
More informationUnderstanding Smart Beta Returns
Understanding Smart Beta Returns October 2018 In this paper, we use a performance analysis framework to analyze Smart Beta strategies against their benchmark. We apply it to Minimum Variance Strategies
More informationA Framework for Understanding Defensive Equity Investing
A Framework for Understanding Defensive Equity Investing Nick Alonso, CFA and Mark Barnes, Ph.D. December 2017 At a basketball game, you always hear the home crowd chanting 'DEFENSE! DEFENSE!' when the
More informationImproving Risk Adjusted Returns in Factor Investing
ASSET MANAGEMENT Improving Risk Adjusted Returns in Factor Investing Matt Peron Executive Vice President Head of Global Equity 1 THE IMPETUS FOR FACTOR BASED INVESTING Stock selection has historically
More informationTACTICAL INVESTMENT STRATEGIES TRADE DECISIONS AND RATIONALE December 5, 2017
EQUITY TICKER ACTION QA Global Equity QA International Equity QA US Equity QA US Sector ishares U.S. Technology ETF IYW Trimmed QA Global Style The information provided in this report should not be considered
More informationBuilding an Income Portfolio: Time for a New Approach?
Building an Income Portfolio: Time for a New Approach? With market volatility and low interest rates set to persist for some time, investors may have to rethink their income strategy to adapt to this new
More informationIt is well known that equity returns are
DING LIU is an SVP and senior quantitative analyst at AllianceBernstein in New York, NY. ding.liu@bernstein.com Pure Quintile Portfolios DING LIU It is well known that equity returns are driven to a large
More informationGoldman Sachs Asset Allocation Portfolios Investment Outlook
Goldman Sachs Asset Allocation Portfolios Investment Outlook Overview The Goldman Sachs Asset Allocation Portfolios are managed by the Global Portfolio Solutions (GPS) team. 1 GPS has been designing customized
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS APRIL 2017 80.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% -80.00% ABCERI S&P GSCI ER BCOMM ER
More informationFundamentally weighted index strategies: A primer on asset allocation in three core asset classes
strategies: A primer on asset allocation in three core asset classes 1 2 3 Key takeaways strategies can serve as a complement to traditional cap-weighted index strategies. Combining fundamentally weighted
More informationActive vs. Passive Money Management
Active vs. Passive Money Management Exploring the costs and benefits of two alternative investment approaches By Baird s Advisory Services Research Synopsis Proponents of active and passive investment
More informationFocusing on investment outcomes:
Invesco White Paper Series on the Active/Passive Debate This white paper was generated with the support of the Invesco Global Solutions Development and Implementation team. Focusing on investment outcomes:
More informationDisciplined Stock Selection
Disciplined Stock Selection Nicholas Clark March 4 th, 2010 04 March 2010 Designator author 1 4 th March 2010 2 Overview 1. Introduction 2. Using Valuation Dispersion to Determine Expected Stock Returns
More informationHEARTLAND VALUE FUND
HEARTLAND VALUE FUND An investor should consider the Fund s investment objectives, risks, and charges and expenses carefully before investing or sending money. This and other important information can
More informationInflows, indexes, and the future: Trends in active and passive. Key takeaways
August 2017 Inflows, indexes, and the future: Trends in active and passive PANELISTS 1 2 3 Key takeaways We believe global monetary easing has been the primary driver behind the closer stock-to-stock correlations,
More informationSnapshot: Advanced Beta. Beyond Active and Passive. A research report sponsored by State Street Global Advisors.
Snapshot: THE STATE OF Advanced Beta IN EUROPE Beyond Active and Passive A research report sponsored by State Street Global Advisors. Advanced Beta is the Latest Stage in the Evolution of Indexing As the
More informationSHOULD YOU CARE ABOUT VALUATIONS IN LOW VOLATILITY STRATEGIES?
SHOULD YOU CARE ABOUT VALUATIONS IN LOW VOLATILITY STRATEGIES? July 2017 UNCORRELATED ANSWERS TM Executive Summary Increasing popularity of low-volatility strategies has led to fear that low-volatility
More informationFactor Investing and Adaptive Skill: 10 Observations on Rules-Based Equity Strategies
T H E J O U R N A L O F THEORY & PRACTICE FOR FUND MANAGERS SPRING 2016 Volume 25 Number 1 Factor Investing and Adaptive Skill: 10 Observations on Rules-Based Equity Strategies MIKE SEBASTIAN AND SUDHAKAR
More informationSmart Beta: Index Investing, Evolved
Franklin LibertyShares TM Topic Paper November 2017 Smart Beta: Index Investing, Evolved Global investing literally and figuratively is foreign to many US investors. That s why some have taken a passive
More informationFOCUS: YIELD. Factor Investing. msci.com
FOCUS: YIELD Factor Investing msci.com FACTOR FOCUS: YIELD FACTOR FOCUS: YIELD IN THE REALM OF INVESTING, A FACTOR IS ANY CHARACTERISTIC THAT HELPS EXPLAIN THE LONG-TERM RISK AND RETURN PERFORMANCE OF
More informationFundamental Indexation Usually, but not always, a value play July Prepared by Aon Hewitt Retirement & Investment
Fundamental Indexation Usually, but not always, a value play July 2017 Prepared by Aon Hewitt Retirement & Investment Summary This paper is the third in a series on alternative indexation so called smart
More informationAlphaSolutions Blended Bull/Calendar
AlphaSolutions Blended Bull/Calendar An investment model based on trending strategies coupled with market analytics for downside risk control with predetermined investment periods Portfolio Goals Primary:
More informationRAFI Fundamental Global Index
RAFI Roadmap: A guide to better investor outcomes RAFI Fundamental Global Index benchmark asset class All World Cap-Weight Large-Mid Equity What Is the Process? Investment Process 1 2 Determine size of
More informationLOW VOLATILITY: THE CASE FOR A STRATEGIC ALLOCATION IN A RISING RATE ENVIRONMENT
MFS White Capability Paper Series Focus Month February 212 217 Authors James C. Fallon Portfolio Manager Quantitative Solutions Christopher C. Callahan Regional Head North American Institutional R. Dino
More informationTarget Funds. SEMIANNual REPORT
SEMIANNual REPORT November 30, 2017 T. Rowe Price Target Funds The funds invest in a diversified portfolio of T. Rowe Price mutual funds, offering a professionally managed, age-appropriate mix of stocks
More informationBrent Leadbetter, CFA, and John West, CFA
There s Diversity in Value Brent Leadbetter, CFA, and John West, CFA John West, CFA Market inefficiencies have existed as long as there have been markets. KEY POINTS 1. The excess returns captured by a
More informationMYNORTH RETIREMENT FUND
MYNORTH RETIREMENT FUND MyNorth Retirement Fund is a diversified investment solution designed and managed specifically with retirees needs in mind. The Fund leverages AMP Capital Multi-Asset Group capability
More information