Market Insights. The Benefits of Integrating Fundamental and Quantitative Research to Deliver Outcome-Oriented Equity Solutions.
|
|
- Janice Griffith
- 5 years ago
- Views:
Transcription
1 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 Quantitative Research Executive Summary Traditional factor-based equity strategies employ quantitative research that focuses on a combination of value, momentum, size, quality, and/or low-volatility factors to exploit the inefficiencies of capitalizationweighted indices. While the idea of factor-based investing is not new, there has been a recent proliferation of Smart-Beta equity strategies. As demand for Smart-Beta strategies grows, an increasing amount of investors are being exposed to large sector concentrations as well as unintentional factor exposures that could lead to unanticipated risks, including interest-rate risk. We believe Voya s approach of integrating quantitative and fundamental research signals mitigates the model risk and unintended consequences of a rules-based approach, and delivers more flexibility to achieve outcomes that cannot be met with traditional benchmark-oriented equity strategies: Voya s proprietary multi-factor, stock ranking models have been in place since 04 and deliver lower-cost access to uncorrelated, fundamental alpha sources Sector-neutral approach mitigates sector biases and helps protect against interest-rate risk Focus on three unique alpha sources helps deliver downside protection and strong upside capture Optimization ensures risk positions and factor exposures are deliberate, diversified and consistent with client objectives Investment universe and benchmark can be tailored to address the dynamic needs of our clients Stock-ranking models can be applied across regions (global and international) and market capitalizations (small-, mid-, and large-cap) Voya Equity: The Building Blocks for Reliable and Consistent Investment Outcomes Most factor-based equity strategies apply a primarily quantitative approach to research and portfolio construction. If fundamental insight is used at all, it typically comes at the end of the investment process. Voya s approach combines the portfolio construction and optimization capabilities of our Global Quantitative Equity Research team with the proven alpha signals of our Fundamental Equity Research team. Voya s methodology for ranking and selecting stocks integrates fundamental insights and quantitative capabilities to create a multi-factor stock ranking model. Built in house, the framework for our stock ranking model is based on the factors our senior sector analysts believe make a company successful. Each model is unique to both its sector and region, and results in uncorrelated sources of alpha when we construct the portfolio. For example, we utilize a separate model to rank U.S. industrial companies and non-u.s. industrial companies, U.S. technology companies and non-u.s. technology companies, etc. Created by fundamental analysts and validated and optimized by quantitative research, our multi-factor stock ranking models serve as the foundation for all of our active return strategies. INVESTMENT MANAGEMENT
2 As shown in Figure 1, our models place varying degrees of emphasis on valuation, quality and growth signals based on what our fundamental analysis has shown to be most important in each sector over time. Factors are back-tested to analyze how they performed over long periods (25+ years) and in specific types of market environments. Rather than relying upon a one-sized fits all valuation model, or more common distinctions such as value/ growth, high/low beta or high/low dividend, our approach enables us to take advantage of the intrinsic strengths of each sector. This has resulted in long-term persistent sources of alpha. Figure 1. Voya s Proprietary Stock Ranking Models Deliver Lower-Cost Access to Uncorrelated Alpha Streams 1A: Examples of Fundamental Stock Ranking System 1B: Annualized Excess Returns vs. Russell 1000 Index (Simulated Performance 01/01/90 12/31/15) Sector A 15 Factor Model Free Cash Flow Yield Change in Sales vs. CapEx Forward EPS Growth 40% 23% 37% Sector B 10 Factor Model EBITDA to EV Change in ROIC Forward PEG Ratio 17% 8% 32% 14% 54% Sector C 7 Factor Model EPS Yield ROE EPS Diffusion 22% Sector D Sector E Sector F 8 Factor Model 11 Factor Model 8 Factor Model Book Yield Forward EPS Yield EBITDA to EV Gross Profits to Assets CapEx to Sales EBITDA to Debt Forward EPS Growth Forward Sales Growth Forward EPS Growth 30% Legend: 45% Valuation Signals 75% Quality Signals 11% Growth Signals 67% 50% Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Technology Materials Telecom 1.5 Utilities Total C: Correlation of Excess Returns (Simulated Performance 01/01/90 12/31/15) Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Info Tech Materials Telecom Utilities Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Info Tech Materials Telecom Utilities 1.00 U.S. Model shown above is for illustrative purposes only. Past performance is not indicative of future returns. Source: FactSet and Voya Investment Management. Data from 01/01/90 12/31/15. Backtested results in Figures 1B and 1C are shown using cap-weighted Quintile 1 returns generated by the Voya proprietary Fundamental Stock Ranking System. 2
3 Case Study: Harnessing the Power of Voya s Fundamental Alpha Generation Capabilities The analytical framework outlined in Figure 1 serves as the alphagenerating engine of our equity platform. Voya s proprietary stock ranking models provide the building blocks to design and implement solutions for a wide range of client objectives that cannot be met with traditional, benchmark-oriented equity strategies. In the current environment, heightened uncertainty and concerns about volatility are fueling demand for downside protection. Yet investors still need to achieve attractive levels of total return and yield to meet their investment objectives. Faced with this dilemma, many investors have turned to alternative strategies such as hedge funds. Other investors have embraced Smart-Beta equity strategies as the solution. Both approaches present problems. Alternative strategies have recently underperformed, while Figure 2. Voya s Sector-Neutral Approach is Less Sensitive to Interest Rates 2A: Large Sector Bets Expose Traditional Low Volatility Strategies to Interest-Rate Risk Active Sector Weights (%) 40% Defensive Sectors 24.1 Cyclical Sectors factor-based Smart-Beta equity strategies often expose investors to sector biases and unintended factor exposures that could lead to unanticipated outcomes, including interest-rate risk. For investors already concerned about the performance of their fixed income allocation in a rising rate environment, an allocation to this type of equity strategy introduces unwanted risk. Recently we used our multi-factor stock ranking models to partner with a large institutional client seeking higher dividend income and total returns with lower volatility relative to the overall market and the potential for attractive upside returns. Using our models and applying our sector-neutral philosophy enabled us to target low volatility, dividend yield and alpha at the sector level. The end result was a sector-neutral portfolio that delivered better outcomes for our client (Figure 2). 5.4 Insurance Heathcare Stpls Telecom Real Estate Utilities Voya HDLV vs R MSCI Min Vol vs. MSCI USA S&P Low Vol vs. S&P 500 2B: Voya s Sector-Neutral Approach and Focus on Three Unique Alpha Sources Mitigates Interest-Rate Risk 0.15 Energy Industrials Banks Materials Disc Diversified Tech - S&P Low Vol S&P Low Vol High Div Voya HDLV MSCI High Div MSCI MinVol - Beta Yield Model For illustrative purposes only. Source: Voya IM and FactSet. Data as of 1/1/98-12/31/15. Past performance is no assurance of future results. Interest rate sensitivity measures the sensitivity of returns to the change in 10-year bond yields. 3
4 As demonstrated in Figure 2B, focusing on three unique sources of alpha stock selection (model), dividend yield and low volatility (beta) enabled us to deliver a well-diversified, sectorneutral portfolio, as each of the three factors has demonstrated outperformance with different risk/return profiles. Furthermore, combining our sector-neutral approach with the valuation component embedded within our models also helps us avoid the most expensive stocks in each sector, creating an investment framework better designed to deliver downside protection without sacrificing the potential for attractive upside returns. Accordingly, Voya s investment strategy has the potential to deliver more consistent and attractive outcomes throughout market cycles. Figure 3. Voya s Deliberate and Diversified Risk Positions Generated More Consistent and Attractive Outcomes 3A: Historically Consistent Outperformance Voya High-Dividend Low-Volatility Equity vs. Russell 1000 Index 3-Year Rolling Returns (Simulated Performance 01/31/97 12/31/15) Manager Returns (%) % Manager Outperformance vs. the Benchmark Index Returns (%) B: Outperformed in Flat and Declining Markets Simulated Monthly Performance Results (01/31/97 12/31/15) 79% 82% 58% 42% 21% 18% Monthly Returns # of Observations < -5% 38-5% to 5% 166 Strategy Outperforms Strategy Underperforms > 5% 24 Past performance is not indicative of future returns. Source: FactSet and Voya Investment Management. Data from 01/01/90 12/31/15. Back-tested results in Figure 3 are based on a simulated portfolio vs. Russell 1000 Index, rebalanced quarterly. Voya Equity Solutions: Reliable Partner, Historically Consistent Outcomes Voya s Equity platform manages $45 billion in total assets and has 50 investment professionals with 19 years of average industry experience. Our multi-factor stock ranking models have delivered consistent and uncorrelated alpha across sectors since 04. We are committed to fostering deep strategic partnerships with our clients and understand that many investors have needs that cannot be met with traditional, benchmark-oriented equity strategies. 4 Combining the best of Voya s fundamental and quantitative research capabilities enabled us to deliver historically consistent and strong risk-adjusted returns. We believe this approach to outcome-oriented investing provides lower-cost access to fundamental alpha sources while mitigating the model risk and unintended consequences of a purely rules-based approach.
5 Past performance does not guarantee future results. This commentary has been prepared by Voya Investment Management for informational purposes. Nothing contained herein should be construed as (i) an offer to sell or solicitation of an offer to buy any security or (ii) a recommendation as to the advisability of investing in, purchasing or selling any security. Any opinions expressed herein reflect our judgment and are subject to change. Certain of the statements contained herein are statements of future expectations and other forward-looking statements that are based on management s current views and assumptions and involve known and unknown risks and uncertainties that could cause actual results, performance or events to differ materially from those expressed or implied in such statements. Actual results, performance or events may differ materially from those in such statements due to, without limitation, (1) general economic conditions, (2) performance of financial markets, (3) interest rate levels, (4) increasing levels of loan defaults, (5) changes in laws and regulations, and (6) changes in the policies of governments and/or regulatory authorities. Simulated returns for the High Dividend Low Volatility strategy were created using a disciplined three-stage process: 1) build investable universe, 2) generate stock scores, and 3) construct the optimal portfolio. In building the investment universe, we began with the strategy s benchmark constituents and filtered the universe to include only those companies that have either a highdividend yield or have dividend growth potential within each sector. We then filtered that list further by using our proprietary yield-at-risk model to assess the ability of each company to sustain its dividend payments. Generally, this step eliminated the lowest quality stocks (i.e. stocks where the dividend is at risk of being cut or eliminated). The result was a high quality universe of stocks with sustainable high-dividend yields and dividend growth potential. Next, the sustainable high-yield universe flowed into our stock selection model a sector-specific multi-factor model that has been successfully used by the Voya IM equity platform since 04. The multi-factor framework is unique to each sector and utilizes quantitative factors (valuation, quality, and growth) that have sound economic rationale, test well quantitatively (back-tested over 25+ years), and represent the fundamental factors our senior analyst believe makes a company successful. The model was used to identify the most attractive stocks within each sector by assigning a numerical score ( z-score ) to each stock that indicated the relative attractiveness of the stock compared to all other stocks within in each sector. It is important to note however, that while the models incorporated the fundamental insights of our senior analysts, stock selection was purely model driven. As such, no qualitative assessments or judgments were used to select stocks during the simulation process. Lastly, we used a mean-variance optimization approach to rebalance the portfolio. The optimizer selected stocks for inclusion in (or removal from) the portfolio and determined the weight that each stock will be held. The objective of the optimization was to maximize the expected return (weighted average model score) while achieving its dividend yield target (>1.5x benchmark) and beta target (0.85), and abiding by a list of constraints (sector weights, asset weights, exposures, portfolio turnover, etc.). The simulation was simply the time-series of monthly returns generated by the portfolio holdings, which were rebalanced on a quarterly basis. Backtested performance is NOT an indicator of future actual results. The results reflect the performance of a strategy not historically offered to investors and do not represent returns that any investor actually attained. Backtested results are calculated by retroactive application of a model constructed on the basis of historical data and based on assumptions integral to the model which may or may not be testable and subject to losses. General assumptions include that the firm would have been able to purchase the securities recommended by the model and the markets were sufficiently liquid to permit all trading. Changes in these assumptions may have a material impact on the backtested returns presented. Certain assumptions have been made for modeling purposes and are unlikely to be realized. No representations and warranties are made as to the reasonableness of the assumptions. This information is provided for illustrative purposes only. Backtested performance is developed with the benefit of hindsight and has inherent limitations. Specifically, backtested results do not reflect actual trading or the effect of material economic and market factors on the decision making process. Since trades have not actually been executed, results may have under- or over-compensated for the impact, if any, of certain market factors may have had on a decision-making process. Further, backtesting allows the security selection methodology to be adjusted until past returns are maximized. Actual performance may differ significantly from backtested performance. Backtested results are adjusted to reflect the reinvestment of dividends and other income and except where otherwise indicated, are presented gross-of fees and do not include the effect of backtested transaction costs, management fees, performance fees or expenses, if applicable. No cash balance or cash flow is included in the calculation. The opinions, views and information expressed in this commentary regarding holdings are subject to change without notice. The information provided regarding holdings is not a recommendation to buy or sell any security. Fund holdings are fluid and are subject to daily change based on market conditions and other factors. For Australian Investors Voya Investment Management Co. LLC ( Voya ) is exempt from the requirement to hold an Australian financial services license under the Corporations Act 01 (Cth) ( Act ) in respect of the financial services it provides in Australia. Voya is regulated by the SEC under US laws, which differ from Australian laws. This document or communication is being provided to you on the basis of your representation that you are a wholesale client (within the meaning of section 761G of the Act), and must not be provided to any other person without the written consent of Voya, which may be withheld in its absolute discretion. 16 Voya Investments Distributor, LLC 230 Park Ave, New York, NY All rights reserved. For qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public. CMMC-BENEFIT IM
Going 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 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 informationHow to evaluate factor-based investment strategies
A feature article from our U.S. partners INSIGHTS SEPTEMBER 2018 How to evaluate factor-based investment strategies Due diligence on smart beta strategies should be anything but passive Original publication
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 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 informationU.S. Dynamic Equity Fund Money Manager and Russell Investments Overview April 2017
Money Manager and Russell Investments Overview April 2017 RUSSELL INVESTMENTS APPROACH Russell Investments uses a multi-asset approach to investing, combining asset allocation, manager selection and dynamic
More informationA Global Tactical Asset Allocation Fund
Voya Perspectives Markets. Insights. Opportunities. TM Strategies Perspectives Fund Broad Diversification Based on Market Fundamentals Broad global diversification offers access to a world of opportunities
More informationQuantitative Investing Integrating the Human Perspective
Quantitative Investing Integrating the Human Perspective Speaker: Vladimir de Vassal, CFA, Director of Quantitative Research Portfolio Manager, Quantitative Equities Glenmede Investment Management, L.P.
More informationBuilding Efficient Hedge Fund Portfolios August 2017
Building Efficient Hedge Fund Portfolios August 2017 Investors typically allocate assets to hedge funds to access return, risk and diversification characteristics they can t get from other investments.
More informationSpotlight on: 130/30 strategies. Combining long positions with limited shorting. Exhibit 1: Expanding opportunity. Initial opportunity set
INVESTMENT INSIGHTS Spotlight on: 130/30 strategies Monetizing positive and negative stock views Managers of 130/30 portfolios seek to capture potential returns in two ways: Buying long to purchase a stock
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 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 informationVoya Large Cap Growth Strategy
Separately Managed Account I For Quarter Ending June 3, 18 I Strategy Brief I 2Q 18 Voya Large Cap Growth Strategy Strategy-At-A-Glance Objective 1 Inception Date Benchmark Vehicles To outperform the Russell
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 informationSpecialist International Share Fund
Specialist International Share Fund Manager Profile January 2016 Adviser use only Specialist International Share Fund process process for this Fund is structured in the following steps: Step 1 Objectives:
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 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 informationOpportunities in Emerging Markets Inefficiencies Can Provide Opportunity
Opportunities in Emerging Markets Inefficiencies Can Provide Opportunity Mark Wimer, CFA Senior Portfolio Manager Introduction Strategic Global Advisors (SGA) has been investing client assets in international
More informationVolatility-Managed Strategies
Volatility-Managed Strategies Public Pension Funding Forum Presentation By: David R. Wilson, CFA Managing Director, Head of Institutional Solutions August 24, 15 Equity Risk Part 1 S&P 5 Index 1 9 8 7
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 informationSmart Beta and the Evolution of Factor-Based Investing
Smart Beta and the Evolution of Factor-Based Investing September 2017 Donald J. Hohman Managing Director, Product Management Hitesh C. Patel, Ph.D Managing Director Structured Equity Douglas J. Roman,
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 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 informationTed Stover, Managing Director, Research and Analytics December FactOR Fiction?
Ted Stover, Managing Director, Research and Analytics December 2014 FactOR Fiction? Important Legal Information FTSE is not an investment firm and this presentation is not advice about any investment activity.
More informationVoya Target Retirement Fund Series
Voya Target Retirement Fund Series The Target Date Choice to Help Keep Retirement Goals on Track Holistic Retirement Solution Sophisticated Glide Path Design Open Architecture Approach Blend of Active
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 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 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 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 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 informationSTRATEGY OVERVIEW. Opportunistic Growth. Related Funds: 361 U.S. Small Cap Equity Fund (ASFZX)
STRATEGY OVERVIEW Opportunistic Growth Related Funds: 361 U.S. Small Cap Equity Fund (ASFZX) Strategy Thesis The thesis driving 361 s traditional long-only equity strategies is based on the belief that
More informationEquity Investing T. ROWE PRICE S GLOBAL STOCK FUND
FUND SPOTLIGHT November 2017 In-depth analysis and insights to inform your decision-making. Equity Investing T. ROWE PRICE S GLOBAL STOCK FUND David Eiswert Portfolio Manager, Global Stock Fund EXECUTIVE
More informationIndex Information on Morgan Stanley SmartInvest Indices
INDEX SUPPLEMENT (To Prospectus dated November 19, 2014) Filed Pursuant to Rule 424(b)(2) Registration Statement No. 333-200365 GLOBAL MEDIUM-TERM SECURITIES, SERIES F Senior Securities Index Information
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 informationThe Case for Growth. Investment Research
Investment Research The Case for Growth Lazard Quantitative Equity Team Companies that generate meaningful earnings growth through their product mix and focus, business strategies, market opportunity,
More informationSmart Beta and the Evolution of Factor-Based Investing
Smart Beta and the Evolution of Factor-Based Investing September 2016 Donald J. Hohman Managing Director, Product Management Hitesh C. Patel, Ph.D Managing Director Structured Equity Douglas J. Roman,
More informationCFI Multi-Strategy Equity Fund, LLC Objective and Strategy March 31, 2015
CFI Multi-Strategy Equity Fund, LLC Objective and Strategy Objective To offer an actively managed, multi-manager investment program that will provide broad exposure to global equity markets. The fund seeks
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 informationI-4 UC Absolute Return (AR) Program
I-4 Committee on Investments/ Investment Advisory Group November 2, 2010 Hedge Fund Industry Update FY 2009/2010 Consistent growth has returned to the hedge fund industry following the market turmoil of
More informationTOTAL RETURN MARCH Newfound Case ID:
TOTAL RETURN MARCH 2015 Newfound Case ID: 3377049 1 THE NEWFOUND MISSION Newfound Research s product suite has been designed to balance the desire to pursue growth with the need to avoid large drawdowns.
More informationNasdaq Chaikin Power US Small Cap Index
Nasdaq Chaikin Power US Small Cap Index A Multi-Factor Approach to Small Cap Introduction Multi-factor investing has become very popular in recent years. The term smart beta has been coined to categorize
More informationNATIONWIDE ASSET ALLOCATION INVESTMENT PROCESS
Nationwide Funds A Nationwide White Paper NATIONWIDE ASSET ALLOCATION INVESTMENT PROCESS May 2017 INTRODUCTION In the market decline of 2008, the S&P 500 Index lost more than 37%, numerous equity strategies
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 informationThe Compelling Case for Value
The Compelling Case for Value July 2, 2018 SOLELY FOR THE USE OF INSTITUTIONAL INVESTORS AND PROFESSIONAL ADVISORS 0 Jan-75 Jan-77 Jan-79 Jan-81 Jan-83 Jan-85 Jan-87 Jan-89 Jan-91 Jan-93 Jan-95 Jan-97
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 informationComparative Profile. Style Map. Managed Account Select
Comparative Profile Managed Account Select Quarterly Highlights The S&P 500 Index was virtually flat in the second quarter, gaining 0.10% as concerns about the end of the Federal Reserve s QE2 program,
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 informationGlobal ETF Portfolios
The Leaders In Pactive Management Richard Bernstein Advisors Global ETF Portfolios Richard Bernstein Advisors The Leaders In Pactive Management It is startling that so many investors focus on short-term
More informationMid Cap Dividend Growth Strategy
Mid Cap Dividend Growth Strategy Product Level Investment Process Stock Universe Companies that have increased their dividends with market capitalizations of $1 billion to $15 billion Stock Selection Top
More informationSTRATEGY OVERVIEW EMERGING MARKETS LOW VOLATILITY ACTIVE EQUITY STRATEGY
STRATEGY OVERVIEW EMERGING MARKETS LOW VOLATILITY ACTIVE EQUITY STRATEGY A COMPELLING OPPORTUNITY For many years, the favourable demographics and high economic growth in emerging markets (EM) have caught
More informationAiming to deliver attractive absolute returns with style
For professional investors only Aiming to deliver attractive absolute returns with style BMO Global Equity Market Neutral (SICAV) 2 BMO Global Equity Market Neutral (SICAV) Leveraging our proven capabilities
More informationFixed Income Capabilities Guide
Fixed Income Capabilities Guide All data as of 6//7 unless otherwise noted. For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to,
More informationNavellier Defensive Alpha Portfolio Process and results for the quarter ending March 31, 2018
Navellier Defensive Alpha Portfolio Process and results for the quarter ending March 31, 2018 Please see important disclosures at the end of the presentation. NCD-18-18-694 Our Goal The Defensive Alpha
More informationFiduciary Insights THE LONG AND SHORT OF EXTENSION STRATEGIES
THE LONG AND SHORT OF EXTENSION STRATEGIES THE USE OF EXTENSION STRATEGIES, AKA 130/30 AND LIMITED SHORTING STRATEGIES, CAN BE ONE OF THE MOST EFFECTIVE MEANS TO IMPROVE PORTFOLIO EFFICIENCY AND PERFORMANCE.
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 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 informationStructured Small Cap Equity
Quarterly Commentary Third Quarter 2018 Market Commentary During the third quarter, the U.S. domestic backdrop continued to be highly positive for small-cap equities. The economy continued to grow at a
More informationFiduciary Insights HOW RISK MANAGEMENT ADDS WEALTH
HOW RISK MANAGEMENT ADDS WEALTH INVESTORS INSTINCTIVELY ASSOCIATE RISK CONTROL WITH AVOIDING LOSSES. But limiting risk is also a way to build wealth, especially when combined with systematic, informed
More informationJust the factors: making sense of smart beta strategies
Just the factors: making sense of smart beta strategies By Alex G. Piré, CFA Indexed Smart Beta vs. Actively Implemented Smart Beta Smart beta 1 can be considered one of the most confusing investment terms
More informationThe Low-volatility Equity Opportunity. Investment Focus
Investment Focus The Low-volatility Equity Opportunity Equities and low risk are rarely mentioned in the same sentence. The recent regular and extreme bouts of volatility have increased the questions raised
More informationDIVERSIFYING VALUE: THINKING OUTSIDE THE BOX
Legg Mason Thought Leadership DIVERSIFYING VALUE: THINKING OUTSIDE THE BOX Michael J. LaBella, CFA Portfolio Manager Smart beta can be utilized within the traditional style box framework to help investors
More informationInnovative solutions to add alpha & manage risk
Client Education Summit 2012 Multi-asset: Innovative solutions to add alpha & manage risk Multi Asset Management October 10, 2012 Agenda The case for multi-asset An "all-weather" approach Flexibility is
More informationBrazil Risk and Alpha Factor Handbook
Brazil Risk and Alpha Factor Handbook In this report we discuss some of the basic theory and statistical techniques involved in a quantitative approach to alpha generation and risk management. Focusing
More informationU.S. DYNAMIC EQUITY FUND
U.S. DYNAMIC EQUITY FUND Money Manager and Russell Investments Overview March 2019 Russell Investments approach Russell Investments uses a multi-asset approach to investing, combining asset allocation,
More informationQuality Value Momentum Strategy
Quality Value Momentum Strategy Ford Equity Research 11722 Sorrento Valley Road, Suite I San Diego, CA 92121 800.842.0207 (USA) 858.455.6316 Fax www.fordequity.com Background Can a low-turnover portfolio
More informationMorgan Stanley Target Equity Balanced Index
Morgan Stanley Target Equity Balanced Index Targeting Equity and Bond Allocation in a Balanced Way The Target Equity Balanced Index (the TEBI Index ) invests dynamically between Equities and Bonds in order
More informationImplementing Portable Alpha Strategies in Institutional Portfolios
Expected Return Investment Strategies Implementing Portable Alpha Strategies in Institutional Portfolios Interest in portable alpha strategies among institutional investors has grown in recent years as
More informationAttractive option for college saving
Tomorrow s Scholar 529 Age-Based Portfolios Attractive option for college saving... connecting to the future Not FDIC Insured May Lose Value No Bank Guarantee INVESTMENT MANAGEMENT Introduction The goal
More informationENTELLIGENT S SMART CLIMATE PORTFOLIO OPTIMIZER Smart Climate Data Solutions
ENTELLIGENT S SMART CLIMATE PORTFOLIO OPTIMIZER Smart Climate Data Solutions Entelligent support@entelligent.com 303-443- 9447 Disclaimer This confidential document is only intended for the recipient to
More informationLazard Insights. Growth: An Underappreciated Factor. What Is an Investment Factor? Summary. Does the Growth Factor Matter?
Lazard Insights : An Underappreciated Factor Jason Williams, CFA, Portfolio Manager/Analyst Summary Quantitative investment managers commonly employ value, sentiment, quality, and low risk factors to capture
More informationTARGET EXCESS YIELD SUITE
TARGET EXCESS YIELD SUITE MARCH 2015 Newfound Case ID: 3377056 1 THE NEWFOUND MISSION Newfound Research s product suite has been designed to balance the desire to pursue growth with the need to avoid large
More informationFactor Mixology: Blending Factor Strategies to Improve Consistency
May 2016 Factor Mixology: Blending Factor Strategies to Improve Consistency Vassilii Nemtchinov, Ph.D. Director of Research Equity Strategies Mahesh Pritamani, Ph.D., CFA Senior Researcher Factor strategies
More informationBeyond Traditional Infrastructure Investing: Listed Infrastructure Equities as an Income Solution
October 2018 Beyond Traditional Infrastructure Investing: Listed Infrastructure Equities as an Income Solution James A. Lydotes, CFA, Brock A. Campbell, CFA & William J. Adams Standish, Mellon Capital
More informationDIVERSIFICATION BY DESIGN
Legg Mason US Diversified Core ETF (Ticker: UDBI) Legg Mason Developed Ex-US Diversified Core ETF (Ticker: DDBI) Legg Mason Emerging Markets Diversified Core ETF (Ticker: EDBI) DIVERSIFICATION BY DESIGN
More informationAttractiveness Ratings for The Approved Wright Investment List
Attractiveness Ratings for The Approved Wright Investment List All stocks in The Approved Wright Investment List (AWIL) universe are organized and ranked by attractiveness based on fundamental criteria.
More informationPlatinum Asset Management
AUSTRALIA PTM AU Price (at 06:10, 11 Jul 2016 GMT) Neutral A$5.52 Valuation A$ - DCF (WACC 9.3%, beta 1.2, ERP 5.0%, RFR 3.3%) 5.19 12-month target A$ 5.36 12-month TSR % +2.6 Volatility Index Low/Medium
More informationTAKE 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 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 informationThe Power of Quality-Meets-Value: Focus on U.S. Mid-Caps
BARROW STREET ADVISORS The Power of Quality-Meets-Value: Focus on U.S. Mid-Caps Equity Research Important Information The performance figures presented in this research involve back-tested data which (a)
More informationFTSE Diversified Factor Indexes
Product overview FTSE Diversified Factor Indexes Introduction The FTSE Diversified Factor Indexes are designed to evenly distribute risk across regions and industries, and provide exposure to securities
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 informationThe Merits and Methods of Multi-Factor Investing
The Merits and Methods of Multi-Factor Investing Andrew Innes S&P Dow Jones Indices The Risk of Choosing Between Single Factors Given the unique cycles across the returns of single-factor strategies, how
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 informationGet active with Vanguard factor ETFs
Get active with Vanguard factor ETFs Factor investing has gained attention in recent years, in part because of the rise of alternatively weighted indexes and smart-beta products. Yet factor investing has
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 informationFactor Alpha and International Investing
osamresearch.com Factor Alpha and International Investing RESEARCH BY OSAM: SEPTEMBER 2016 Strategies should deliver concentrated factor exposures designed to deliver alpha. Unfortunately, the proliferation
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 informationTop 10 Reasons This Remains A Misunderstood and Underutilized Asset Class. Please see last page for important disclosures.
18 INTERNATIONAL SMALL CAP Top 10 Reasons This Remains A Misunderstood and Underutilized Asset Class Please see last page for important disclosures. 1 INTERNATIONAL INVESTING IS RISKY. 2 INTERNATIONAL
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS JUNE 2018 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX S&P 500 S&P
More informationParticipant Preferences in Target Date Funds: An Update
Participant Preferences in Target Date Funds: An Update Examining Perceptions and Expectations Among Target Date Investors and Non-Investors White Paper February 2014 A research study by Voya Investment
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 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 informationMarch 9, 2017 PORTFOLIO PROTECTION TECHNIQUES By Mike Halloran, CFA Investment Strategist
March 9, 2017 PORTFOLIO PROTECTION TECHNIQUES By Mike Halloran, CFA Investment Strategist The stock market has been on a historic run higher since last fall. The good news is that global economic growth
More informationManaged Accounts. FTA/Morningstar Multi-Discipline 75/25 Strategy. First Quarter 2018
Managed Accounts FTA/Morningstar Multi-Discipline 75/25 Strategy First Quarter 2018 Firm Profile First Trust Advisors L.P./First Trust Portfolios L.P. Established in 1991; privately owned Over 700 employees
More informationGlobal Equity Style Premia
For professional investors only Global Equity Style Premia A unique approach to style-based investing Global Equity Style Premia A smarter way to invest in equities; systematically accessing the returns
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS JANUARY 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
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 informationInitiating Our Quantitative Stock Selection Models
Turkey / Quantitative Research / Equities 27 April 2016 Initiating Our Quantitative Stock Selection Models Ayhan Yüksel, PhD, CFA Aykut Ahlatcıoğlu, CFA Can Özçelik Okan Ertem, FRM +90 (212) 334 94 95
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS JULY 2017 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX S&P 500 S&P
More informationIncorporating Factor Strategies into a Style- Investing Framework
LEADERSHIP SERIES Incorporating Factor Strategies into a Style- Investing Framework Passive investors can gain targeted exposure to value and growth companies with factor strategies. Darby Nielson, CFA
More information