factors – Benefits Canada.com

How rebalancing can provide alpha

mschmit — Mon, 30 Nov 2020 08:37:22 +0000

The San Bernardino County Employees’ Retirement Association implemented a simple innovation 15 years ago that’s added nearly US$1 billion to the fund’s total value as of Aug. 31, 2020. That innovation is “informed rebalancing,” said Arun Muralidhar, adjunct professor of finance at George Washington University, when speaking at the Canadian Investment Review’s Investment Innovation Conference […]

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How can pension plan sponsors manage factor exposure in equity portfolios?

mschmit — Fri, 31 Jul 2020 03:56:43 +0000

While factor behaviour tends to be consistent in market crashes and corrections, individual factor performance varies over the medium term. As such, institutional investors should maintain diversified exposure across key equity factors including value, quality, momentum, size and low volatility, according to a new paper by Mercer. The paper explored the past three financial crises: […]

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Is the importance of quantitative analysis growing in wake of coronavirus?

mschmit — Fri, 17 Jul 2020 05:10:43 +0000

Throughout the coronavirus pandemic, in-person visits by institutional investors have been drastically reduced, temporarily short circuiting qualitative due diligence and leading to slightly more reliance on quantitative analysis, says Jeff Schwartz, president of Markov Processes International Inc. Quantitative analysis can help identify red flags and indicate when a deeper dive is required, for example. “That’s […]

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Stocks preferred by retail investors outdoing hedge and mutual fund favourites

mschmit — Fri, 19 Jun 2020 05:19:00 +0000

Retail equity investors may be outperforming investors with far more expertise as markets grapple with the coronavirus fallout and recovery. A report from Goldman Sachs Group showed that a portfolio of stocks popular among retail investors surged 61 per cent since bear market trough, compared to a 45 per cent gain seen for stocks favoured […]

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Keeping big picture in mind when communicating about risk

mschmit — Wed, 10 Jun 2020 10:04:38 +0000

During the global financial crisis, the Alaska Permanent Fund Corp. implemented a new governance report to bring together all elements of its investment portfolio and communicate risk to the board, says Max Giolitti, the fund’s former head of asset allocation and risk, and current chief risk officer at Verus Investments. The work began by educating […]

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What can institutional investors learn from coronavirus crisis?

mschmit — Wed, 27 May 2020 04:41:27 +0000

As investors begin to digest the extended ramifications of the coronavirus pandemic, certain investment lessons are emerging. For one, investing globally provided diversification opportunities as different regions were impacted by the spread of the virus in different ways, according to a new paper from MSCI Inc. “The coronavirus pandemic started in Asia and gradually spread […]

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Do ETFs warrant their own trading tools separate from equities?

mschmit — Tue, 04 Feb 2020 03:35:35 +0000

Trading volume for exchange-traded funds is rising. And as such, more ETF trades are flowing through trading desks. For ETFs with underlying securities that have different characteristics than equities, such as credit instruments or fixed income, it’s sometimes unclear who should be handling these transactions, according to a report by Greenwich Associates based on interviews […]

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Diworsification: How hiring too many asset managers can cancel out benefits

mschmit — Fri, 31 Jan 2020 04:41:53 +0000

Discovering moments of mispricing is the soul of generating active returns, says Wylie Tollette executive vice-president of client portfolio solutions at Franklin Templeton Investments. But some investors, eager to discover opportunities to add alpha to their portfolio mix, may accidentally harness so many sources that their efforts to diversify actually hinder the benefits of doing […]

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Unintended factor bias

mschmit — Thu, 16 Aug 2018 03:42:36 +0000

Why your factor beta comes with a lot of noise.

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The Good and Bad News About Factor ETFs

mschmit — Wed, 31 May 2017 04:57:11 +0000

Turns out there’s a bigger issue than crowded trades

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