Factor investing series

  • Satrix Integrating ESG
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    Integrating ESG into factor investing
    7 December 2017
    This article/video is the seventh in our series of articles aimed at discussing practical ways to employ the power of factor investing, by head of portfolio solutions at Satrix, Jason Swartz.
  • Tactical factor tilts to express investment views
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    Tactical factor tilts to express investment views
    14 November 2017
    This article/video is the sixth in our series of articles aimed at discussing practical ways to employ the power of factor investing, by head of portfolio solutions at Satrix, Jason Swartz. In our previous issue, we discussed how to incorporate a factor-based equity portfolio within a multi-asset solution. In this article, we discuss employing factor investing in a more tactical manner, in order to express an investment view in your portfolio.
  • VIEW ARTICLE
    Adding equity factor exposure to a multi-asset portfolio
    26 October 2017
    This article/video is the fifth in our series of articles aimed at discussing practical ways to employ the power of factor investing, by head of portfolio solutions at Satrix, Jason Swartz. In our previous issue, we discussed blending factors via strategic allocations to each factor to achieve a diversified equity portfolio.
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    Blending factors using strategic allocations
    2 September 2017
    This article is the fourth in our series of articles aimed at discussing practical ways to employ the power of factor investing. In our previous article, we discussed building a liquidity sleeve around your portfolio to aid liquidity management. In this article, we discuss blending factors with strategic allocations to each factor in order to achieve a diversified equity portfolio, while still exposing your portfolio to each factor’s long-term return premium.
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    Factor liquidity sleeve (using ETFs)
    7 July 2017
    This article is the third in our series of articles aimed at discussing practical ways to employ the power of factor investing, by head of portfolio solutions at Satrix, Jason Swartz. In our previous issue, we discussed the concept of portfolio completion, where an investor could address unintended factor exposures through plugging a gap in their portfolio with complementary factor exposures. In this article, we discuss employing factor investing to enhance the trading flexibility of a portfolio through the use of ETFs (exchange traded funds).
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    Addressing unintended factor tilts
    7 July 2017
    We are pleased to bring you the second in our series of articles aimed at discussing practical ways to employ the power of factor investing, by head of portfolio solutions at Satrix, Jason Swartz. In the first application, we empowered the investor to diagnose their existing portfolio into factor exposures. This application represents the next logical step: doing something about those factor exposures.
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    Factor mix and pure alpha
    7 June 2017
    With factors constructed to have characteristics which historically explain excess returns, active managers typically embed these characteristics in their investment process through well-known strategies such as Value, Momentum, Quality, Size and Low Volatility. A useful exercise, and the subject of this article’s application, is to understand which combination of these factors is needed to best replicate an active manager’s return through time.