Investing in a Multi-Asset Multi-Factor World
Alexandar Cherkezov (Invesco), et al.
August 31, 2017
This article explores the application of factor investing across various asset classes. Notably, established style factors in the equity market—such as value, momentum, and quality—are also applicable to other asset classes. The concept of multi-asset multi-factors broadens the investment landscape significantly compared to a traditional multi-asset approach. To harness this potential, we propose a diversified risk parity strategy aimed at achieving optimal diversification in a multi-asset multi-factor environment. We further examine the advantages of this strategy in comparison to more conventional allocation methods.
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Trump declares US will no longer endure “chronic trade abuses”: BBC
Debates among GOP on tax reform may postpone (or derail) bill: Politico
Chances for meaningful tax reform appear bleak: The Atlantic
US jobless claims exceed expectations for the week ending Nov 4: Reuters
This year’s stock market surge is driven by earnings: MarketWatch
Buffett, Gates, and Bezos hold wealth greater than half of US population: Fortune
Is another government shutdown looming for the US? Fiscal Times
US Q4 GDP growth estimate remains steady at a solid 3.3%: Atlanta Fed
In the realm of horse racing, the momentum factor is clearly outpacing all competitors among the primary US equity factor strategies, as evidenced by a one-year trend measured through various ETFs.
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Trump overlooks China’s exploits in trade: CBS News
US companies announce trade agreements with China during Trump’s visit: Reuters
CBO: GOP tax reform is expected to elevate federal deficit by $1.7 trillion over 10 years: CNBC
Inflation in China accelerates to its highest rate in nine months as of October: RTT
Is the GOP at risk of losing Congress following Democrats’ electoral victories? NY Times
Citigroup CEO mentions potential for US government to issue its own digital currency: Bloomberg
Will the EU leverage the Brexit deadlock to compel UK firms to relocate? Telegraph
Morningstar introduces new style box assessing the diversification benefits of alternative funds: M-Star
Conventional wisdom challenged: ETFs have withstood rigorous testing: Bloomberg
A widely monitored indicator of the Treasury yield curve fell on November 7 to its flattest point in a decade, according to daily data from Treasury.gov. The gap between 10-year and 2-year rates narrowed to 69 basis points, the lowest level since November 2007.
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Democrats achieve their first electoral wins during the Trump presidency: Politico
Trump’s agenda for his two-day visit to China centers on trade and North Korea: AP
China’s trade surplus with the US shrinks in October: Reuters
North Korea rebuffs Trump’s diplomatic overtures: CNN
Job openings in the US remain solid as of September: CNBC
Consumer credit rises, reaching a 10-month peak in September: ABA Banking Journal
US economic growth defies leftist forecasts: RCP
US economic confidence remains positive as of October: Gallup
In prior discussions on index replication, I covered the style-analysis methodology and provided a case study utilizing a hedge fund index. Now, let’s focus on a strategy that replicates the S&P 500 Index using a selection of stocks deemed socially responsible investments (SRI).
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Trump warns of military action in South Korea if deemed necessary: Reuters
Rising energy sector boosts markets across Europe and Asia on Tuesday: WSJ
Is a conflict brewing between Saudi Arabia and Lebanon? Reuters
October sees an uptick in global growth rate, according to survey results: IHS Markit
Eurozone demonstrates strong growth as Q4 begins, with job creation reaching a decade high: IHS Markit
Hedge funds significantly contribute to Bitcoin’s rise to record $7400: NY Times
Crude oil prices reach a two-year high: Bloomberg
Commodities, broadly defined, experienced the most significant increase among the major asset classes last week, based on a range of exchange-traded products. This marks the second consecutive week that commodities have led the performance chart.
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Tragic shooting at a Texas church claims more than two dozen lives: CNN
Saudi prince with significant US investments is detained: LA Times
During his time in Asia, Trump claims Japan benefits from free trade: USA Today
US Commerce Secretary retains investments linked to Russia and Putin: NY Times
US job growth rebounds in October, though wage growth slows: Reuters
ISM Non-Manufacturing Index rises to a nine-year high in October: CNBC
US Services PMI in October indicates “strong” growth: IHS Markit
Factory orders in the US rise by 1.4% in September: ABC News
US trade deficit widens in September, with 2017 on course to exceed last year’s figures: Politico
House tax bill is projected to add over $2 trillion to the US debt: CRFB
The contents include a variety of articles spanning topics from investments to political updates, capturing a snapshot of key financial and economic events. The updates reflect the ongoing dynamics in both the investment landscape and broader economic trends. As we navigate this multifaceted environment, it is essential to remain informed and prepared to adapt strategies as necessary for sustained success in the ever-evolving marketplace.
