Daily Archives: Nov 10, 2017 at 06:55 am EST

Research Review | 10 November 2017 | Factor Strategies

Investing in a Multi-Asset Multi-Factor World
Alexandar Cherkezov (Invesco), et al.
August 31, 2017
In this article, we advance the use of factor investing across multiple asset classes. It turns out that style factors well established in the equity domain – such as value, momentum or quality – do extend to other asset classes as well. Even more so, multi-asset multi-factors significantly expand the investment opportunity set relative to a traditional multi-asset universe. Seeking to exploit this potential, we put forward an innovative diversified risk parity strategy that is designed to strive for maximum diversification in the multi-asset multi-factor world. To illustrate the strategy’s merits, we investigate its stylized facts vis-à-vis more standard allocation approaches.
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Macro Briefing: 10 November 2017

Trump says US will no longer tolerate “chronic trade abuses”: BBC
Differences within GOP on tax reform may delay (or derail?) bill: Politico
The odds for substantial tax reform don’t look promising: The Atlantic
US jobless claims rise more than expected for week through Nov 4: Reuters
This year’s stock market rally is all about earnings: MarketWatch
Buffett, Gates, and Bezos have more wealth than half US population: Fortune
Is another government shutdown lurking for the US? Fiscal Times
US Q4 GDP growth estimate holds steady at a solid 3.3%: Atlanta Fed