Practical Applications of Factor Investing Webinar

In Factor Investing Webinar, from the July 2023 issue of The Journal of Portfolio Management, Andrew Ang of BlackRock, Jennifer Bender of State Street Global Advisors, Harindra de Silva of Allspring Global Investments, and Pim van Vliet of Robeco Asset Management find that the low-volatility, value, quality, and momentum factors have long histories and clear economic rationales. Nonetheless, challenges remain in defining signals for implementing factor strategies and optimizing portfolio construction to create efficient exposures. They note that factor investing approaches are moving beyond public equities and into fixed income and private markets. They also observe that ESG variables may be related to certain factors and potentially could be incorporated into factor-based strategies. The article is a synopsis of a webinar moderated by Frank Fabozzi on December 8, 2022. The discussion included criteria for selecting factors and a debate over the effectiveness of value as a factor in the past decade. The panelists also addressed the role of ESG issues as a factor, the sensitivity of various factors to the rate of inflation, and the distinction between factors and signals. They explored factor timing, integrating factors into portfolios, and the primary challenges in factor investing. They also shared research insights on factor portfolio construction and highlighted emerging research areas, notably machine learning and applying factors to private markets.