Factor-based investing has gained considerable traction over the past decade. Concepts such as ‘factor premiums’ or ‘smart beta’ have become popular buzzwords, and now appear frequently in mainstream financial media. Prominent institutional investors have also publicly embraced allocation to well-known factors, like value, momentum or low volatility.
As a pioneer in this field, Robeco has carried out extensive empirical research on the existence of factor premiums as well as on how to implement factor-based strategies, both in equity and fixed income markets.
In this booklet, we address ten recurring challenges asset owners tend to be faced with when considering an explicit allocation to one or more factors. The different questions answered in this booklet were determined based on the concerns raised by respondents to an annual survey of asset owners carried out by index provider FTSE Russell regarding smart beta, as well as feedback from our clients.
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