“Diplom Kaufmann (FH)”, CFA Charterholder
Invesco has developed a proprietary, factor-based methodology, which aims to deliver client outcomes better than those of traditional active or passive equity approaches and focuses on low volatility stocks within Europe.
Factor investing aims to systematically exploit drivers of risk and return in order to create portfolios that deliver an enhanced risk-return profile. It is not about traditional stock selection but rather understanding the building blocks of stock returns.
The active management of factor exposure helps to efficiently harvest factor premiums and potentially earn extra returns, over time.
Factors can also account for large parts of an asset’s risk, hence they offer clients the ability to use risk budgets more efficiently.
Active factor strategies can be tailored for clients with the aim of meeting specific risk or return characteristics and/or achieving specific ESG or sector specifications.
A conservative equity portfolio with asymmetric return profile following a quantitative, factor-based stock selection process with a focus on less volatile stocks. The objective of the strategy is to outperform the MSCI Europe Index over a medium-term horizon (typically, a 3-year rolling period) with less volatility and drawdown risk, and to subsequently exhibit a higher risk-adjusted return.
Our factor-based equity strategies aim to capture alpha by following a a systematic, rules-based investment process. This begins with stock selection using our proprietary, multi-factor model.
Our proprietary multi-factor model
This is based on our belief that a stock’s risk and return is systematically driven by quantifiable factors / attributes. The model ranks the stocks in our investible universe from the most attractive to the least attractive.
From our perspective, a stock is attractive, if:
Risk and return forecast
Final portfolio review and implementation
Invesco’s active approach to factor investing embraces a true diversity of thought. The team is committed to an extensive programme of research, drawing on a broad range of academic resources and our own expertise with the aim of constantly improving client outcomes.
The Invesco Quantitative Strategies team is responsible for managing equity active factor investing strategies. Through a strong commitment to research, the team continues to evolve its investment process and seeks to foster a purposeful evolution of the model, i.e. the enhancement of existing factors and the development of new factors.
Risk & Reward – 1st issue 2020
We offer a new perspective on risk, discuss adding equity upside potential to fixed income portfolios, comment on the China Position Study and provide four studies in factor investing.
Is value back in favour?
The start of September saw a rapid rotation in equity markets out of momentum stocks into previously shunned value names. Does this recent rally represent the long awaited persistent shift in favour of value?
Factor investing – 2020 outlook
Invesco study shows factor investing adoption continues to increase globally