Diplom in Business Mathematics
Invesco has developed a proprietary, factor-based methodology, which aims to deliver client outcomes better than those of traditional active or passive equity approaches focused on global equities.
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 benchmark-relative equity portfolio with low active risk (1% tracking error) based on a quantitative, factor-based stock selection process. The objective of the strategy is to outperform the MSCI World Index over a medium-term horizon (typically, a 3-year rolling period) 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.
Invesco Quantitative Strategies Factor Model Update COVID-19
lobal equity markets saw their fastest drawdown ever amid the outbreak of COVID-19. While factor movements were muted at the beginning of the outbreak, pronounced factor returns could be observed over the course of March.
Dynamic Multifactor Strategies- A Macro Regime Approach
We believe dynamic factor strategies have the potential to outperform both market cap benchmarks and static multifactor implementations. Learn why here
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.