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The sustainable investor for a changing world

Factor investing research

BNP Paribas Asset Management has been a leading player in factor investing since 2009. Our Quantitative Research Group (QRG) and portfolio management teams regularly publish proprietary research into asset classes, factors and strategies.

We actively apply this expertise to best serve the interests of investors at a time when they are keen to diversify their portfolios and target higher risk-adjusted returns.

Academic papers

Equity

Value versus Glamour Stocks: The Return of Irrational Exuberance?
 
Value versus Glamour Stocks: The Return of Irrational Exuberance? 2021 – (JoI)
Get your exposures right
 
Get your exposures right 2019 – (JoIS)
Diversify and purify factor premia in equity markets
 
Diversify and purify factor premia in equity markets 2017 – (ISTE – Elsevier)
Cross-sectional regression models: implementation pitfalls
 
Cross-sectional regression models: implementation pitfalls 2016 – (SSRN)
Low risk anomaly everywhere – Evidence from equity sectors
 
Low risk anomaly everywhere – Evidence from equity sectors 2015 – (ISTE – Elsevier)
An integrated risk-budgeting approach for multi-strategy equity portfolios
 
An integrated risk-budgeting approach for multi-strategy equity portfolios 2014 – (JAM)
Towards the second generation equity risk based strategies
 
Towards the second generation equity risk based strategies 2013 – (SSRN)
Demystifying equity risk-based strategies: A simple alpha plus beta description
 
Demystifying equity risk-based strategies: A simple alpha plus beta description 2012 – (JPM)

Fixed income

Out-performing corporate bonds indices with factor investing
 
Out-performing corporate bonds indices with factor investing 2021
Factor investing in corporate bond markets – Enhancing efficacy through diversification and purification
 
Factor investing in corporate bond markets – Enhancing efficacy through diversification and purification 2019 – (JoFI)
Low-risk anomalies in global fixed income: Evidence from major broad markets
 
Low-risk anomalies in global fixed income: Evidence from major broad markets 2014 – (JoFI)

General

A practical guide to robust portfolio optimization
 
A practical guide to robust portfolio optimization 2019 – (QF)
Predicting the success of volatility targeting strategies
 
Predicting the success of volatility targeting strategies 2016 — (JoAI)
Intertemporal risk parity – A constant volatility framework for factor investing
 
Intertemporal risk parity – A constant volatility framework for factor investing 2014 — (JIS)
Non-orthogonal formulation of the Black–Litterman model
 
Non-orthogonal formulation of the Black–Litterman model 2011 — (JAM)

Strategy papers

Equity

Value investing: Opportunity or capitulation
 
Value investing: Opportunity or capitulation 2021
Equity factor Investing: Historical perspective of recent performances
 
Equity factor Investing: Historical perspective of recent performances 2020
The low volatility anomaly in equity sectors – 10 years later
 
The low volatility anomaly in equity sectors – 10 years later 2020
A multi-factor & sustainable approach to European equities
 
A multi-factor & sustainable approach to European equities 2020
Benefits of an allocation to low volatility equities for risk-averse investors
 
Benefits of an allocation to low volatility equities for risk-averse investors 2019

Fixed income

Diversifying credit portfolios with multi-factor strategies
 
Diversifying credit portfolios with multi-factor strategies 2021
A practical guide to multi-factor investing in corporate bond markets
 
A practical guide to multi-factor investing in corporate bond markets 2020
Out-performing corporate bond indices with factor investing
 
Out-performing corporate bond indices with factor investing 2020

General

Equity factor investing roundtable
 
Equity factor investing roundtable 2022
Factor investing: Neutralising bias
 
Factor investing: Neutralising bias 2019
A practical guide to multi-factor investing
 
A practical guide to multi-factor investing 2019

Quick and timely insights on factor investing can also be found on our blog, Investors’ Corner.

The value of investments and the income they generate may go down as well as up and it is possible that investors will not recover their initial outlay. Past performance is no guarantee for future returns.
Past performance or achievement is not indicative of current or future performance.