Our multi-factor equities strategy relies on an innovative proprietary approach which aims to capture higher potential equity returns than the standard market cap-weighted index via exposure to four factors of performance which over time have proven to be key drivers of equity returns.
Our multi-factor equities strategy provides well-diversified exposure to liquid large-cap stocks from across the developed world. The process is actively managed within a risk-oriented investment framework which is research driven and implemented systematically.
It blends together 4 factors – value, quality, momentum and low volatility – with the aim of maximising the strategy’s diversification and risk-adjusted return potential. We selected these four sources of alpha because:
- there is strong academic evidence spanning several decades that exposure to these factors in portfolios would have generated positive alpha and should continue to generate positive alpha in the future.
- the alpha generated by these four factors is largely independent from one another and there are diversification gains from combining them in a single multi-factor strategy which results in a higher information ratio.
Investments are subject to market fluctuations and the risks inherent in investments in securities. 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, the strategies described being in risk of capital loss. There is no guarantee that the performance objective will be achieved. Past performance or achievement is not indicative of current or future performance. Source: BNP Paribas Asset Management as of 30 December 2018, unless otherwise stated.