Factor Investing

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Working Paper 26.02.2021 Understanding the Performance of the Equity Value Factor
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After decades of sound performance, doubts have been cast on the ability of the equity value strategy to keep delivering in the aftermath of the 2008 Global Fin...

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Discussion Paper 18.11.2020 Factor Investing and ESG in the Corporate Bond Market Before and Durin...
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The objective of this paper is to illustrate the factor investing space in corporate bonds before and during the COVID-19 crisis and is the natural extension of...

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Working Paper 2.11.2020 Corporate ESG News and The Stock Market
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Corporate ESG News and The Stock Market

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Working Paper 26.08.2020 Measuring and Managing Carbon Risk in Investment Portfolios
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This article studies the impact of carbon risk on stock pricing.

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Working Paper 7.07.2020 Improving the Robustness of Trading Strategy Backtesting with Boltzman...
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In this article, we explore generative models in order to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial ti...

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Insights Paper 3.06.2020 The Coronavirus and ESG Investing, the emergence of the Social pillar
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Amundi’s Quantitative Research team has been studying the evolution of ESG investing across asset classes and geographies for the past several years.

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Insights Paper 2.06.2020 Multi Asset: a solid total portfolio approach for a complex world
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An increasing number of institutional investors have adopted a total portfolio approach (TPA) as a response to the weaknesses of more traditional strategic asse...

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Insights Paper 15.05.2020 ESG & Factor Investing: a new stage has been reached
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ESG Investing is evolving extremely rapidly, in Europe and abroad.

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Working Paper 10.02.2020 ESG Investing in Corporate Bonds: Mind the Gap
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This research is the companion study of three previous research projects conducted at Amundi that address the issue of socially responsible investing (SRI) in t...

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