Factor Investing

Working Paper
Working Paper 30.06.2021 Revisiting Quality Investing

In the field of factor investing, quality is undoubtedly the equity factor with the weakest consensus. This research investigates the best way to define it. In order to capture the multi-faceted reality of the factor depicted in academia, we address the quality factor through a multidimensional process by defining four self-reliant pillars: profitability, earnings quality, safety and investment. To better fit institutional investor’s’ needs, we analyze the resulting factor by focusing on the last eighteen years and on a global developed markets universe of liquid stocks (largeand mid-caps).

More > 10 minutes
  • PDF
Working-paper.jpg
Working Paper 26.02.2021 Understanding the Performance of the Equity Value Factor
125

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 Financial Crisis.

More > 10 minutes
  • PDF
  • 125
slider-Factor-investing.jpg
Discussion Paper 18.11.2020 Factor Investing and ESG in the Corporate Bond Market Before and During the COVID-19 Crisis
88

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 our prior analysis on both the new alternative credit factors and the ESG integration in credit.

More > 10 minutes
  • PDF
  • 88
Working-paper.jpg
Working Paper 2.11.2020 Corporate ESG News and The Stock Market
105

Corporate ESG News and The Stock Market

More > 10 minutes
  • PDF
  • 105
Working-paper.jpg
Working Paper 26.08.2020 Measuring and Managing Carbon Risk in Investment Portfolios
84

This article studies the impact of carbon risk on stock pricing.

More > 10 minutes
  • PDF
  • 84
Working-paper.jpg
Working Paper 7.07.2020 Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks
60

In this article, we explore generative models in order to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial time series, whose statistical properties are the same as those observed in the financial markets.

More > 10 minutes
  • PDF
  • 60
2020-06-ET-Coronavirus-slider
Insights Paper 3.06.2020 The Coronavirus and ESG Investing, the emergence of the Social pillar
60

Amundi’s Quantitative Research team has been studying the evolution of ESG investing across asset classes and geographies for the past several years.

More 5 to 10 minutes
  • PDF
  • 60
blue-paper-tpa-Slider.jpg
Insights Paper 2.06.2020 Multi Asset: a solid total portfolio approach for a complex world
112

An increasing number of institutional investors have adopted a total portfolio approach (TPA) as a response to the weaknesses of more traditional strategic asset allocation (SAA)-based methodologies.

More > 10 minutes
  • PDF
  • 112
2020-05-IP-ESG factor-Slide
Insights Paper 15.05.2020 ESG & Factor Investing: a new stage has been reached
76

ESG Investing is evolving extremely rapidly, in Europe and abroad.

More 5 to 10 minutes
  • PDF
  • 76

Get in touch with us

Our online help service is available to answer your question

My personal information

If you have a question about our company or one of our products, please complete the form to get in touch. Please do not mention your account numbers or critical data in this form.

Civility*

(*) Required fields
All our job offers (Permanent and temporary position, Internship, Apprenticeship or VIE) are available on our dedicated website: https://jobs.amundi.com.

Register and apply directly online.

Amundi on Twitter