Must read articles

Factor Investing
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Working Paper 1.12.2021 Graph Neural Networks for Asset Management

In this research article, Amundi Quantitative Research explores the use of graph theory and neural networks in asset management.

More > 10 minutes
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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
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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 Financial Crisis.

More > 10 minutes
  • 125
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Discussion Paper 18.11.2020 Factor Investing and ESG in the Corporate Bond Market Before and During the COVID-19 Crisis
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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 our prior analysis on both the new alternative credit factors and the ESG integration in credit.

More > 10 minutes
  • 88
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Working Paper 2.11.2020 Corporate ESG News and The Stock Market
105

Corporate ESG News and The Stock Market

More > 10 minutes
  • 105
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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
  • 84
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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
  • 60
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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
  • 60
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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
  • 112

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