The most common models to assess asset returns are a linear combination of risk factors.

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

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).

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.

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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.

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Corporate ESG News and The Stock Market

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

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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 time series, whose statistical properties are the same as those observed in the financial markets.

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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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