Factor Investing
Today’s global investment landscape is made up of millions of securities traded in hundreds of trading exchanges and appearing in dozens of asset classes. Knowing which criteria one should bet on to obtain satisfying financial returns is by no means trivial.
SFI Professor Fabio Trojani, from the University of Geneva, explains how using today’s increases in computational capacity it is possible to extract information from individual stock returns to identify risk factors that are useful when creating long–short portfolios with the risk exposures investors want to have in their own portfolios. Christophe Donay, from Pictet Wealth Management, shows how macro risk factors—real economic growth and inflation—provide a pertinent setting for regime-based portfolios and strategic asset allocation.
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