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The sustainable investor for a changing world

Factor investing research

BNP Paribas Asset Management has been a leading player in factor investing since 2009. Our Quantitative Research Group (QRG) and portfolio management teams regularly publish proprietary research into asset classes, factors and strategies.

We actively apply this expertise to best serve the interests of investors at a time when they are keen to diversify their portfolios and target higher risk-adjusted returns.

Quantitative Research Group: academic papers

Quant Fixed Income (Multi-Factor Corporate Bond and GARMF)

(JFI) Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad Markets:
 
(JFI) Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad Markets: 2014
(JFI) Factor investing in corporate bond markets: Enhancing efficacy through diversification and purification
 
(JFI) Factor investing in corporate bond markets: Enhancing efficacy through diversification and purification 2019
(BMI) Out-performing corporate bonds indices with factor investing
 
(BMI) Out-performing corporate bonds indices with factor investing 2021

Quant Equity (Multi-Factor Equity and Global Low Vol Equity)

(JAM) Non-orthogonal formulation of the Black–Litterman model
 
(JAM) Non-orthogonal formulation of the Black–Litterman model 2011
(JPM) Demystifying equity risk-based strategies: A simple alpha plus beta description
 
(JPM) Demystifying equity risk-based strategies: A simple alpha plus beta description 2012
(SSRN) Towards the second generation Equity Risk Based strategies
 
(SSRN) Towards the second generation Equity Risk Based strategies 2013
(JAM) An integrated risk-budgeting approach for multi-strategy equity portfolios
 
(JAM) An integrated risk-budgeting approach for multi-strategy equity portfolios 2014
(JIS) Intertemporal risk parity: a constant volatility framework for factor investing
 
(JIS) Intertemporal risk parity: a constant volatility framework for factor investing 2014
(ISTE – Elsevier) Low Risk Anomaly Everywhere: Evidence from Equity Sectors
 
(ISTE – Elsevier) Low Risk Anomaly Everywhere: Evidence from Equity Sectors 2015
(JoAI) Predicting the success of volatility targeting strategies
 
(JoAI) Predicting the success of volatility targeting strategies 2016
(ISTE – Elsevier) Diversify and Purify Factor Premia in Equity Markets
 
(ISTE – Elsevier) Diversify and Purify Factor Premia in Equity Markets 2017
(JoIS) Factor investing: get your exposures right
 
(JoIS) Factor investing: get your exposures right 2019
(QF) A practical guide to robust portfolio optimization
 
(QF) A practical guide to robust portfolio optimization 2019
(JoI) Value versus Glamour Stocks: The Return of Irrational Exuberance?
 
(JoI) Value versus Glamour Stocks: The Return of Irrational Exuberance? 2021
(JIS) Performance attribution for multi-factor equity portfolios
 
(JIS) Performance attribution for multi-factor equity portfolios 2014
(JoR) A factor-based risk model for multi-factor investment strategies
 
(JoR) A factor-based risk model for multi-factor investment strategies 2022
(JPM) Supply Chain and Correlations
 
(JPM) Supply Chain and Correlations 2022

Brochure and Product articles

General

A practical guide to Multi-Factor investing
 
A practical guide to Multi-Factor investing
Factor Investing: Neutralising Bias
 
Factor Investing: Neutralising Bias

Quant Fixed Income

Practical Guide to Multi-Factor Investing in Corporate Bond Markets
 
Practical Guide to Multi-Factor Investing in Corporate Bond Markets
Out-Performing Corporate Bond indices with Factor Investing
 
Out-Performing Corporate Bond indices with Factor Investing
Diversifying Credit Portfolios with Multi-Factor Strategies
 
Diversifying Credit Portfolios with Multi-Factor Strategies

Quant Equity

A practical guide to Low Volatility Investing
 
A practical guide to Low Volatility Investing
Value investing: opportunity or capitulation
 
Value investing: opportunity or capitulation
Equity factor Investing: Historical perspective of recent performances
 
Equity factor Investing: Historical perspective of recent performances
Benefits of an allocation to Low-Volatility Equities for risk-averse investors
 
Benefits of an allocation to Low-Volatility Equities for risk-averse investors
The Low Volatility anomaly in equity sectors: 10 years later
 
The Low Volatility anomaly in equity sectors: 10 years later
Efficiently combining Low-Volatility Equities and Sustainability investing
 
Efficiently combining Low-Volatility Equities and Sustainability investing
Efficiently combining Low-Volatility Equities and Sustainability investing
 
Efficiently combining Low-Volatility Equities and Sustainability investing
    • PORTFOLIO PERSPECTIVES
      | Article – 2 Min
      Exploiting the low volatility anomaly in practice
      RAUL LEOTE DE CARVALHO
      20/03/2023 · 2 Min
    • PORTFOLIO PERSPECTIVES
      | Article – 2 Min
      Evidence of the low volatility anomaly
      RAUL LEOTE DE CARVALHO
      01/03/2023 · 2 Min
    • PORTFOLIO PERSPECTIVES
      | Article – 3 Min
      The low volatility anomaly – Still going strong after 50 years
      RAUL LEOTE DE CARVALHO
      31/01/2023 · 3 Min
    • 18:14 MIN
      PORTFOLIO PERSPECTIVES
      | Podcast – 18:14 min
      Talking heads – Quantitative investing: using facts for security selection
      Daniel Morris
      2 Authors
      30/01/2023 · 1 Min
    •
      PORTFOLIO PERSPECTIVES
      | Article – 3 Min
      Can equity value investing be sustainable?
      RAUL LEOTE DE CARVALHO
      03/08/2022 · 3 Min
    • PORTFOLIO PERSPECTIVES
      | Article – 3 Min
      Will value stocks continue to outperform expensive sector peers?
      RAUL LEOTE DE CARVALHO
      17/06/2022 · 3 Min
    The value of investments and the income they generate may go down as well as up and it is possible that investors will not recover their initial outlay. Past performance is no guarantee for future returns.
    Past performance or achievement is not indicative of current or future performance.