Bernhard Breloer. Portfolio Manager, Invesco Quantitative Strategies and Tim Herzig. Portfolio Management Associate, Invesco Quantitative Strategies
The global value factor has underperformed over a prolonged period. Against this background, we examine the current status of value as a single factor and building block in a multi-factor concept. We outline the importance of how the value factor is defined and constructed, and the consequences of this in the context of portfolio positioning and performance. Our view is to be thoughtful when building a value factor-based portfolio given the diverse set of variables that can be involved in harvesting the factor premium. Furthermore, the value factor can provide diversification and hence continues to play a significant role within a multi-factor framework. Finally, while value is currently being widely criticised, we draw attention to other factors which have been questioned in the past only to perform well again after periods of weak performance. To reap the benefits from long-term oriented factor strategies, one must be diligent in their implementation and patient in their pursuit.
Looking at equity markets during the Covid-19 crisis through a factor lens provides valuable insights into the drivers of market performance. It also allows a useful comparison with the Global Financial Crisis to be made.
Combining ESG considerations with the proven IQS multi-factor approach, we create risk-controlled portfolios that seek to outperform their benchmarks while enhancing ESG profiles.
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The value of investments and any income will fluctuate (this may partly be the result of exchange rate fluctuations) and investors may not get back the full amount invested
All data is as at November 2020 and sourced from Invesco unless otherwise stated.
Where individuals or the business have expressed opinions, they are based on current market conditions, they may differ from those of other investment professionals and are subject to change without notice.
This document is marketing material and is not intended as a recommendation to invest in any particular asset class, security or strategy. Regulatory requirements that require impartiality of investment/investment strategy recommendations are therefore not applicable nor are any prohibitions to trade before publication. The information provided is for illustrative purposes only, it should not be relied upon as recommendations to buy or sell securities.
