Factor Investing Bridges

Passive and Active

Is Factor Investing for You?

What’s a factor in the simplest terms? Factors describe those features determining how an investment performs. Factors for risk; factors for return; factors for risk and return.

Factors emphasize results. Isn’t this true about you?

Labels. Style Boxes. Branding. Popularity. Cache. These are irrelevant compared to getting results. Passive investing seeks a market’s return at low cost whereas active investing strives for outperformance.  Factor investing does both. 

Factor investing is rational, quantitative, and efficient like passive but identifies tilts persistent in achieving a targeted result like active.

InvestIn produces all the necessary factor investing components enabling both institutional and private wealth advisors to build customized portfolios tightly fitting investment objectives while targeting desired results.

No Compromises. What You Need.

Factor investing sits at the center of tried and true investment strategies.

Whether a portfolio manager or a wealth advisor, InvestIn produces customized portfolios using the best of each approach but at low cost and with exclusivity.

Any of InvestIn’s 270+ factors can be used to find investments persistent in excelling in a factor.  Pick, say, ten of the best of these, save them as a sleeve, and you have a customized, pure-play factor theme.  (Or, you can use any of InvestIn’s pre-packaged IntelliSleeves for a quick, one-step approach.)

Mix a variety of risk/return, financial, and/or ESG factors along with different investment types such as stocks, bonds, and hedge funds.   You have built a multi-factor model unlike anything else in the market.

Your mix of themes flows through to portfolio building even to a sleeve of sleeves that can be optimized to any investment objective of your design.

These investments and portfolio designs are 100% proprietary to the advisory firm. 

Mainstream.

The Invesco Global Factor Investing study chronicles the use of factors in building institutional portfolios around the world.

“The other main application is  the use of factor products to express a more tactical view . . . Factors can be used to alter risk exposures at an overall portfolio level or to target exposures to certain  investment themes . . . there are constituencies which see factor investing as a way to efficiently express particular types of views, themes, or exposures [including] ESG requirements.”

Factor investing using a company’s financial statement measures reveals a unique capacity to uncover investments.

“An interesting aspect of factor momentum is its stability with respect to the definition of recent performance. Whether the look-back window is as short as one month or as long as five years, . . . large positive momentum [exists] among factors  . . . factor momentum is a truly global phenomenon . . . support[ing] the conclusion that factor momentum is a pervasive phenomenon in financial markets.”

 

 

“With factor investing, I decide which factors are important to my clients and I do the research looking for funds where those factors are most robust. It’s more technical than just picking active managers.”

“To understand factor investing, you have to understand that factors are the source of returns whether you know it or not”

“This is the next silver bullet in portfolio construction . . .We believe factors can be a great part of the tool kit and can help advisers to continue to build better portfolios.”

“A fundamental stock picker might be wary of a quant team simply telling her a stock is a “buy.” But if the quant team can identify screening techniques that produce significantly better returns, the stock picker is more likely to become a believer, Bochman said. That same feedback loop can be applied to other parts of the process, including due diligence, investment committees, reviews, portfolio construction and so on.”

“Quantitative analysis, on the other hand, uses mathematical and statistical modeling that pulls in a sometimes-dizzying array of inputs to screen investment ideas . . . quantamental investing reflects advances on the quantitative front.”

Your Factor Investing Toolkit.

Do you want traditional Smart Beta using factor bundles such as momentum, value, growth, size, quality, or volatility? InvestIn allows you to build your own customized versions at a low cost.

Why not use quantitative risk/return/risk-adjusted factors aligning with an investment objective (see below) or a go-forward sentiment?  InvestIn channels expected results directly into investment discovery and selection.

How about using fundamental financial factors or ESG to discover individual securities fitting a portfolio’s needs?

Or a mixture of all the above?  InvestIn propels your portfolio building exactly the way you want it.

Pick from a results table ordered from “best” to “worst”.  Top-ranked Investments in the results table can be selected for a quick portfolio with fully featured portfolio analysis. And, you can mix investment types or simply focus on one.

And, allocate these selections based on your preference: equal weighted, custom weights, or the industry’s most advanced optimization (using InvestIn’s exclusive multi-factor, multi-period, and learning genetic algorithm optimizing either to the holdings or the portfolio).

How about true stress testing?  InvestIn gives an unprecedented method to evaluate factor models using any packaged or custom time periods (called in-sample) and evaluating these models in a “walking forward” time period (called out-of-sample in which the forward period is treated as though it’s happening in real-time).

Do you like how this portfolio satisfies the design objectives?  Save it as a model or a sleeve.  A sleeve becomes a single investment itself, fully integrated into InvestIn’s 50,000+ investment database with risk, return, and ranking analytics.  (Sleeves become discoverable in future searches alongside all other investment types.)

Click a tab to view each category’s factors

Active Premium
Alpha
Annualized CAGR
Annualized Return
Annualized SD
Average Gain
Average Loss
Average Rank
Average Return
Beta
Calmar Ratio
Correlation Coefficient
Down Capture
Down Number Ratio
Down Percentage Ratio
Downside Deviation
Expected Tail Return 95%
Expected Tail Return 99%
Expected Tail Risk 95%
Expected Tail Risk 99%
Fat Tailed VaR 95%
Fat Tailed VaR 99%
Gain To Loss Ratio
Information Ratio
Jensen Alpha
Kurtosis
Max Drawdown
Modified VaR 95%
Modified VaR 99%
Percent Gain
Potential Gain 5%
Profit To Loss Ratio
Rachev Ratio
R-Squared
Semi Deviation
Sharpe Ratio
Skewness
Sortino Ratio
Standard Deviation
Standard Error
STARR Ratio
Sterling Ratio
Tracking Error
Treynor Ratio
T-Stat
Up Capture
Up Number Ratio
Up Percentage Ratio
VaR 95%
VaR 99%

1-Months Change Percent
1-Year Change Percent
200-Day Moving Average
2-Years Change Percent
30-Day Moving Average
3-Months Change Percent
50-Day Moving Average
52-Week High
52-Week Low
52-Week Change
5-Days Change Percent
6-Months Change Percent
Accounting Charges Effect
Accounts Payable
Accounts Receivable Change
Actual EPS
Beta
Book Value
Capital Expenditures
Casflow Growth (Past 3 Quarters)
Cash
Cash (TTM)
Cash Change
Cash Flow
Cash Flow Margin
Cash Per Employee (TTM)
Cashflow Growth (Past 1 Quarter)
Cashflow Growth (Past 2 Quarters)
Cashflow Margin
Cashflow Margin (TTM)
Common Stock
Consensus EPS
Cost of Revenue
Current Assets
Current Cash
Current Debt
Current Debt/Equity
Current Ratio
Debt (TTM)
Debt Growth
Debt/Equity
Deferred Long-Term Liabilities
Depreciation
Diluted EPS (TTM)
Discontinued Operations
Dividend Rate
Dividend Share
Dividend Yield
Dividend Yield (Calendar Year)
Dividends Paid
Earnings
Earnings Yield
EBIT
EBIT Growth
EBIT Margin
EBIT Margin (TTM)
EBITDA
EBITDA (TTM)
EBITDA Growth
EBITDA Margin
EBITDA Margin (TTM)
EBITDA Yield
Enterprise Value EBITDA
Enterprise Value Revenue
EPS (TTM)
EPS Actual
EPS Difference
EPS Estimate
EPS Growth (Past 1 Quarter)
EPS Growth (Past 2 Quarters)
EPS Growth (Past 3 Quarters)
EPS Surprise Dollar
EPS Surprise Percent
EPS Surprise Percent (Past 1 Quarter)
EPS Surprise Percent (Past 2 Quarters)
EPS Surprise Percent (Past 3 Quarters)
Estimated Change Percent (TTM)
Estimated EPS
Extraordinary Items
Float Ratio
Float Shares
Forward PE
Free Cash Flow Yield
Goodwill
Gross Profit
Gross Profit (TTM)
Gross Profit Margin
Gross Profit Margin (TTM)
Gross Profit Trailing 12 Months
Income Before Tax
Income Tax Expense
Insider Percent
Instiution Percent
Intangible Assets
Interest Expense
Inventory
Inventory Change
Investments
Latest EPS
Liabilities Change
Long-Term Debt
Long-Term Investments
Long-Term Debt/Equity
Market Capitalization
Market Capitalization Minimum
Minority Interest
Net Borrowings
Net Income
Net Income (TTM)
Net Income Change
Net Income Growth (Past 1 Quarter)
Net Income Growth (Past 2 Quarters)
Net Income Growth (Past 3 Quarters)
Net Income to Common Shares
Net Income to Continuing Operations
Net Profit For Employee (TTM)
Net Profit Margin
Net Profit Margin (TTM)
Net Receivables
Net Tangible Assets
Net To Operating Profit
Net To Operating Profit (TTM)
Non Recurring
Number Of Estimates
Operaing Margin (TTM)
Operating Activities Change
Operating Expense
Operating Gains Losses
Operating Income
Operating Income Growth (Past 1 Quarter)
Operating Income Growth (Past 2 Quarters)
Operating Income Growth (Past 3 Quarters)
Operating Margin
Operating Margin (TTM)
Operating Revenue
Operating To Gross Profit
Operating To Gross Profit (TTM)
Other Assets
Other Cash Flow from Financing Activities
Other Current Assets
Other Current Liabilities
Other Items
Other Liabilities
Other Operating Expenses
Other Stockholder Equity
PE Ratio (TTM)
PE Ratio High
PE Ratio Low
PER Ratio
Price To Book
Price to Book MRQ
Price to Cash Flow
Price to Free Cash Flow
Price To Sales
Price to Sales (TTM)
Profit Margin
Property -Plant and Equipment
Quarterly Earning Growth Year over Year
Quarterly Revenue Growth Year over Year
Research and Development
Retained Earnings
Return On Assets
Return on Assets (TTM)
Return on Capital (TTM)
Return On Equity
Return on Equity (TTM)
Return On Investment Capital
Revenue (TTM)
Revenue Growth (Past 1 Quarter)
Revenue Growth (Past 2 Quarters)
Revenue Growth (Past 3 Quarters)
Revenue Per Employee (TTM)
Revenue Per Share (TTM)
Sale-Purchase of Stock
Selling, General, and Administrative
Shareholder Equity
Shares Outstanding
Shares Short
Shares Short Prior Month
Short Interest
Short Long-Term Debt
Short Percent
Short Ratio
Short Term Cash Power
Short-Term Investments
Solvency Ratio
Splits-Dividends Date
Splits-Dividends Payout Ratio
Splits-Ex Dividend Date
Splits-Forward Annual Dividend
Splits-Forward Annual Dividend Yield
Splits-Last Split Date
Splits-Last Split Factor
Total Assets
Total Assets/Equity
Total Cash
Total Cash Flow from Financing Activities
Total Cash Flow from Investing Activities
Total Cash Flow from Operating Activities
Total Current Assets
Total Current Liabilities
Total Debt
Total Debt Cash Coverage (TTM)
Total Debts/Total Assets
Total Liabilities
Total Operating Expenses
Total Other Income Net Expense
Total Revenue
Total Stockholder Equity
Trailing PE
Wall Street Target Price

Community Rating
Controversies Rating
CSR Stragegies Rating
Emmissions Rating
Environmental Innovations Rating
Environmental Rating
ESG Combined Rating
Governance Rating
Human Rights Rating
Management Rating
Product Responsibility Rating
Resource Use Rating
Shareholders Rating
Social Rating
Workforce Rating

Planning and Execution Aligned.

A competent wealth plan is developed through conversations, insights, intelligence, and expertise.  The plan is set and ready to go.  Now, it’s time to execute the plan through investment selection and portfolio design.

Far too often, this is where compromises are made, inefficiencies are realized, and failed expectations arise.

Why?  The investment plan strayed from the wealth plan’s objective.

Whether an institution or a private wealth advisor, every portfolio includes two objectives:  Wealth Preservation and Wealth Creation.

Factor investing aligns specific investments to this objective continuum but targeting a desired result.

Unlike factor-investing ETFs and mutual funds collected around a small number of factors – momentum; growth; value; size; low volatility – InvestIn’s extensive risk/return/risk-adjusted factors connect portfolio building directly to a portfolio’s objective.

With the investments selected, InvestIn offers the most advanced portfolio optimization in the market.  Objective targets, go-forward sentiment, min/max constraints, and multiple time periods are optimized together using InvestIn’s proprietary learning genetic algorithm.  This optimization performs at either the holdings level using a single time horizon or the portfolio level using multiple time periods (a major technical invention).

Transparency. Low Cost Investing.

Like packaged products such as mutual funds, ETFs, and hedge funds, factor-based themes can be constructed with individual securities.  But, instead of fund or ETF shares, the custody account for a factor-based portfolio holds the underlying equity shares and bonds (fixed income).

InvestIn, as the premier digital research assistant, handles the investment discovery process based on the factor criteria you want.  With ranked choices in the results table including individual securities , a portfolio easily assembles into a one-to-one separately managed account or model.

In this version, each investment is visible in the portfolio and there are no hidden fees or excess costs.

Either solely individual securities or mixed with packaged products according to the same factor criteria, the portfolio’s internal investing costs are efficient.