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Amareos

Email: ryan.shea@amareos.com

Numbers of post written by this author: 58

Amareos
Ryan Shea has been employed in the financial sector for more than two decades. During this time he has held senior positions in several major sell-side and buy-side financial institutions in a variety of roles encompassing macroeconomic research, FX portfolio management and investment strategy. In addition to being partner and Head of Research in Amareos Ltd, Ryan is Managing Director of Black Swan Economics Consultants Ltd (BSEC), a global macro advisory company established in 2013. Prior to this he was Head of Macroeconomic Research for the Fixed Income Department of Abu Dhabi Investment Authority(ADIA) in the UAE. Ryan completed his BSc and MSc in Economics at Queen Mary College, University of London.

List of all the posts by Amareos

Monday Morning Memo: The rise of factor ETFs in Europe

Exchange-traded funds (ETFs) that invest based on factor strategies have become very popular in Europe over the last three years. Investing with a factor strategy means these funds do not follow a market capitalization-weighted index. Since “factor-based strategy” is a technical term that sounds rather complex, marketing departments and media companies have named these products “smart beta ETFs,” since the factors and strategies used generate better risk-adjusted returns over time than do market capitalization-weighted indices. The main factors used in these strategies are: Low volatility/minimum variance Momentum Size Quality Value These factors have either a regional or global investment focus.
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Monday Morning Memo: From smart-beta investing to factor investing

Looking on the headlines in the European ETF industry, it sems to be, that the so-called smart-beta investing is a hot topic. But what is meant by smart-beta investing? The term smart beta has been created to describe indices which are employing market factors like valuations (fundamental data), company size, volatility or momentum, to select the constituents of the respective index. It has been shown by academic research, that these factors can be used to achieve premiums compared to the overall market returns, i.e. these indices claim to improve the returns, compared to capitalization-weighted indices, by using systematic tilts toward
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