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Our academic focus means there’s always something new to discover.
Using a diversified portfolio of Real Estate Investment Trusts (REITs), a single investor can potentially access thousands of properties across roughly two dozen countries. While diversification is often touted as a potential benefit to any investment strategy on its own merits, here we consider the question as to whether US investors are well served by looking beyond domestic real estate in their portfolios.Download PDF »
We believe multi-factor investing can provide investors with the opportunity to outperform over the long term in both domestic and international markets; in this process, in addition to tilting portfolios toward characteristics such as value, momentum and profitability, exposure to small countries can provide an additional return benefit.Download PDF »
In light of the 3-year anniversary of the Gerstein Fisher Multi-Factor® Global Real Estate Securities Fund (symbol: GFMRX), Portfolio Manager Gregg S. Fisher discusses REITs and the potential role that global REITs could play in a diversified investment portfolio.Download PDF »
Factor-based investing involves identifying quantifiable firm characteristics or factors that can explain differences in stock returns. The roots of factor-based investing can be traced to the Capital Asset Pricing Model (CAPM), introduced in the early 1960s, which states that a stock’s expected return is proportional to its beta, or the stock’s sensitivity to equity market returns.Download PDF »
Multi-Factor investing can be thought of as a third way to invest with distinct advantages for long-term investors over both passive indexing and traditional active management, which are generally better understood by investors. This is the first in a series of educational articles that should help investors to acquire a sound understanding of the relatively modern and fast-evolving field of quantitative multi-factor investing.Download PDF »
Factor-based investment theory has come a long way from the 1960s days of CAPM. Since Fama and French proposed their three-factor model in the early 1990s, academics have uncovered a number of other factors that help to explain security returns. Drawing on this research, quantitative multi-factor investing has become more and more broadly adopted by investment practitioners. In my next posting in this series, I will discuss several important factors uncovered by more recent research, including momentum.Download PDF »
Momentum, identified in the early 1990s, became known as the fourth factor. Since then, many quantitative factors that help to explain returns, such as profitability and asset growth, have been uncovered and targeted by investment practitioners. There are other factors that investors would be well served to tilt away from since they have demonstrated a negative impact on returns.Download PDF »
This paper, published in the Journal of Investment Management, considers several popular portfolio implementation techniques that maximize exposure to value and/or momentum stocks. Our analysis illustrates how a strategy that simultaneously incorporates both value and momentum outperforms a combination of pure‐play, independently-formed value and momentum portfolios. Our analysis also addresses the optimal way to integrate the two factors.Download PDF »
Real Estate Investment Trusts (REITs) are publicly traded equities that own, finance or operate income generating real estate. REITs typically own different types of commercial real estate including office buildings and shopping centers, but also can own hospitals, prisons, residential apartments, hotels and timberland. Certain REITs engage in providing financing for real estate. Since the Cigar Excise Tax Extension of 1960 created US legislation for the REIT structure, similar structures have been put in place in over 30 countries around the world.Download PDF »
Does better performance lead to more assets? We examine nearly 30,000 mutual funds to determine the effect that a fund’s outperformance relative to its peers has on the fund’s later asset size. We find that a fund that earns 10% more than the size-weighted average of its peers in its style group in one year will on average experience an extra 5% excess asset growth in the subsequent year. The findings are robust to all types of fund styles and all fund sizes, with two exceptions: small funds of any style and very large fixed income funds.Download PDF »
When investors are confronted with the vast menu of mutual funds on offer, they face a daunting challenge: how to distinguish among thousands of possible options. Investors must choose from countless different strategies and fund managers, each with their own spin on the “right” way to manage assets. Moreover, the menu is constantly being reshuffled. Each year new funds enter the marketplace, often with much fanfare, and unsuccessful funds (more quietly) liquidate or merge.Download PDF »
Whether we’re talking about sports or investing, people have an urge to win. In investing, investors seek outperformance. Thus, most mutual fund shareholders aren’t satisfied with the performance of a humble passive benchmark such as the S&P 500 Index. Instead, they search for an actively managed fund that they believe will beat the benchmark. Gerstein Fisher examined the perennial active vs. passive question from a few vantage points and made some interesting discoveries.Download PDF »
At Gerstein Fisher, we believe our quantitative structured approach to growth equity investing offers a compelling alternative to both pure indexing and traditional active qualitative approaches. By delivering reliable asset class representation and carefully calibrated exposure to proven risk factors, we feel the strategy can serve as a strong core holding within a diversified portfolio. When selecting core investments like broadly diversified US equities, many investors rely on either passively managed index funds or traditional, actively managed mutual funds. Both of these approaches have their merits – but also their drawbacks.Download PDF »
At Gerstein Fisher, we believe our quantitative structured approach to international growth equity investing offers a compelling alternative to both pure indexing and traditional active qualitative approaches. The Gerstein Fisher Multi-Factor® International Growth Equity strategy is grounded in the efficiency of capital markets while capturing specific risk factors identified by time-tested research. By delivering reliable asset class representation and carefully calibrated exposure to proven risk factors, we think the strategy should serve as a strong core holding within a globally diversified portfolio.Download PDF »
Gerstein Fisher offers investors a distinct strategy for obtaining exposure to global real estate. The first globally diversified REIT strategy to use a quantitative, multi-factor-based approach, it provides investors with intelligently constructed access to this fast-growing asset class.Download PDF »
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