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CMA Five-Year Outlook | 2018

Building Smart Portfolios

Our forward-looking, historically aware investment approach powers a breadth of capabilities and solutions — spanning a full spectrum of asset class strategies and investment styles — to meet a variety of portfolio needs.
Equity
Quantitative
Multi-Manager
Tax Advantaged
Index
Fixed Income
Active
Index
Cash Management
Multi-Manager
Asset Allocation
Strategic
Tactical
Solutions
Multi-Asset Class
Investment Advisory
Sustainable Investing
Retirement
Alternatives
Hedge Funds
Private Equity
Private Credit
Real Assets
Infrastructure
Real Estate

Innovative Investment Products

We offer investment solutions and asset allocation informed by deep capital markets analysis.

Our comprehensive asset class offering includes a full suite of traditional passive, factor-based, fundamental active strategies and multi-asset class solutions, available in a variety of investment vehicles.

Fixed Income

A comprehensive suite of fixed income solutions, focused on preservation of capital and income, for taxable and tax-exempt investors.

Fixed Income Solutions to Fit Your Needs

Spanning the fixed income spectrum, we offer an efficient mix of risk asset portfolios and risk-control asset portfolios based on risk tolerance.

Chart Created with Sketch. CASH MANAGEMEN T ULTRA SHOR T CORE / CORE PLU S HIGH YIEL D Risk Return (%)

Cash Management

High quality securities structured to preserve principle, generate income and provide daily liquidity.

Ultra Short

Total Return Portfolio invested in high quality instruments overnight to five years.

Core / Core Plus

Total Return Portfolio focusing on sector allocation, security selection and duration/yield curve management.

High Yield

Total Return Portfolio focusing on high yield bonds.

Our Advantage

  • 1

    Experience

    More than 40 years experience managing high-quality, well-diversified portfolios.

  • 2

    Comprehensive Process

    Our investment process integrates proprietary research, strategy, and portfolio management to uncover relative value in the marketplace.

  • 3

    Range of Solutions

    Spanning the spectrum of fixed income and using multiple investment vehicles and currencies.

Our fixed income strategies invest in government and corporate debt securities, either seeking to track or outperform an index. Fixed income investing is subject to: interest rate risk: increases in prevailing interest rates may cause underlying fixed income securities to decline in value; and credit risk: the possibility that the issuer of the bond will not be able to repay the principal and make interest payments.

Open Disclosures Hide Disclosures

Fixed Income Products

Fixed Income

A comprehensive suite of fixed income solutions, focused on preservation of capital and income, for taxable and tax-exempt investors.

Fixed Income Solutions to Fit Your Needs

Spanning the fixed income spectrum, we offer an efficient mix of risk asset portfolios and risk-control asset portfolios based on risk tolerance.

Chart Created with Sketch. CASH MANAGEMEN T ULTRA SHOR T CORE / CORE PLU S HIGH YIEL D Risk Return (%)

Cash Management

High quality securities structured to preserve principle, generate income and provide daily liquidity.

Ultra Short

Total Return Portfolio invested in high quality instruments overnight to five years.

Core / Core Plus

Total Return Portfolio focusing on sector allocation, security selection and duration/yield curve management.

High Yield

Total Return Portfolio focusing on high yield bonds.

Our Advantage

  • 1

    Experience

    More than 40 years experience managing high-quality, well-diversified portfolios.

  • 2

    Comprehensive Process

    Our investment process integrates proprietary research, strategy, and portfolio management to uncover relative value in the marketplace.

  • 3

    Range of Solutions

    Spanning the spectrum of fixed income and using multiple investment vehicles and currencies.

Our fixed income strategies invest in government and corporate debt securities, either seeking to track or outperform an index. Fixed income investing is subject to: interest rate risk: increases in prevailing interest rates may cause underlying fixed income securities to decline in value; and credit risk: the possibility that the issuer of the bond will not be able to repay the principal and make interest payments.

Open Disclosures Hide Disclosures

Fixed Income Products

Fixed Income

A comprehensive suite of fixed income solutions, focused on preservation of capital and income, for taxable and tax-exempt investors.

Fixed Income Solutions to Fit Your Needs

Spanning the fixed income spectrum, we offer an efficient mix of risk asset portfolios and risk-control asset portfolios based on risk tolerance.

Chart Created with Sketch. CASH MANAGEMEN T ULTRA SHOR T CORE / CORE PLU S HIGH YIEL D Risk Return (%)

Cash Management

High quality securities structured to preserve principle, generate income and provide daily liquidity.

Ultra Short

Total Return Portfolio invested in high quality instruments overnight to five years.

Core / Core Plus

Total Return Portfolio focusing on sector allocation, security selection and duration/yield curve management.

High Yield

Total Return Portfolio focusing on high yield bonds.

Our Advantage

  • 1

    Experience

    More than 40 years experience managing high-quality, well-diversified portfolios.

  • 2

    Comprehensive Process

    Our investment process integrates proprietary research, strategy and portfolio management to uncover relative value in the marketplace.

  • 3

    Range of Solutions

    Spanning the spectrum of fixed income and using multiple investment vehicles and currencies.

Our fixed income strategies invest in government and corporate debt securities, either seeking to track or outperform an index. Fixed income investing is subject to: interest rate risk: increases in prevailing interest rates may cause underlying fixed income securities to decline in value; and credit risk: the possibility that the issuer of the bond will not be able to repay the principal and make interest payments.

Open Disclosures Hide Disclosures

Fixed Income Products

More Strategies

Fixed Income

A comprehensive suite of fixed income solutions, focused on preservation of capital and income, for taxable and tax-exempt investors.

Fixed Income Solutions to Fit Your Needs

Spanning the fixed income spectrum, we offer an efficient mix of risk asset portfolios and risk-control asset portfolios based on risk tolerance.

Chart Created with Sketch. CASH MANAGEMEN T ULTRA SHOR T CORE / CORE PLU S HIGH YIEL D Risk Return (%)

Cash Management

High quality securities structured to preserve principle, generate income and provide daily liquidity.

Ultra Short

Total Return Portfolio invested in high quality instruments overnight to five years.

Core / Core Plus

Total Return Portfolio focusing on sector allocation, security selection and duration/yield curve management.

High Yield

Total Return Portfolio focusing on high yield bonds.

Our Advantage

  • 1

    Experience

    More than 40 years experience managing high-quality, well-diversified portfolios.

  • 2

    Comprehensive Process

    Our investment process integrates proprietary research, strategy, and portfolio management to uncover relative value in the marketplace.

  • 3

    Range of Solutions

    Spanning the spectrum of fixed income and using multiple investment vehicles and currencies.

Our fixed income strategies invest in government and corporate debt securities, either seeking to track or outperform an index. Fixed income investing is subject to: interest rate risk: increases in prevailing interest rates may cause underlying fixed income securities to decline in value; and credit risk: the possibility that the issuer of the bond will not be able to repay the principal and make interest payments.

Open Disclosures Hide Disclosures

Fixed Income Products

Fixed Income

A comprehensive suite of fixed income solutions, focused on preservation of capital and income, for taxable and tax-exempt investors.

Fixed Income Solutions to Fit Your Needs

Spanning the fixed income spectrum, we offer an efficient mix of risk asset portfolios and risk-control asset portfolios based on risk tolerance.

Chart Created with Sketch. CASH MANAGEMEN T ULTRA SHOR T CORE / CORE PLU S HIGH YIEL D Risk Return (%)

Cash Management

High quality securities structured to preserve principle, generate income and provide daily liquidity.

Ultra Short

Total Return Portfolio invested in high quality instruments overnight to five years.

Core / Core Plus

Total Return Portfolio focusing on sector allocation, security selection and duration/yield curve management.

High Yield

Total Return Portfolio focusing on high yield bonds.

Our Advantage

  • 1

    Experience

    More than 40 years experience managing high-quality, well-diversified portfolios.

  • 2

    Comprehensive Process

    Our investment process integrates proprietary research, strategy, and portfolio management to uncover relative value in the marketplace.

  • 3

    Range of Solutions

    Spanning the spectrum of fixed income and using multiple investment vehicles and currencies.

Our fixed income strategies invest in government and corporate debt securities, either seeking to track or outperform an index. Fixed income investing is subject to: interest rate risk: increases in prevailing interest rates may cause underlying fixed income securities to decline in value; and credit risk: the possibility that the issuer of the bond will not be able to repay the principal and make interest payments.

Open Disclosures Hide Disclosures

Fixed Income Products

Fixed Income

A comprehensive suite of fixed income solutions, focused on preservation of capital and income, for taxable and tax-exempt investors.

Fixed Income Solutions to Fit Your Needs

Spanning the fixed income spectrum, we offer an efficient mix of risk asset portfolios and risk-control asset portfolios based on risk tolerance.

Chart Created with Sketch. CASH MANAGEMEN T ULTRA SHOR T CORE / CORE PLU S HIGH YIEL D Risk Return (%)

Cash Management

High quality securities structured to preserve principle, generate income and provide daily liquidity.

Ultra Short

Total Return Portfolio invested in high quality instruments overnight to five years.

Core / Core Plus

Total Return Portfolio focusing on sector allocation, security selection and duration/yield curve management.

High Yield

Total Return Portfolio focusing on high yield bonds.

Our Advantage

  • 1

    Experience

    More than 40 years experience managing high-quality, well-diversified portfolios.

  • 2

    Comprehensive Process

    Our investment process integrates proprietary research, strategy and portfolio management to uncover relative value in the marketplace.

  • 3

    Range of Solutions

    Spanning the spectrum of fixed income and using multiple investment vehicles and currencies.

Our fixed income strategies invest in government and corporate debt securities, either seeking to track or outperform an index. Fixed income investing is subject to: interest rate risk: increases in prevailing interest rates may cause underlying fixed income securities to decline in value; and credit risk: the possibility that the issuer of the bond will not be able to repay the principal and make interest payments.

Open Disclosures Hide Disclosures

Fixed Income Products

More Strategies

Liquidity Solutions

Delivering cash management expertise to help your clients successfully navigate changing rate and regulatory environments.

Cash Segmentation

Changes in the global liquidity market require investors to adopt a more strategic and focused approach to liquidity management – moving beyond a one-size-fits-all approach.

Operational

(1 to 30-day maturities)

  • Day-to-day spending needs
  • High Liquidity, invested conservatively
Product Type

Money Market Fund

Reserve

(1 to 90-day maturities)

  • Intermediate or uncertain spending needs
  • Slightly reduced liquidity
Product Type

Money Market Fund, Custom Strategy

Strategic

(6 to 8-month maturities)

  • Long-term spending needs
  • Reduced liquidity
  • Seeks highest possible yield while preserving principle
Product Type

Ultra-short, Custom Strategy

Our Advantage

  • 1

    Portfolio Construction

    Expertise driven by deep research and resulting in solutions focused on safety, liquidity and yield.

  • 2

    Global Solutions

    Available across multiple investment vehicles and currencies

  • 3

    Experienced Team

    With more than 40 years experience managing liquidity solutions.

Our cash management strategies invest in short-term government and corporate debt instruments. (Bonds and money market instruments) While generally subject to lower levels of risk than investing in equities or longer term debt, the strategies are not risk free. Risks include credit risk: that the lender may default; and liquidity risk: that it may be difficult to value or sell at the desired time or price.

Open Disclosures Hide Disclosures

Liquidity Solutions Products

More Strategies

Liquidity Solutions

Delivering cash management expertise to help your clients successfully navigate changing rate and regulatory environments.

Cash Segmentation

Changes in the global liquidity market require investors to adopt a more strategic and focused approach to liquidity management – moving beyond a one-size-fits-all approach.

Operational

(1 to 30-day maturities)

  • Day-to-day spending needs
  • High Liquidity, invested conservatively
Product Type

Money Market Fund

Reserve

(1 to 90-day maturities)

  • Intermediate or uncertain spending needs
  • Slightly reduced liquidity
Product Type

Money Market Fund, Custom Strategy

Strategic

(6 to 8-month maturities)

  • Long-term spending needs
  • Reduced liquidity
  • Seeks highest possible yield while preserving principle
Product Type

Ultra-short, Custom Strategy

Our Advantage

  • 1

    Portfolio Construction

    Expertise driven by deep research and resulting in solutions focused on safety, liquidity and yield.

  • 2

    Global Solutions

    Available across multiple investment vehicles and currencies

  • 3

    Experienced Team

    With more than 40 years experience managing liquidity solutions.

Our cash management strategies invest in short-term government and corporate debt instruments. (Bonds and money market instruments) While generally subject to lower levels of risk than investing in equities or longer term debt, the strategies are not risk free. Risks include credit risk: that the lender may default; and liquidity risk: that it may be difficult to value or sell at the desired time or price.

Open Disclosures Hide Disclosures

Liquidity Solutions Products

More Strategies

Liquidity Solutions

Delivering cash management expertise to help your clients successfully navigate changing rate and regulatory environments.

Cash Segmentation

Changes in the global liquidity market require investors to adopt a more strategic and focused approach to liquidity management – moving beyond a one-size-fits-all approach.

Operational

(1 to 30-day maturities)

  • Day-to-day spending needs
  • High Liquidity, invested conservatively
Product Type

Money Market Fund

Reserve

(1 to 90-day maturities)

  • Intermediate or uncertain spending needs
  • Slightly reduced liquidity
Product Type

Money Market Fund, Custom Strategy

Strategic

(6 to 8-month maturities)

  • Long-term spending needs
  • Reduced liquidity
  • Seeks highest possible yield while preserving principle
Product Type

Ultra-short, Custom Strategy

Our Advantage

  • 1

    Portfolio Construction

    Expertise driven by deep research and resulting in solutions focused on safety, liquidity and yield.

  • 2

    Global Solutions

    Available across multiple investment vehicles and currencies

  • 3

    Experienced Team

    With more than 40 years experience managing liquidity solutions.

Our cash management strategies invest in short-term government and corporate debt instruments. (Bonds and money market instruments) While generally subject to lower levels of risk than investing in equities or longer term debt, the strategies are not risk free. Risks include credit risk: that the lender may default; and liquidity risk: that it may be difficult to value or sell at the desired time or price.

Open Disclosures Hide Disclosures

Liquidity Solutions Products

More Strategies

Liquidity Solutions

Delivering cash management expertise to help your clients successfully navigate changing rate and regulatory environments.

Cash Segmentation

Changes in the global liquidity market require investors to adopt a more strategic and focused approach to liquidity management – moving beyond a one-size-fits-all approach.

Operational

(1 to 30-day maturities)

  • Day-to-day spending needs
  • High Liquidity, invested conservatively
Product Type

Money Market Fund

Reserve

(1 to 90-day maturities)

  • Intermediate or uncertain spending needs
  • Slightly reduced liquidity
Product Type

Money Market Fund, Custom Strategy

Strategic

(6 to 8-month maturities)

  • Long-term spending needs
  • Reduced liquidity
  • Seeks highest possible yield while preserving principle
Product Type

Ultra-short, Custom Strategy

Our Advantage

  • 1

    Portfolio Construction

    Expertise driven by deep research and resulting in solutions focused on safety, liquidity and yield.

  • 2

    Global Solutions

    Available across multiple investment vehicles and currencies

  • 3

    Experienced Team

    With more than 40 years experience managing liquidity solutions.

Our cash management strategies invest in short-term government and corporate debt instruments. (Bonds and money market instruments) While generally subject to lower levels of risk than investing in equities or longer term debt, the strategies are not risk free. Risks include credit risk: that the lender may default; and liquidity risk: that it may be difficult to value or sell at the desired time or price.

Open Disclosures Hide Disclosures

Liquidity Solutions Products

More Strategies

Liquidity Solutions

Delivering cash management expertise to help your clients successfully navigate changing rate and regulatory environments.

Cash Segmentation

Changes in the global liquidity market require investors to adopt a more strategic and focused approach to liquidity management – moving beyond a one-size-fits-all approach.

Operational

(1 to 30-day maturities)

  • Day-to-day spending needs
  • High Liquidity, invested conservatively
Product Type

Money Market Fund

Reserve

(1 to 90-day maturities)

  • Intermediate or uncertain spending needs
  • Slightly reduced liquidity
Product Type

Money Market Fund, Custom Strategy

Strategic

(6 to 8-month maturities)

  • Long-term spending needs
  • Reduced liquidity
  • Seeks highest possible yield while preserving principle
Product Type

Ultra-short, Custom Strategy

Our Advantage

  • 1

    Portfolio Construction

    Expertise driven by deep research and resulting in solutions focused on safety, liquidity and yield.

  • 2

    Global Solutions

    Available across multiple investment vehicles and currencies

  • 3

    Experienced Team

    With more than 40 years experience managing liquidity solutions.

Our cash management strategies invest in short-term government and corporate debt instruments. (Bonds and money market instruments) While generally subject to lower levels of risk than investing in equities or longer term debt, the strategies are not risk free. Risks include credit risk: that the lender may default; and liquidity risk: that it may be difficult to value or sell at the desired time or price.

Open Disclosures Hide Disclosures

Liquidity Solutions Products

More Strategies

Liquidity Solutions

Delivering cash management expertise to help your clients successfully navigate changing rate and regulatory environments.

Cash Segmentation

Changes in the global liquidity market require investors to adopt a more strategic and focused approach to liquidity management – moving beyond a one-size-fits-all approach.

Operational

(1 to 30-day maturities)

  • Day-to-day spending needs
  • High Liquidity, invested conservatively
Product Type

Money Market Fund

Reserve

(1 to 90-day maturities)

  • Intermediate or uncertain spending needs
  • Slightly reduced liquidity
Product Type

Money Market Fund, Custom Strategy

Strategic

(6 to 8-month maturities)

  • Long-term spending needs
  • Reduced liquidity
  • Seeks highest possible yield while preserving principle
Product Type

Ultra-short, Custom Strategy

Our Advantage

  • 1

    Portfolio Construction

    Expertise driven by deep research and resulting in solutions focused on safety, liquidity and yield.

  • 2

    Global Solutions

    Available across multiple investment vehicles and currencies

  • 3

    Experienced Team

    With more than 40 years experience managing liquidity solutions.

Our cash management strategies invest in short-term government and corporate debt instruments. (Bonds and money market instruments) While generally subject to lower levels of risk than investing in equities or longer term debt, the strategies are not risk free. Risks include credit risk: that the lender may default; and liquidity risk: that it may be difficult to value or sell at the desired time or price.

Open Disclosures Hide Disclosures

Liquidity Solutions

More Strategies

Quantitative Active Equity

Our proprietary multi-factor strategies are designed to help efficiently capture excess returns and control for risk.

Backed by more than 20 years of research and experience managing factor-based strategies, we've identified the six key factors we believe can help enhance a portfolio's risk-adjusted returns.

Strategies covering the spectrum of investment objectives

  • Multi-factor Strategies
  • Sustainable Investing
  • Custom Solutions

Key Equity Factors

Our Advantage

  • 1

    Multi-factor Portfolio Construction

    Our research shows quality, when combined with other risk factors, can help enhance risk-adjusted returns.

  • 2

    multi-dimensional quality factor

    Our multi-dimensional Quality Score considers seven different characteristics to identify and exclude low-quality stocks from portfolios.

  • 3

    Purity in Factor Exposure

    Solutions designed to avoid unintended risks and sector biases to achieve purer factor exposures and deliver more persistent, repeatable results.

Quantitative equity strategies target specific factors. These strategies do not seek to replicate the performance of a specified cap-weighted index; also, factors are cyclical in nature. Therefore, it is possible for these strategies to underperform an index.

Multi factor strategies seek diversification across a mix of factors but are subject to concentration risk: Investments within the same industry, region or security type tend to be highly correlated and cyclical in nature; unlike diversified investments, they may experience periods of underperformance/overperformance in tandem.

A ‘quality’ investment strategy, which seeks to invest in companies with high returns, stable earnings, and low financial leverage, is subject to the risk that the past performance of these companies does not continue. ‘Quality’ equity securities may outperform/underperform other securities or the overall stock market from time to time.

Open Disclosures Hide Disclosures

Quantitative Active Equity products

Quantitative Active Equity

Our proprietary multi-factor strategies are designed to help efficiently capture excess returns and control for risk.

Backed by more than 20 years of research and experience managing factor-based strategies, we've identified the six key factors we believe can help enhance a portfolio's risk-adjusted returns.

Strategies covering the spectrum of investment objectives

  • Multi-factor Strategies
  • Sustainable Investing
  • Custom Solutions

Key Equity Factors

Our Advantage

  • 1

    Multi-factor Portfolio Construction

    Our research shows quality, when combined with other risk factors, can help enhance risk-adjusted returns.

  • 2

    multi-dimensional quality factor

    Our multi-dimensional Quality Score considers seven different characteristics to identify and exclude low-quality stocks from portfolios.

  • 3

    Purity in Factor Exposure

    Solutions designed to avoid unintended risks and sector biases to achieve purer factor exposures and deliver more persistent, repeatable results.

Quantitative equity strategies target specific factors. These strategies do not seek to replicate the performance of a specified cap-weighted index; also, factors are cyclical in nature. Therefore, it is possible for these strategies to underperform an index.

Multi factor strategies seek diversification across a mix of factors but are subject to concentration risk: Investments within the same industry, region or security type tend to be highly correlated and cyclical in nature; unlike diversified investments, they may experience periods of underperformance/overperformance in tandem.

A ‘quality’ investment strategy, which seeks to invest in companies with high returns, stable earnings, and low financial leverage, is subject to the risk that the past performance of these companies does not continue. ‘Quality’ equity securities may outperform/underperform other securities or the overall stock market from time to time.

Open Disclosures Hide Disclosures

Quantitative Active Equity products

Quantitative Active Equity

Our proprietary multi-factor strategies are designed to help efficiently capture excess returns and control for risk.

Backed by more than 20 years of research and experience managing factor-based strategies, we've identified the six key factors we believe can help enhance a portfolio's risk-adjusted returns.

Strategies covering the spectrum of investment objectives

  • Multi-factor Strategies
  • Sustainable Investing
  • Custom Solutions

Key Equity Factors

Our Advantage

  • 1

    Multi-factor Portfolio Construction

    Our research shows quality, when combined with other risk factors, can help enhance risk-adjusted returns.

  • 2

    multi-dimensional quality factor

    Our multi-dimensional Quality Score considers seven different characteristics to identify and exclude low-quality stocks from portfolios.

  • 3

    Purity in Factor Exposure

    Solutions designed to avoid unintended risks and sector biases to achieve purer factor exposures and deliver more persistent, repeatable results.

Quantitative equity strategies target specific factors. These strategies do not seek to replicate the performance of a specified cap-weighted index; also, factors are cyclical in nature. Therefore, it is possible for these strategies to underperform an index.

Multi factor strategies seek diversification across a mix of factors but are subject to concentration risk: Investments within the same industry, region or security type tend to be highly correlated and cyclical in nature; unlike diversified investments, they may experience periods of underperformance/overperformance in tandem.

A ‘quality’ investment strategy, which seeks to invest in companies with high returns, stable earnings, and low financial leverage, is subject to the risk that the past performance of these companies does not continue. ‘Quality’ equity securities may outperform/underperform other securities or the overall stock market from time to time.

Open Disclosures Hide Disclosures

Quantitative Active Equity products

Quantitative Active Equity

Our proprietary multi-factor strategies are designed to help efficiently capture excess returns and control for risk.

Backed by more than 20 years of research and experience managing factor-based strategies, we've identified the six key factors we believe can help enhance a portfolio's risk-adjusted returns.

Strategies covering the spectrum of investment objectives

  • Multi-factor Strategies
  • Sustainable Investing
  • Custom Solutions

Key Equity Factors

Our Advantage

  • 1

    Multi-factor Portfolio Construction

    Our research shows quality, when combined with other risk factors, can help enhance risk-adjusted returns.

  • 2

    multi-dimensional quality factor

    Our multi-dimensional Quality Score considers seven different characteristics to identify and exclude low-quality stocks from portfolios.

  • 3

    Purity in Factor Exposure

    Solutions designed to avoid unintended risks and sector biases to achieve purer factor exposures and deliver more persistent, repeatable results.

Quantitative equity strategies target specific factors. These strategies do not seek to replicate the performance of a specified cap-weighted index; also, factors are cyclical in nature. Therefore, it is possible for these strategies to underperform an index.

Multi factor strategies seek diversification across a mix of factors but are subject to concentration risk: Investments within the same industry, region or security type tend to be highly correlated and cyclical in nature; unlike diversified investments, they may experience periods of underperformance/overperformance in tandem.

A ‘quality’ investment strategy, which seeks to invest in companies with high returns, stable earnings, and low financial leverage, is subject to the risk that the past performance of these companies does not continue. ‘Quality’ equity securities may outperform/underperform other securities or the overall stock market from time to time.

Open Disclosures Hide Disclosures

Quantitative Active Equity products

Quantitative Active Equity

Our proprietary multi-factor strategies are designed to help efficiently capture excess returns and control for risk.

Backed by more than 20 years of research and experience managing factor-based strategies, we've identified the six key factors we believe can help enhance a portfolio's risk-adjusted returns.

Strategies covering the spectrum of investment objectives

  • Multi-factor Strategies
  • Sustainable Investing
  • Custom Solutions

Key Equity Factors

Our Advantage

  • 1

    Multi-factor Portfolio Construction

    Our research shows quality, when combined with other risk factors, can help enhance risk-adjusted returns.

  • 2

    multi-dimensional quality factor

    Our multi-dimensional Quality Score considers seven different characteristics to identify and exclude low-quality stocks from portfolios.

  • 3

    Purity in Factor Exposure

    Solutions designed to avoid unintended risks and sector biases to achieve purer factor exposures and deliver more persistent, repeatable results.

Quantitative equity strategies target specific factors. These strategies do not seek to replicate the performance of a specified cap-weighted index; also, factors are cyclical in nature. Therefore, it is possible for these strategies to underperform an index.

Multi factor strategies seek diversification across a mix of factors but are subject to concentration risk: Investments within the same industry, region or security type tend to be highly correlated and cyclical in nature; unlike diversified investments, they may experience periods of underperformance/overperformance in tandem.

A ‘quality’ investment strategy, which seeks to invest in companies with high returns, stable earnings, and low financial leverage, is subject to the risk that the past performance of these companies does not continue. ‘Quality’ equity securities may outperform/underperform other securities or the overall stock market from time to time.

Open Disclosures Hide Disclosures

Quantitative Active Equity products

Quantitative Active Equity

Our proprietary multi-factor strategies are designed to help efficiently capture excess returns and control for risk.

Backed by more than 20 years of research and experience managing factor-based strategies, we've identified the six key factors we believe can help enhance a portfolio's risk-adjusted returns.

Strategies covering the spectrum of investment objectives

  • Multi-factor Strategies
  • Sustainable Investing
  • Custom Solutions

Key Equity Factors

Our Advantage

  • 1

    Multi-factor Portfolio Construction

    Our research shows quality, when combined with other risk factors, can help enhance risk-adjusted returns.

  • 2

    multi-dimensional quality factor

    Our multi-dimensional Quality Score considers seven different characteristics to identify and exclude low-quality stocks from portfolios.

  • 3

    Purity in Factor Exposure

    Solutions designed to avoid unintended risks and sector biases to achieve purer factor exposures and deliver more persistent, repeatable results.

Quantitative equity strategies target specific factors. These strategies do not seek to replicate the performance of a specified cap-weighted index; also, factors are cyclical in nature. Therefore, it is possible for these strategies to underperform an index.

Multi factor strategies seek diversification across a mix of factors but are subject to concentration risk: Investments within the same industry, region or security type tend to be highly correlated and cyclical in nature; unlike diversified investments, they may experience periods of underperformance/overperformance in tandem.

A ‘quality’ investment strategy, which seeks to invest in companies with high returns, stable earnings, and low financial leverage, is subject to the risk that the past performance of these companies does not continue. ‘Quality’ equity securities may outperform/underperform other securities or the overall stock market from time to time.

Open Disclosures Hide Disclosures

Quantitative Active Equity products

Multi-Asset

Our transparent, globally diversified and cost-efficient multi-asset solutions use strategic and tactical asset allocation, which are designed to maximize portfolio efficiency and adapt to changing market and economic conditions.

Five-year Capital Market Assumptions

Targeting an efficient mix of Risk Asset and Risk-Control Asset Portfolios based on risk tolerance.

Five-year Capital Market Assumptions
Five-year Capital Market Assumptions

Our Investment Philosophy and Process in 3 Steps

  • 1

    Optimize strategic allocation

    Establish optimal strategic allocations by combining risk and risk-control assets.

  • 2

    Exploit market dislocations

    By using tactical positioning, a global approach and robust diversification -- all while considering upside participation and downside protection.

  • 3

    Focus on 6 Key Factors

    Consider six key factors to drive better potential outcomes: quality, value, volatility, yield, size and momentum.

Our Advantage

Our multi-asset strategies are built with a time-tested, global asset allocation discipline and enhanced by extensive risk management, portfolio construction and product fulfillment expertise.

  • Employs a ‘forward-looking, historically aware’ approach informed by extensive research.
  • Uses targeted exposure ETFs in portfolio fulfillment for risk-, cost- and tax-efficiency.
  • Incorporates real assets to potentially improve diversification and increase risk efficiency.

Multi-asset strategies invest in a broad range of global assets such as equities, bonds, deposits, cash, property and commodities. An asset allocation strategy does not guarantee any specific result nor protect against loss. The underlying assets in a multi-asset class strategy may be subject to equity risk: equity securities are more volatile than other asset classes and may fluctuate in value; interest rate risk: increases in prevailing interest rates may cause underlying fixed income securities to decline in value; and international risk: international investing involves increased risk and volatility.

Open Disclosures Hide Disclosures

Multi-Asset Class Products

Multi-Asset

Our transparent, globally diversified and cost-efficient multi-asset solutions use strategic and tactical asset allocation, which are designed to maximize portfolio efficiency and adapt to changing market and economic conditions.

Five-year Capital Market Assumptions

Targeting an efficient mix of Risk Asset and Risk-Control Asset Portfolios based on risk tolerance.

Five-year Capital Market Assumptions
Five-year Capital Market Assumptions

Our Investment Philosophy and Process in 3 Steps

  • 1

    Optimize strategic allocation

    Establish optimal strategic allocations by combining risk and risk-control assets.

  • 2

    Exploit market dislocations

    By using tactical positioning, a global approach and robust diversification -- all while considering upside participation and downside protection.

  • 3

    Focus on 6 Key Factors

    Consider six key factors to drive better potential outcomes: quality, value, volatility, yield, size and momentum.

Our Advantage

Our multi-asset strategies are built with a time-tested, global asset allocation discipline and enhanced by extensive risk management, portfolio construction and product fulfillment expertise.

  • Employs a ‘forward-looking, historically aware’ approach informed by extensive research.
  • Uses targeted exposure ETFs in portfolio fulfillment for risk-, cost- and tax-efficiency.
  • Incorporates real assets to potentially improve diversification and increase risk efficiency.

Multi-asset strategies invest in a broad range of global assets such as equities, bonds, deposits, cash, property and commodities. An asset allocation strategy does not guarantee any specific result nor protect against loss. The underlying assets in a multi-asset class strategy may be subject to equity risk: equity securities are more volatile than other asset classes and may fluctuate in value; interest rate risk: increases in prevailing interest rates may cause underlying fixed income securities to decline in value; and international risk: international investing involves increased risk and volatility.

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Multi-Asset Class Products

Featured Strategies & Insights
Products and solutions designed to help align your portfolio with your goals and objectives.

Insight

Adding value beyond diversification

Outlook

How we identify opportunities in a slow economy

Quality
Outperformed over
15 years
The Quality factor consistently outperformed all other factors, on an annualized basis, for the 15-year period ending 12/31/17.

Disclosures: Factor returns are defined as the equally weighted top or bottom 20% of the Russell 3000® Index. Ranking is based on exposure to factor as defined by Barra (Value, Momentum, Volatility, Dividend Yield), Northern Trust (Quality) and Market Cap (size). Factors are winsorized to remove extreme 5% of the outliers. Past performance is no guarantee of future results. Index performance returns do not reflect any management fees, transaction costs or expenses. It is not possible to invest directly in an index. The Russell 3000® Index returned 12.7% and 21.1% for the 1-year period ending 12/31/2016 and 12/31/2017, respectively, and 10.3% for the 15-year (annualized) period ending 12/31/2017.

Value
Top of the charts for
7 Years
The Value factor was at the top of the heap for 7 out of 15 years ending 12/31/17.

Disclosures: Factor returns are defined as the equally weighted top or bottom 20% of the Russell 3000® Index. Ranking is based on exposure to factor as defined by Barra (Value, Momentum, Volatility, Dividend Yield), Northern Trust (Quality) and Market Cap (size). Factors are winsorized to remove extreme 5% of the outliers. Past performance is no guarantee of future results. Index performance returns do not reflect any management fees, transaction costs or expenses. It is not possible to invest directly in an index. The Russell 3000® Index returned 12.7% and 21.1% for the 1-year period ending 12/31/2016 and 12/31/2017, respectively, and 10.3% for the 15-year (annualized) period ending 12/31/2017.

Low Volatility
Double-Digit
Returns
When it comes to Low Volatility, slow and steady may not win the race – but it turned in double-digit annualized returns of 12.1% over the 15-year period ending 12/31/17.

Disclosures: Factor returns are defined as the equally weighted top or bottom 20% of the Russell 3000® Index. Ranking is based on exposure to factor as defined by Barra (Value, Momentum, Volatility, Dividend Yield), Northern Trust (Quality) and Market Cap (size). Factors are winsorized to remove extreme 5% of the outliers. Past performance is no guarantee of future results. Index performance returns do not reflect any management fees, transaction costs or expenses. It is not possible to invest directly in an index. The Russell 3000® Index returned 12.7% and 21.1% for the 1-year period ending 12/31/2016 and 12/31/2017, respectively, and 10.3% for the 15-year (annualized) period ending 12/31/2017.

Dividend Yield
Power of Dividends
66%
Dividends have played a significant role in the returns investors have received during the past 40 years. Going back to 1978, 66% of the total return of the Russell 1000® Index can be attributed to reinvested dividends and the power of compounding.

Past performance is no guarantee of future results. Index performance returns do not reflect any management fees, transaction costs or expenses. It is not possible to invest directly in an index. Analysis of the total return of the Russell 1000® Index from 12/31/78-12/31/17 into dividend contribution and price return of the index.

Momentum
Outperformed
18.50%
After a poor showing in 2016, Momentum picked up steam in 2017 and outperformed its factor peers – Quality, Value, Low Volatility, Size and Dividend Yield – for the period ending 12/31/17.

Disclosures: Factor returns are defined as the equally weighted top or bottom 20% of the Russell 3000® Index. Ranking is based on exposure to factor as defined by Barra (Value, Momentum, Volatility, Dividend Yield), Northern Trust (Quality) and Market Cap (size). Factors are winsorized to remove extreme 5% of the outliers. Past performance is no guarantee of future results. Index performance returns do not reflect any management fees, transaction costs or expenses. It is not possible to invest directly in an index. The Russell 3000® Index returned 12.7% and 21.1% for the 1-year period ending 12/31/2016 and 12/31/2017, respectively, and 10.3% for the 15-year (annualized) period ending 12/31/2017.

The momentum factor returned 5.5% and 18.5% for the 1-year period ending 12/31/2016 and 12/31/2017, respectively, and 10.5% for the 15-year (annualized) period ending 12/31/2017.

size
Consistently
Paid Off
Size may not have wowed investors in any given year, but it performed consistently – returning 11.7% on an annualized basis for the 15-year period ending 12/31/17.

Disclosures: Factor returns are defined as the equally weighted top or bottom 20% of the Russell 3000® Index. Ranking is based on exposure to factor as defined by Barra (Value, Momentum, Volatility, Dividend Yield), Northern Trust (Quality) and Market Cap (size). Factors are winsorized to remove extreme 5% of the outliers. Past performance is no guarantee of future results. Index performance returns do not reflect any management fees, transaction costs or expenses. It is not possible to invest directly in an index. The Russell 3000® Index returned 12.7% and 21.1% for the 1-year period ending 12/31/2016 and 12/31/2017, respectively, and 10.3% for the 15-year (annualized) period ending 12/31/2017.

Northern Trust Asset Management

Northern Trust Asset Management is a global investment manager that helps investors navigate changing market environments, so they can confidently realize their long-term objectives.

Entrusted with more than $900 billion of assets, we understand that investing ultimately serves a greater purpose and believe investors should be compensated for the risks they take — in all market environments and any investment strategy.

$972 Billion in AUM1

That’s why we combine robust capital markets research, expert portfolio construction and comprehensive risk management to craft innovative and efficient solutions that deliver targeted investment outcomes.

As engaged contributors to our communities, we consider it a great privilege to serve our investors and our communities with integrity, respect, and transparency.

1Assets under management as of September 30, 2018. For the Northern Trust Asset Management entities included in the AUM total, please see disclosure at end of this page.
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John Abunassar
Head of Institutional Distribution
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Gerard van Leusden

Director, Institutional Business Continental Europe
Institutional, APAC
John McCareins, CAIA, CIMA
Managing Director, Asset Management - APAC
Financial Intermediaries/RIAs
Michael Natale
Head of Intermediary Distribution
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Tom Pinto
Asset Management Media Relations
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