Factor Investing amid Increased Volatility of Financial Markets

Alexander E. Abramov – Head of Department for Analysis of Institutions and Financial Markets of the Russian Presidential Academy of National Economy and Public Administration, Candidate of Economic Sciences (Moscow, Russia). Е-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Alexander D. Radygin – Chairman of the Scientific Council of the Gaidar Institute for Economic Policy; Director of the Institute of Mathematics and Information Technology Economics, Russian Presidential Academy of National Economy and Public Administration, Doctor of Economic Sciences, Professor (Moscow, Russia). Е-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Maria I. Chernova – Researcher of the Russian Presidential Academy of National Economy and Public Administration (Moscow, Russia). Е-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Andrey G. Kosyrev – Junior Researcher of the Russian Presidential Academy of National Economy and Public Administration (Moscow, Russia). E-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Factor investing strategies make it possible to manage investment portfolios more effectively amid growing volatility of financial markets under the influence of significant changes in the central banks’ monetary policy and uneven recovery of different sectors of the economies with different levels of development. The development of exchange traded investment funds (ETFs) simplifies the application of factor strategies for investors. However, these strategies have not yet found sufficient application in the Russian market due to technical problems of processing initial data and inertia of financial intermediaries.

Key words: financial markets, financial markets’ volatility, factor investing, exchange traded funds, mutual investment funds.

JEL-codes: E44, G11, G41.