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  1. BLOG

    Did insider transactions have secrets to tell? 

    Nov 19, 2019 Vipul Jain , Roman Kouzmenko

    Factor Investing , Factors , Risk Management

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    Company insiders’ trading of their company’s stock is usually subject to strict rules, including public disclosure. Did observing insider transactions provide more information about expected company performance than traditional sources?

  2. BLOG

    A default wave for Chinese consumer ABS? 

    Nov 18, 2019 Jian Chen , Yini Yang

    Economic Exposure , Emerging Markets , Fixed Income , Global Investing , Risk Management

    Learn More

    The default rate for auto loans in Chinese consumer asset-backed securities increased rapidly in recent months, and China may be moving toward a more borrower-friendly bankruptcy regime. Could this   lead to even higher default rates?

  3. BLOG

    Have regional equity-market correlations risen? 

    Nov 15, 2019 Guido Giese , Roman Kouzmenko

    Global Investing

    Learn More

    Global equity investors use regions as building blocks in asset allocation, typically segregating markets by how developed they are and by geography. Has globalization reduced the potential for geographical portfolio diversification?

  4. BLOG

    The state of global investing 

    Nov 12, 2019 Dimitris Melas

    Economic Exposure , Emerging Markets , Global Investing

    Learn More

    Financial markets are inherently unpredictable, while structural forces such as shifts in monetary policy, trade conflicts and climate change compound the challenges facing investors. Read our analysis commissioned by Norway’s Ministry of Finance.

  5. BLOG

    Emerging market country allocation matters 

    Nov 6, 2019 Jean-Maurice Ladure

    Emerging Markets , Global Investing , Economic Exposure

    Learn More

    Investors with strong convictions on emerging markets might consider an approach allowing tilts toward or away from specific themes, such as active allocation to single-country index-based funds. We explore considerations linked with this approach.

  6. BLOG

    Cyclicals vs. defensives: Did tariffs tip the scales? 

    Nov 5, 2019 Guillermo Cano

    Economic Exposure , Emerging Markets , Global Investing

    Learn More

    Did tariffs imposed by the U.S. and China in May trigger a shift to defensive from cyclical stocks? How did they affect different U.S. sectors and industry groups?

  7. BLOG

    Beware high dividend yield traps 

    Oct 25, 2019 Jean-Maurice Ladure , Ashish Lodh , Saurabh Katiyar

    Factor Investing , Factors , Risk Management

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    During low interest-rate, high-volatility environments, some investors have turned to high dividend-paying stocks. However, overly simplistic approaches to selecting dividend-paying securities exposed investors to potential “yield traps.” Could these traps have been avoided?

  8. BLOG

    Repo-market turmoil may not spell SOFR’s end 

    Oct 24, 2019 Michael Hayes , Maks Oks

    Fixed Income , Risk Management

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    Investors and the media have begun to worry that the secured overnight financing rate (SOFR) — the U.S. interest-rate benchmark meant to address issues with and replace USD LIBOR — may introduce a new set of problems. Are the concerns justified?

  9. BLOG

    Value investing is down. But is it out? 

    Oct 23, 2019 Anil Rao , Abhishek Gupta

    Factor Indexes , Factor Investing , Factors , Global Investing

    Learn More

    Value stocks generally underperformed the broad U.S. equity market over the past decade — just as they did in the late 1990s. What drove that underperformance? Was it consistent globally? Within U.S. sectors?

  10. BLOG

    Stress testing US-China trade wars 

    Oct 22, 2019 Thomas Verbraken , Anikó Maráz

    Emerging Markets , Fixed Income , Global Investing , Risk Management

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    Amid ongoing U.S.-China trade tension, we have updated our stress test to consider three scenarios for how the situation could unfold — and their impact on currency, bond and equity markets around the world.

  11. BLOG

    Factors separated fact from fiction 

    Oct 16, 2019 George Bonne

    Factor Indexes , Factor Investing , Factors

    Learn More

    Technological advances have expanded the application of factors. What was the realm of quantitative investors has become more accessible, bringing greater transparency and potential insight into portfolio characteristics and performance drivers.

  12. BLOG

    Chinese convertibles: Equities in fancy dress? 

    Oct 14, 2019 Gergely Szalka

    Emerging Markets , Fixed Income , Global Investing , Models/Client Cases , Risk Management

    Learn More

    Chinese corporate bonds that convert to A shares display equity-like characteristics. But investors who view these securities as equities in disguise are overlooking the complexities of the asset class.

  13. BLOG

    Retire in Monte Carlo? Simulating retirement outcomes 

    Oct 11, 2019 Anil Rao

    ESG Research , Factor Investing , Models/Client Cases , Risk Management

    Learn More

    Despite global equity performance, U.S. DC plan participants may be ill prepared to meet retirement-spending needs. We assessed four equity-allocation scenarios — including an equity multifactor allocation  and integration of ESG views —  to see which performed best.

  14. BLOG

    Stress testing Brexit: Deal or no deal? 

    Oct 9, 2019 Anikó Maráz , Thomas Verbraken

    Global Investing , Models/Client Cases , Risk Management

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    Brexit has roiled markets since U.K. voters chose “leave” in the June 2016 referendum. We used our stress-testing model to examine how markets could react to deal and no-deal scenarios.

  15. BLOG

    Is Europe more than the sum of its parts? 

    Oct 8, 2019 Jean-Maurice Ladure

    Equity indexes

    Learn More

    Investors have a choice between investing in European stocks regionally or through local-country index-based portfolios. What are the pros and cons?

  16. BLOG

    What’s the downside in real estate? 

    Oct 4, 2019 Bryan Reid

    Real Estate Investing , Global Investing

    Learn More

    Real estate has always been marked by periods of expansion and sometimes painful corrections. But all cycles are not alike.

  17. BLOG

    Factors in Focus: Momentum hits a valuation speed bump 

    Oct 3, 2019 Waman Virgaonkar , Hitendra D Varsani

    Factor Investing , Factors , Models/Client Cases , Risk Management

    Learn More

    The momentum-value spread saw one of the largest corrections in history over the summer. What does our model show going forward?

  18. BLOG

    Senior bonds in name only 

    Oct 2, 2019 Máté Maródi

    Fixed Income , Models/Client Cases , Risk Management

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    Write-down protection doesn’t extend to a new bond category issued by too-big-to-fail European banks: senior non-preferred. Investors in senior debt may wish to consider these bonds’ recovery risk.

  19. BLOG

    MBS prepayment modeling: AI 1, Humans 0? 

    Sep 27, 2019 David Zhang , Joy Zhang

    Fixed Income , Models/Client Cases , Risk Management

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    Artificial intelligence has broken through in fields previously dominated by humans. Could AI surpass humans in modeling the complex risks of agency mortgage-backed securities?

  20. BLOG

    Should bank-loan investors worry about liquidity risk? 

    Sep 24, 2019 László Arany

    Fixed Income , Models/Client Cases , Risk Management

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    Have bank loans posed more liquidity risk than corporate bonds when the market was stressed? We compared various liquidity metrics for bank loans and high-yield bonds during the December 2018 high-yield sell-off to find the answer.

  21. BLOG

    Growth’s recent outperformance was and wasn’t an anomaly 

    Sep 20, 2019 Shubhangi Sharma , Mehdi Alighanbari

    Factor Investing , Factor Research Group , Factors

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    Growth strategies have outperformed value strategies in recent years. Is growth’s recent performance an anomaly when we look at it in a long-term context? The answer: It depends on what you mean by a growth strategy.

  22. BLOG

    Is climate-change risk all about fossil fuels? Think again. 

    Sep 19, 2019 Michael Disabato

    ESG Research , Global Investing

    Learn More

    When it comes to reducing greenhouse gases, investors tend to focus on fossil fuels and power generation. But other companies also need to adapt to a lower-carbon world. We look at the implications for five types of companies.

  23. BLOG

    Are rates and equities losing their balance? 

    Sep 16, 2019 Peter Shepard

    Fixed Income , Models/Client Cases

    Learn More

    For most of the past two decades, a benevolent relationship between bonds and equity has prevailed as a central pillar of asset allocation. Falling equity markets consistently coincided with falling interest rates, providing an effective hedge between bond and equity allocations. Now, talk of weaker central-bank policy or a risk of deflation has many asset allocators focused on the future of the rates-equity correlation. 

  24. BLOG

    Back-to-school (momentum) blues? 

    Sep 13, 2019 Leon Roisenberg , George Bonne

    Factor Investing , Models/Client Cases , Factors

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    The U.S. price momentum factor, which we highlighted for elevated crowding scores and vulnerability to negative performance at the end of June, suffered sizable drawdowns in the first seven trading days of September.

  25. BLOG

    Real estate may be yielding less than you thought 

    Sep 12, 2019 Bryan Reid

    Global Investing , Real Estate Investing

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    Income has long been an important part of real estate returns meaning yields are often heavily scrutinized by investors. However, headline yields do not factor in capital expenditure requirements which can vary significantly. Investors looking to better understand potential “free cash flow” positions of portfolios post-capex may want to adjust the yields they use to account for it.

  26. BLOG

    MBS investors: quantitative easing déjà vu? 

    Sep 5, 2019 Joy Zhang

    Fixed Income , Risk Management

    Learn More

    Despite the Fed’s silence on the matter, the MBS market may be indicating that a new round of QE is coming.

  27. BLOG

    Using multi-country multi-currency futures in portfolio management 

    Sep 3, 2019 Hitendra D Varsani

    Global Investing , Risk Management

    Learn More

    Investors seeking to more tightly manage their exposures to regional or global benchmarks are turning to multi-country multi-currency futures.

  28. BLOG

    A smoother ride? Looking at factor-based asset allocation 

    Sep 3, 2019 Andrea Amato , Chenlu Zhou

    Factor Investing , Models/Client Cases , Risk Management

    Learn More

    On the surface, holding-based asset allocation appears to produce stability. But is what you see always what you get? We investigate the pros and cons of a factor-based approach.

  29. BLOG

    Where were the (factor) crowds this summer? 

    Aug 21, 2019 George Bonne , Leon Roisenberg

    Factor Investing , Factors

    Learn More

    When factors have historically become crowded, they’ve often experienced significant drawdowns in subsequent months. Which factors were relatively crowded at the end of 2018 — and how did they perform in the first half of 2019?

  30. BLOG

    A reality check for MBS duration risk 

    Aug 15, 2019 Yihai Yu

    Risk Management , Fixed Income , Models/Client Cases

    Learn More

    Empirical duration data can be used to check whether models for mortgage-backed securities are accurately measuring interest-rate risk.

  31. BLOG

    The changing face of real estate portfolios 

    Aug 14, 2019 Bryan Reid

    Global Investing , Real Estate Investing

    Learn More

    Office and retail investments’ historic dominance of commercial real estate portfolios is decreasing, with other property types — including logistics centers, student housing, and data centers — increasing. This evolution highlights how technology and the search for yield have led investors to diversify and seek exposure to other property types.

  32. BLOG

    Liquidity risk under stress: Beyond bid-ask spreads 

    Aug 7, 2019 Diana Knipl

    Fixed Income , Models/Client Cases , Risk Management

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    Risk managers at investment funds are more and more focused on liquidity risk, as regulators have recently issued guidance that increases demands for liquidity stress testing. Although markets are currently considered fairly calm, the 2008 financial crisis showed how liquidity can deteriorate quickly under stressed conditions, resulting in widened bid-ask spreads. But by focusing solely on the change in bid-ask spreads, could investors underestimate their liquidity risk? The often-overlooked market impact — or the additional cost on top of the bid-ask cost for large trades — could also increase significantly, driving transaction costs still higher.

  33. BLOG

    Same target, different destinations 

    Jul 31, 2019 Anil Rao

    Integrated Risk Management , Models/Client Cases

    Learn More

    Target-date funds (TDFs) have gained wide adoption in U.S. defined-contribution plans over the last decade, aided by the proliferation of auto-enrollment features and the funds’ presentation as a “set it and forget it” approach.

  34. BLOG

    Home bias in fixed income: Has it helped or hurt? 

    Jul 29, 2019 Anikó Maráz , Andy Sparks

    Fixed Income , Global Investing , Integrated Risk Management

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    Has global diversification historically helped reduce risk in the fixed-income portfolios of U.S. defined-benefit (DB) pension plans? Our backtests show that globalizing bond allocations would have increased risk measured relative to a liability benchmark. For such plans, home bias in bond portfolios would have reduced active risk over the period of our study.

  35. BLOG

    Three scenarios for Fed rate cuts 

    Jul 23, 2019 Andy Sparks , Thomas Verbraken

    Economic Exposure , Fixed Income , Models/Client Cases

    Learn More

    A consensus has emerged that the Federal Reserve will lower rates in the coming months, but investors remain uncertain over the timing and magnitude of the cuts. What impact could three rate-cut scenarios have on markets?

  36. BLOG

    More than a feeling: Quantifying consumer sentiment 

    Jul 17, 2019 George Bonne , Rohit Mendiratta

    Factor Research Group , Factor Investing , Factors

    Learn More

    Among a flood of alternative data sources, consumer sentiment based on citations online stood out.

  37. BLOG

    Is there another Woodford waiting to happen? 

    Jul 11, 2019 Laszlo Hollo

    Global Investing , Risk Management

    Learn More

    When the Woodford Equity Income Fund suspended redemptions on June 3, 2019, it showed how, when a fund’s liquidity profile is misaligned with its shareholder profile and redemption constraints, a single large redemption request can trigger gating. 

  38. BLOG

    Under the hood: Rating ESG funds 

    Jul 10, 2019 Michael Disabato

    ESG Research , Global Investing

    Learn More

    Nearly $31 trillion in assets under management were invested in funds that consider ESG issues in their investing process as of January 2018, a 34% increase from two years previously. Transparency is key to understanding what this expansion means.

  39. BLOG

    Liquidity and correlation in the Chinese credit market 

    Jul 9, 2019 Manuel Rueda

    Fixed Income , Risk Management , Models/Client Cases

    Learn More

    China’s stock market has drawn huge attention from global investors, especially as China A shares have been added to leading equity indexes. But the same cannot be said for the country’s 38 trillion CNY (USD 5.5 trillion) credit market, now the second-largest in the world. Despite the market’s overall size, foreign investor participation remains miniscule, with overseas bondholders accounting for less than 1% of the total holdings.

  40. BLOG

    Asian retail resilience: Have store hours affected performance? 

    Jul 9, 2019 Bryan Reid

    Real Estate Investing , Global Investing

    Learn More

    Industrial real estate has outperformed retail assets in recent years, but the trend has been less pronounced in Asia, where store hours, among other reasons, might have led to more resilient retail performance.

  41. BLOG

    Reverse convertibles: Worth the risk? 

    Jul 5, 2019 Gyorgy Kocsis , István Varga-Haszonits

    Risk Management , Models/Client Cases , Fixed Income

    Learn More

    Do reverse convertibles offer any obvious risk-return benefits over high-yield bonds?

  42. BLOG

    Factors in Focus: Dynamic short term, strategic long term 

    Jul 2, 2019 Waman Virgaonkar , Hitendra D Varsani

    Factor Investing , Factor Research Group , Factors

    Learn More

    We review factor performance over the second quarter, provide the perspective of a long-term view and look to indications from our adaptive multi-factor model heading into Q3.

  43. BLOG

    Bank loans: Will crisis follow the search for yield? 

    Jun 27, 2019 Hamed Faquiryan

    Risk Management , Fixed Income , Models/Client Cases

    Learn More

    In the post-2008 search for yield, investors have taken on considerable exposure to leveraged bank loans. We assess whether these loans pose systemic risk in the way subprime mortgages did during the last crisis.

  44. BLOG

    Beware of FRTB cliff effects. Sharp curvatures ahead. 

    Jun 20, 2019 Andras Rokob

    Integrated Risk Management , Fixed Income , Models/Client Cases , Risk Management

    Learn More

    The Basel committee’s revised market-risk capital requirements contain a small surprise with potentially big implications. Cliff effects remain in the framework.

  45. BLOG

    European securitization at the regulatory crossroads 

    Jun 17, 2019 Miklós Vörös

    Fixed Income , Risk Management

    Learn More

    Have new European Union reforms clouded the future of the securitization market in Europe?

  46. BLOG

    Lessons from Woodford: Shutting the barn door after the horses have bolted 

    Jun 14, 2019 András Bohák , Roman Kouzmenko , Dimitris Melas

    Factor Investing , Factors

    Learn More

    The suspension of the U.K.’s Woodford Equity Income Fund highlights the value of regularly reviewing a portfolio’s factor exposures and liquidity characteristics for signs of style drift or deteriorating ability to redeem shares.

  47. BLOG

    The rise of fundamental factors in China A shares 

    Jun 6, 2019 Oleg Ruban

    Emerging Markets , Factor Investing , Global Investing

    Learn More

    Commonly held perceptions about China A shares have influenced investors to think factor strategies may not work in the Chinese equity markets. Our research suggests this may be changing.

  48. BLOG

    Fed policy, the credit cycle and real estate 

    May 28, 2019 Yihai Yu , David Zhang

    Risk Management , Real Estate Investing , Fixed Income

    Learn More

    Amid the uncertainty over Federal Reserve policy, investors in commercial real estate (CRE) are confronting asset-allocation challenges and growing concerns about CRE valuation and debt levels, after an extended period of easy credit.

  49. BLOG

    What could stress emerging markets? 

    May 24, 2019 Thomas Verbraken

    Global Investing , Risk Management , Economic Exposure , Emerging Markets

    Learn More

    Emerging-market equities and USD-denominated EM sovereign bonds started 2019 with a bang, but recent market turbulence caused by the U.S.-China trade standoff raises a pressing question: What could trigger the next EM downturn?

  50. BLOG

    Beyond headlines: How markets responded to US-China trade talks 

    May 9, 2019 Zhen Wei

    Economic Exposure , Emerging Markets , Global Investing

    Learn More

    Our analysis suggests that changes in equity-market valuations, analysts’ consensus earnings estimates and data on companies’ revenue exposure are metrics that provided insight into recent market and sector performances.

  51. BLOG

    Factor investing in Saudi Arabia: size matters 

    May 7, 2019 Saurabh Katiyar , Neeraj Dabake

    Factor Indexes , Factor Investing

    Learn More

    Foreign interest has risen in Saudi Arabia following the easing of foreign-ownership limits. Our analysis shows investors would have benefited by controlling for exposure to small-cap companies.

  52. BLOG

    Game of Homes: Is winter coming for the domestic-equity bias? 

    Apr 30, 2019 Anil Rao , Raman Aylur Subramanian

    Equity Themes , Models/Client Cases , Global Investing

    Learn More

    Can we quantify home-bias risk in an allocation? And, what has happened when U.S. stocks ended previous multiyear runs of outperformance?

  53. BLOG

    Are you ready for uniform MBS? (Part 2) 

    Apr 26, 2019 Yihai Yu

    Models/Client Cases , Fixed Income , Risk Management

    Learn More

    Aligning prepayment speeds of Fannie Mae and Freddie Mac securities presents a major challenge to the success of uniform mortgage-backed securities (UMBS), which the two government-sponsored enterprises will launch on June 3.

  54. BLOG

    A more politicized Fed? The market yawns 

    Apr 16, 2019 Andy Sparks

    Fixed Income , Risk Management

    Learn More

    Could the Federal Reserve Board (the Fed) become less independent, with political forces exerting more influence?

  55. BLOG

    The Right Tool: How Suitable is Your Real Estate Benchmark? 

    Apr 11, 2019 Amit Nihalani

    Real Estate Investing , Global Investing

    Learn More

    You don’t have to be a master craftsman to appreciate the benefits of using the right tool for the job. Even the most casual do-it-yourselfer has experienced the frustration of using the wrong screwdriver for a particular job — one that doesn’t quite fit the screw properly and shreds the head, leaving it uselessly stuck in the wood without fixing anything.

  56. BLOG

    Need a Lyft? Why the IPO blew a tire 

    Apr 10, 2019 Alan Brett , Matt Moscardi

    Equity Themes , ESG Research , Risk Management

    Learn More

    A week into the highly publicized IPO for Lyft Inc., the ride-sharing company, it’s hard to say it went exactly as planned.

  57. BLOG

    Are You Ready For Uniform MBS? (Part 1) 

    Apr 8, 2019 Yihai Yu

    Models/Client Cases , Fixed Income , Risk Management

    Learn More

    Fannie & Freddie will conclude Single Security Initiative (SSI) June 3, 2019, creating a single to-be-announced (TBA) market & a new TBA security: the uniform mortgage-backed security (UMBS)

  58. BLOG

    What Yield-Curve Inversions Have Meant For Markets 

    Apr 5, 2019 Alfredo Bequillard

    Equity Themes , Economic Exposure , Fixed Income

    Learn More

    Inversion of the yield curve has historically been a reliable indicator that a recession is coming. But what has it implied for stock prices and Treasury rates?

  59. BLOG

    Evaluating the impact of LIBOR fallback 

    Apr 3, 2019 Maks Oks

    Fixed Income , Global Investing , Integrated Risk Management

    Learn More

    The planned discontinuation of LIBOR and other interbank offer rates sometime in 2022 will affect a large number of existing financial contracts based on these benchmarks.

  60. BLOG

    Factors in Focus: Risky start. Quality finish. 

    Apr 2, 2019 Hitendra D Varsani , Waman Virgaonkar

    Factors , Global Investing , Factor Investing

    Learn More

    We highlight the fast-moving rotation among factors that continued during Q1 2019. As we move into Q2 2019, this framework showed allocation changes in different factors.

  61. BLOG

    Saudi Arabia inclusion and emerging markets 

    Mar 28, 2019 Saurabh Katiyar

    Equity Themes , Emerging Markets , Global Investing

    Learn More

    Saudi Arabian stocks will be included in the MSCI Emerging Markets Index and the MSCI ACWI Index in a two-step process starting in June this year. With the first step of inclusion of the MSCI Saudi Arabian Index coming shortly, we ask how inclusion of this Middle Eastern market would have affected the MSCI EM Indexes.

  62. BLOG

    Have High-Yield ETFs Created Liquidity Risk? 

    Mar 27, 2019 Reka Janosik

    Fixed Income , Risk Management , Integrated Risk Management

    Learn More

    In the fourth quarter of 2018, redemptions of high-yield ETFs soared to approximately 25% of these funds’ assets under management (AUM), according to data provider IHS Markit.

  63. BLOG

    A new day for monetary policy? 

    Mar 22, 2019 Andy Sparks

    Emerging Markets , Fixed Income , Global Investing

    Learn More

    Listen as MSCI’s Andy Sparks discusses potential implications of the US Federal Reserve’s sharply softening monetary policy, and whether the role of central banks has changed.

  64. BLOG

    Don’t confuse capital growth and asset-value growth 

    Mar 21, 2019 Niel Harmse

    Economic Exposure , Real Estate Investing , Global Investing

    Learn More

    Measuring real estate growth is not a simple exercise; we run through it highlighting some common confusions

  65. BLOG

    Factors and ESG: the truth behind three myths 

    Mar 20, 2019 Guillermo Cano

    Models/Client Cases , ESG Research , Factor Investing

    Learn More

    There are misconceptions of the relationship between factors and ESG issues. We debunked three common myths about ESG, momentum, quality and smaller-cap stocks.

  66. BLOG

    Santander’s coco extension: The new market norm? 

    Mar 18, 2019 Imre Vörös , Gergely Szalka

    Models/Client Cases , Fixed Income , Risk Management , Integrated Risk Management

    Learn More

    Banco Santander announced it would extend — i.e., not call — its additional-tier-one contingent-convertible (coco) bond. Was the market caught off guard?

  67. BLOG

    The risk in risk-parity strategies 

    Mar 13, 2019 Thomas Verbraken

    Fixed Income , Integrated Risk Management

    Learn More

    The relationship between bonds and equities may be especially important to investors who employ a risk-parity approach. In our analysis, as the bond-equity correlation turned strongly positive, the effect on risk-parity portfolios was much greater than that on traditional 60/40 equity/bond portfolios.

  68. BLOG

    Watching beta in volatile equity markets 

    Mar 12, 2019 Anil Rao

    Equity Themes , Global Investing

    Learn More

    The U.S. equity market ended last year with a historic drawdown, and beta stood out as a driver of the market decline. But what happened when those losses starting reversing in early 2019?

  69. BLOG

    What innovative companies and women on boards have in common 

    Mar 8, 2019 Meggin Thwing Eastman

    ESG Research , Global Investing

    Learn More

    We examined constituents of the MSCI ACWI Index that had been recognized as innovators on one or more annual lists produced by Forbes, Fast Company, MIT Sloan and the Boston Consulting Group between 2015 and 2018.

  70. BLOG

    Are Subprime Auto Loans at a Tipping Point? 

    Mar 4, 2019 Joy Zhang , Yini Yang

    Models/Client Cases , Economic Exposure , Fixed Income

    Learn More

    Investors and the media have lately turned their attention to credit risk in U.S. subprime automotive lending — concerns that increased during the recent market volatility.

  71. BLOG

    Brexit, Black Wednesday and Real Estate's Currency Risk 

    Feb 25, 2019 Niel Harmse

    Real Estate Investing , Global Investing

    Learn More

    When investors buy overseas real estate, they inevitably take on foreign-exchange exposure. The resulting currency-market dislocations resulted in near-term losses for some investors, but also created attractive opportunities for investors to buy real estate exposure in the U.K.

  72. BLOG

    Evaluating Emerging-Market Stocks through a Governance Lens 

    Feb 21, 2019 Raina Oberoi , Anil Rao

    Equity Themes , Emerging Markets , Global Investing

    Learn More

    Emerging-market stocks generally are perceived to have lower governance standards than their developed-market counterparts. Less transparency is one factor behind this view. Some emerging-market companies may also disadvantage minority shareholders. How can active and index-based investors address these issues?

  73. BLOG

    Venezuela and the Specter of Recovery Risk 

    Feb 14, 2019 Hamed Faquiryan , Manuel Rueda

    Fixed Income , Global Investing , Factor Investing

    Learn More

    Venezuela unfortunately finds itself on the verge of political and economic collapse. From the perspective of investors in the country’s sovereign and corporate bonds, recovery risk is now likely a bigger consideration than default risk.

  74. BLOG

    What market volatility has meant for factors 

    Feb 13, 2019 Guillermo Cano

    Factors , Factor Research Group , Factor Investing

    Learn More

    As investors continue to focus on factor investing in periods of heightened volatility, we ask how volatility has affected factor performance.

  75. BLOG

    How mortgage fees affect rates and spreads 

    Feb 7, 2019 Yihai Yu

    Models/Client Cases , Real Estate Investing , Fixed Income

    Learn More

    How could potential changes in U.S. mortgage policy and possible long-term industry trends affect mortgage-related fees and rate spreads?

  76. BLOG

    What Fed monetary policy has meant for factors 

    Feb 6, 2019 Raina Oberoi , Abhishek Gupta

    Factors , Factor Research Group , Factor Investing

    Learn More

    As interest rates in the U.S. started increasing in late 2015, many investors expressed concerns over the impact that rising rates could have on their investments. However, the tone of the U.S. Federal Reserve (the Fed) shifted from “we’re a long way from neutral” in October last year to a more accommodative stance of “we will be patient” early this year, re-emphasizing that expression at the January 2019 Federal Open Market Committee meeting.

  77. BLOG

    2019 emerging real estate trends 

    Feb 5, 2019 Will Robson

    ESG Research , Real Estate Investing , Global Investing

    Learn More

    For real estate investors, 2019 may be a year of adjusting to rapid changes arising from a variety of sources, including environmental, social and governance-related (ESG) risks; geopolitical uncertainty; and disruptive technology.

  78. BLOG

    Should we be surprised by earnings surprises? 

    Feb 1, 2019 Rohit Mendiratta , George Bonne

    Factors , Factor Research Group , Factor Investing

    Learn More

    Early 2019 earnings season has already contained a number of high-profile surprises, such as Facebooks's, but how predictable are these surprises, and what happens when earnings surprises return to trend?

  79. BLOG

    What has affected minimum volatility index performance? 

    Jan 31, 2019 Waman Virgaonkar , Mehdi Alighanbari

    Factor Indexes , Factors , Factor Investing

    Learn More

    As we head further into 2019, some of last year’s concerns, including market volatility and interest-rate uncertainty, continue to occupy investors’ minds. With the assumption that rates-related concerns continue and uncertainty looms in the global equity markets, the question is how minimum volatility indexes behaved in an environment dominated by these two opposing forces.

  80. BLOG

    CDS hedging: exploring all the options 

    Jan 23, 2019 Michael Hayes

    Models/Client Cases , Fixed Income , Risk Management

    Learn More

    The credit-default-swap (CDS) market previously offered a cost-effective means to make short-term hedges or place bets on an individual issuer’s credit.

  81. BLOG

    What would a “No deal” Brexit mean for markets? 

    Jan 17, 2019 Thomas Verbraken

    Global Investing , Integrated Risk Management

    Learn More

    Financial markets are increasingly edgy about prospects for the U.K. Parliament’s expected Dec. 11 vote on a Brexit deal with the European Union.

  82. BLOG

    Brexit and the risks of home bias 

    Jan 11, 2019 Jean-Maurice Ladure

    Economic Exposure , Global Investing

    Learn More

    Every so often, a country can be hit by a negative event — a tidal wave, a terrorist attack, a political uproar.

  83. BLOG

    From credit crunch to liquidity crunch: managing liquidity 

    Jan 10, 2019 András Bohák

    Models/Client Cases , Fixed Income , Risk Management

    Learn More

    Volatility of credit spreads in both emerging- and developed-market debt increased significantly in 2018. Large rises in credit spread levels were followed by increased bid-ask spreads, making it expensive to reduce exposure within a short time frame.

  84. BLOG

    Beaten-down beta 

    Jan 3, 2019 Roman Kouzmenko , Anil Rao

    Factor Investing

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    U.S. and international equity markets fell sharply to close out 2018. The MSCI USA Index fell 15% in the fourth quarter alone. (It fell a total of 6% for the year.) As we previously examined, investors began rotating from cyclical sectors and factors to defensive ones in June. This pattern continued, in earnest, until October.

  85. BLOG

    U.S. real yields: opportunities and warning signs 

    Dec 12, 2018 Andy Sparks

    Fixed Income , Integrated Risk Management

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    Despite the recent rally in the U.S. government bond market, real U.S. bond yields (i.e., nominal yield minus the market-implied rate of inflation) still remain substantially higher than at the beginning of the year. This may be both a blessing and a curse for investors.

  86. BLOG

    Factor investing goes multi-asset class 

    Dec 11, 2018 Peter Shepard

    Factor Indexes , Factors , Factor Investing

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    Factor investing is now going multi-asset class: to factor-based asset allocation and systematic strategy factors that push beyond equity selection.

  87. BLOG

    Investing in convertible bonds when rates rise 

    Nov 30, 2018 Gergely Szalka

    Models/Client Cases , Fixed Income , Risk Management , Integrated Risk Management

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    Is my convertible bond more like a stock or a bond? How can I identify convertible bonds offering protection from rising rates?

  88. BLOG

    What it may mean for Japanese stocks if easy money ends 

    Nov 22, 2018 Naoya Nishimura

    Models/Client Cases , Global Investing , Factor Investing

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    Some observers are concerned that when the Bank of Japan (BOJ) eventually ends its ultra-easy monetary policy, it could hurt the Japanese stock market. Part of this concern stems from the fact that the BOJ’s unconventional monetary policy involves purchasing Japanese exchange-traded funds (ETFs).

  89. BLOG

    Managing MBS risk in a rising rate environment (Part 2) 

    Nov 21, 2018 Yihai Yu

    Fixed Income , Risk Management

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    Will U.S. homeowners slow down the heady prepayment rate on their mortgages — even if interest rates remain unchanged, thus potentially harming returns of mortgage-backed securities (MBS) and extending the duration of these securities?

  90. BLOG

    Small cap allocations may not be that straightforward 

    Nov 20, 2018 Abhishek Gupta

    Global Investing , Factor Investing

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    The low size factor, or the premium that has been historically realized by investing in smaller sized companies over longer time periods, forms an integral component of many institutional portfolios. However, investors can choose different ways to making a low size allocation.

  91. BLOG

    Sector investing in China 

    Nov 14, 2018 Anil Rao

    Emerging Markets , Global Investing , Factor Investing

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    As the China A shares market has evolved, investors have faced new choices. They can continue with broad allocations to the emerging markets (EM), choose slightly narrower allocations to China and other specific EM countries or consider targeted investments within China through a variety of means.

  92. BLOG

    Credit binge hangovers have historically been a challenge 

    Nov 9, 2018 David Zhang

    Fixed Income , Risk Management , Integrated Risk Management

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    Credit spreads and debt issuance are at historical levels, as credit markets show signs of overheating. History has shown that following an overheated credit market, long-term credit returns have been generally weaker, in absolute terms and relative to U.S. Treasurys; particularly for high yield (HY). Given the intensity of past credit binge hangovers, long-term investors may want to review their current asset allocation strategies.

  93. BLOG

    Which factors mattered in China? 

    Nov 7, 2018 Oleg Ruban

    Models/Client Cases , Global Investing , Factor Investing

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    Chinese equity prices have hardly been music to investors’ ears so far in 2018. The MSCI China A Onshore IMI Index — the broadest MSCI A shares index designed to represent the performance of the overall A shares market — has declined more than 25% in local currency terms through Oct. 31, 2018. Were there factors in this market that outperformed?

  94. BLOG

    Equity markets in October – Has the tide turned? 

    Nov 5, 2018 Leon Roisenberg , George Bonne

    Models/Client Cases , Factor Indexes , Factor Investing

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    October’s market sell-off reflected investors’ concerns with the sustainability of economic growth, the longer-term impact of trade tariffs and rising interest rates. In all, it seemed to be a shift away from pro-cyclical themes. Do risks remain for those areas of the market?

  95. BLOG

    Is the bond-equity hedge slipping away? 

    Nov 1, 2018 Michael Hayes , Thomas Verbraken

    Equity Themes , Fixed Income , Integrated Risk Management

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    In October, the 10-year U.S. Treasury yield hit a 7-year high in response to strong economic news, contributing to the second major equity sell-off this year.1 If positive moves in yield continue to drive down equities, this would mean an end to the hedge between stocks and bonds that has been in effect since around 2002. Investors may seek alternative means of diversification, with potentially deep ramifications for strategic asset allocation decisions and multi-asset class strategies.

  96. BLOG

    What drives the capacity of factor index strategies? 

    Oct 30, 2018 Stuart Doole

    Factor Indexes , Factors , Factor Investing

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    As factor investing becomes increasingly “business as usual,” institutional investors have become keenly interested in the ability of strategies that replicate factor indexes to persistently capture desired exposures without compromising exposure to the target factor. We illustrate six index design approaches that can be used to tackle this challenge.

  97. BLOG

    Apples vs. Oranges? Core vs. Opportunistic Real Estate Funds 

    Oct 25, 2018 Amit Nihalani

    Real Estate Investing , Risk Management , Global Investing

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    Real estate investors sometimes treat core and opportunistic funds as if they were different asset classes. They are measured against different benchmarks and comparisons are limited by a lack of consistent data. But a comparison of the two shows that both core and opportunistic funds have similar return profiles — it’s the magnitude of their returns that has varied over time.

  98. BLOG

    Hedge Fund returns: Is fund selection important? 

    Oct 22, 2018 Yang Liu

    Models/Client Cases , Factors , Integrated Risk Management

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    Many investors view hedge funds as a way to generate returns uncorrelated with other parts of the portfolio. We found that performance and sources of performance varied, but that exposure to traditional and factor investing strategies accounted for the majority of a typical hedge fund’s returns. Should hedge fund investors pay particular attention to fund selection?

  99. BLOG

    Are Argentina and Turkey just the first dominoes to fall? 

    Oct 17, 2018 Limin Xiao , Thomas Verbraken

    Emerging Markets , Fixed Income , Risk Management , Integrated Risk Management

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    Argentina and Turkey have experienced sharp corrections in their currency and debt markets over the past couple of months, leading investors to worry about possible contagion to other emerging-market (EM) countries. Are other emerging markets heading in the same direction?

  100. BLOG

    Did FAANG stocks lead the US stock market drop? 

    Oct 15, 2018 Andrei Morozov , Jun Wang

    Factor Investing

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    Fears of a global slowdown have sent U.S. stock markets plummeting recently. Given FAANG stocks (Facebook, Apple, Amazon, Netflix and Google) have been a dominant force in driving U.S. market performance higher over the past few years, did these stocks lead the market’s downward trajectory?

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