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Showing 61 - 66 of 66 entries

  1. BLOG

    バリュエーションは将来のファクターのリターンを説明するのか?(しないのか?) 

    Oct 10, 2016 Chin Ping Chia

    Factors

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    低ボラティリティ・ファクターの相対的バリュエーションの上昇、そして同時に起きているバリュー・ファクターの低下により、機関投資家は自らのエクスポージャーをシステマティックな戦略にタイミングを取って変更することに意味があるかどうか悩んでいる。要するに、投資家がバリューに資金を振り向けけたい思うほど、バリューは(市場対比で)割安になっているのか?そして、相対的に割高な低ボラティリティから、投資家は資金を引き上げるべきか?ということである。

  2. BLOG

    Which Factors Are More Time-Sensitive? 

    Sep 28, 2016 Dimitris Melas

    Factors

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    Hedge funds and other investors who manage portfolios that rebalance frequently face a challenge when it comes to the use of factors for trading, hedging and risk monitoring: Which factors tend to break down over time?

  3. BLOG

    What a Fed rate hike may mean for U.S. equity portfolios 

    Sep 28, 2016 Raman Aylur Subramanian

    Equity Themes , Factors

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    With the U.S. Federal Reserve expected to raise interest rates before the end of the year, institutional investors are focused on how an increase may impact their portfolios, including how different equity style and industry factors perform in different interest-rate regimes.

  4. BLOG

    What valuations tell us (and don’t tell us) about future factor returns 

    Sep 14, 2016 Chin Ping Chia

    Factors

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    A rise in relative valuation of the low volatility factor and a concurrent fall-off in the value factor have led some institutional investors to wonder anew whether it makes sense to time their exposures to systematic strategies. In short, has value become so cheap (relative to the market) that investors may want to pivot toward it? And does a relatively rich valuation for minimum volatility tell investors it’s time to back off?

  5. BLOG

    TILTING TO U.S. SMALL CAPS: USING MSCI ANALYTICS IN PORTFOLIO CONSTRUCTION 

    May 15, 2015 Raman Aylur Subramanian

    Factors

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    U.S. cap-weighted, small-cap benchmarks have historically displayed structural biases that affect performance. For example, small-cap indexes have sector, revenue and style tilts compared to the broad U.S. market.

  6. BLOG

    U.S. MARKET BRIEF- MOMENTUM STRATEGIES OUTPERFORMED IN A VOLATILE MONTH 

    Feb 2, 2015 Mehmet Bayraktar

    Factors

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    January saw the return of volatility to the U.S. equity market. A confluence of factors led to this uncertainty: Investors were faced with the influence of a stronger dollar and the effect of lower oil prices on corporate earnings growth.

Showing 61 - 66 of 66 entries