Breadcrumb
Extended-lister
-
BLOG
Finding the Sentiment Hidden in Regulatory Filings
Feb 24, 2021 Vipul Jain , Kunal Jha Learn MoreUsing natural language processing techniques, we constructed a sentiment factor that quantifies changes in the tone and content of company filings, and may be an indicator of future risks facing a company.
-
How does one identify or quantify a bubble? We propose a framework for assessing the “bubbliness” of stocks and portfolios, rooted in the idea that bubbles are driven by the same forces, and share characteristics with crowded trades.
-
BLOG
Carrying on Through a Crisis, with Factors
Jan 13, 2021 Andrew DeMond , Manuel RuedaFactor Investing , Risk Management , Fixed Income
Learn MoreFactors have long had a place in constructing equity portfolios, but investors increasingly use factors in sovereign and corporate bonds, commodities and currencies. Which non-equity factors have been the best performers coming out of recent crises, and why?
-
BLOG
Factors in Focus: Val-come Back! Shifting Factors as the Cycle Turns
Jan 6, 2021 Hitendra D Varsani , Waman Virgaonkar Learn MoreIn this two-year-anniversary edition of Factors in Focus, we reflect on the historical relationships between factor returns and macro cycles, which have provided useful information for investors looking to take an active stance on factor exposures based on their outlook.
-
BLOG
The Doctor Is Making House Calls: Capturing Exposure to Telehealth
Dec 16, 2020 Manuel Rueda , Gaurav TrivediFactor Investing , ESG Research
Learn MoreTelehealth has the potential to reduce inequalities in access to care as well as relieve strain on health systems. We tested an approach that combines natural-language processing and MSCI ESG Ratings screens.
-
BLOG
Investor Reaction to US Elections and COVID-Vaccine Progress
Nov 18, 2020 Dimitris Melas , David Lunsford , Andy SparksFactor Investing , Risk Management , ESG Research
Learn MoreTo gauge investor expectations after Joe Biden was declared winner of the U.S. election and good news broke about COVID vaccines, we surveyed 151 U.S.-based financial advisers. We examine the advisers’ views on the next 12 months and markets’ reaction since Election Day.
-
BLOG
Did Size Matter for Small-Cap Outperformance?
Nov 16, 2020 Roman KouzmenkoFactor Indexes , Factor Investing , Factors
Learn MoreGood vaccine news on Nov. 9 drove unusual equity-index and factor returns, including in small caps. The MSCI USA Small Cap Index returned 3.03% that day vs. 0.82% for the MSCI USA Index. Was this due to the size factor, or was there a bigger story?
-
Positive vaccine news on Nov. 9 caused big moves in industry and style factors. Those hit hardest this year jumped, while previous high performers slumped. Did this mark new factors leadership and a long-awaited rotation from momentum to value?
-
BLOG
How Portfolio-Weighting Schemes Affected Factor Exposures
Oct 15, 2020 Abhishek Gupta , Ashish Lodh , Subhajit BarmanFactor Investing , Factor Indexes , Factors , Risk Management
Learn MoreSingle-factor portfolios seek high exposure to a target factor and limited exposure to non-target ones. We assess the impact that common portfolio weighting schemes have on these exposures, as well as on portfolio efficiency, concentration and investability.
-
BLOG
Using Factors As a Magnifying Glass for Equities
Oct 14, 2020 Donald SzeFactor Indexes , Factor Investing , Factors
Learn MoreFactors have been shown to be important systematic sources of risk and return. We examine how factor analysis can help identify investment characteristics that lie beneath the surface of seemingly similar stocks and equity portfolios.
Regulation
Cookie Preferences
Accept all cookies
This website uses cookies to remember users and understand ways to enhance their experience.
For more information, please visit our Cookie Notice.
Strictly Necessary, Functionality and Performance Cookies
We use cookies to enable you to move around our website and use its features, to provide you with functionality by remembering choices you make and provide enhanced features, and to learn how our website is performing and make improvements.
For more information, please visit our Cookie Notice.