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Factors in Focus: Impact of Inflation on Style Factors
Oct 2, 2020 Hitendra D Varsani , Waman VirgaonkarFactor Investing , Global Investing , Risk Management
Learn MoreGlobal equities continued to rally in Q3, brushing aside fear of a second wave of COVID-19 and a large economic slump. We review what it meant from an equity and fixed-income factor perspective and look at what our models showed headed into Q4
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How to Describe a Factor
Sep 10, 2020 Abhishek Gupta , Ashish Lodh , Subhajit BarmanFactor Indexes , Factor Investing , Factors
Learn MoreHow to define a factor? It’s a challenge for asset owners and wealth managers in evaluating how well factor products meet investment objectives. We found an improved and more robust measure can be formed by combining multiple descriptors.
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Understanding the Industry-Momentum Factor
Aug 19, 2020 Alex Johnson , Simon MinovitskyFactor Investing , Risk Management , Global Investing
Learn MoreWhen COVID-19 first swept through global equity markets, many factors exhibited unprecedented performance swings. How could institutional investors interpret the industry-momentum factor’s moves in the context of the underlying market dynamics?
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Growth Without the Side Effects
Aug 17, 2020 Mehdi AlighanbariFactor Indexes , Factor Investing , Factors
Learn MoreGrowth has sometimes been viewed as the opposite of value. By extending the concept of growth at a reasonable price, we were able to capture the growth premium without it being lost to unintended factor exposures.
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Corporate Bonds Through a Factor and ESG Lens
Jul 20, 2020 Rohit Mendiratta , Hitendra D VarsaniESG Research , Factor Indexes , Factor Investing , Factors , Fixed Income , Risk Management
Learn MoreCOVID-19 has had a profound impact on how companies manage cash flows and liquidity. Bond investors face the possibility of increased leverage, rating downgrades and defaults. Can factors and ESG metrics shed light on these risks?
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Measuring Firms’ Remote-Workforce Abilities
Jul 14, 2020 Howard Zhang , Daniel R. Barrera , Manuel Rueda Learn MoreIt’s clear that some companies were better positioned to take advantage of a remote work environment than others. We built a hypothetical “remote-operation capacity” factor to seek to measure the effect on different firms.
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Factors in Focus: How Trendy Is Your Style Factor?
Jul 6, 2020 Hitendra D Varsani , Waman Virgaonkar , Rohit MendirattaFactor Investing , Risk Management
Learn MoreAs markets rallied worldwide, investors took on high-beta exposure and rotated away from stocks with lower risk. The latest edition of Factors in Focus explores the details.
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Did Value-Factor Exposure Deliver for Value Funds?
Jun 29, 2020 Saurabh Katiyar , Ashish Lodh , Vishad BhalodiaFactor Investing , Global Investing
Learn MoreBuilding on previous MSCI research into the nuanced performance of the value factor, including the impact of sectors and other style factors, we look at how exposure to value drove the performance of actively managed value funds.
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Short Interest Factor Performance in Times of Crisis
Jun 24, 2020 Vipul Jain , Roman Kouzmenko Learn MoreGiven recent short interest factor performance, we asked: What has been the relationship between this factor and large market drawdowns? Were there changes in short selling during COVID-19? Did short-selling bans affect short interest factor performance?
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Outcome-Oriented Factor Investing with a ‘Barbell’ Approach
Jun 1, 2020 Zhen Wei , Shuo XuFactor Indexes , Factor Investing , Global Investing
Learn MoreThough relatively new to wealth investors, index-based factor investing has some similarity to a high-conviction, outcome-oriented approach. We explore combining the two when seeking outcomes such as equity growth, yield enhancement and risk mitigation.
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