Extended-lister

Filters
 

TAGS

Nothing was found.

Showing 21 - 30 of 96 entries

  1. 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.

  2. 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?

  3. BLOG

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

    Sep 20, 2019 Shubhangi Sharma , Mehdi Alighanbari

    Factor Investing , Factor Research Group , Factors

    Learn More

    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.

  4. BLOG

    Back-to-school (momentum) blues? 

    Sep 13, 2019 Leon Roisenberg , George Bonne

    Factor Investing , Models/Client Cases , Factors

    Learn More

    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.

  5. 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.

  6. 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?

  7. 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.

  8. 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.

  9. 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.

  10. 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.

Showing 21 - 30 of 96 entries