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  1. BLOG

    Corporate Bonds Through a Factor and ESG Lens 

    Jul 20, 2020 Rohit Mendiratta , Hitendra D Varsani

    ESG Research , Factor Indexes , Factor Investing , Factors , Fixed Income , Risk Management

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    COVID-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?

  2. BLOG

    Factors in Focus: How Trendy Is Your Style Factor? 

    Jul 6, 2020 Hitendra D Varsani , Waman Virgaonkar , Rohit Mendiratta

    Factor Investing , Risk Management

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    As 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.

  3. BLOG

    Using Derivatives to Manage Volatile Markets 

    May 4, 2020 Hitendra D Varsani , Rohit Mendiratta

    Emerging Markets , Global Investing , Risk Management

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    We’ve previously noted growth in derivatives contracts to manage emerging-markets exposure in normal and stressed times. Now, facing a real-world stress test, how did investors use these tools? How have implied volatilities and option premium changed?

  4. BLOG

    Corporate-bond performance by factors and ESG 

    Apr 14, 2020 Hitendra D Varsani , Rohit Mendiratta

    ESG Research , Factor Indexes , Fixed Income , Risk Management

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    The volatility seen in equity markets was also present among investment-grade corporate bonds,. We use factors and ESG ratings to dissect these bonds’ performance over Q1 2020.

  5. BLOG

    Factors in Focus: Risk sentiment and factor dynamics in a crisis 

    Apr 2, 2020 Hitendra D Varsani , Waman Virgaonkar , Rohit Mendiratta

    Factor Indexes , Factor Investing , Factors , Fixed Income

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    We analyzed the market effects from COVID-19 and a Saudi Arabia/Russia oil-price war. We also examined – for the first time – credit factor performance. How did the quarter play out? What did our adaptive multi-factor model show as it ended?

  6. BLOG

    More than a feeling: Quantifying consumer sentiment 

    Jul 17, 2019 George Bonne , Rohit Mendiratta

    Factor Research Group , Factor Investing , Factors

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

  7. BLOG

    Should we be surprised by earnings surprises? 

    Feb 1, 2019 Rohit Mendiratta , George Bonne

    Factors , Factor Research Group , Factor Investing

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    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?