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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?
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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.
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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.
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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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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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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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Hunting a COVID-19 factor
Apr 29, 2020 George Bonne , Jun WangFactor Indexes , Factor Investing , Factors
Learn MoreCan we identify a COVID-19 factor and quantify companies’ exposure to it? We explored three ways to do so — from very simple to more complex methods.
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Resilient stocks during the dog days of March
Apr 17, 2020 Mehdi AlighanbariFactor Investing , Factor Indexes , Factors
Learn MoreWhile many stocks were in the red in mid-March, as COVID-19 and oil-market shocks took hold, some were “redder” than others. We examine global markets to better understand the characteristics of the more resilient stocks during this period.
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Can diversification help weather the coronavirus storm?
Apr 16, 2020 Raina Oberoi , Abhishek Gupta , Jean-Maurice LadureEmerging Markets , Factor Indexes , Factor Investing , Factors , Global Investing
Learn MoreWhether investors include a tactical approach or invest strategically for the long term, diversifying across factors, sectors and geographies has historically played an important role in portfolio construction.
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