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Showing 1 - 10 of 58 entries

  1. BLOG

    Active-Management Opportunities in a Disperse Market 

    Jul 13, 2021

    Factor Investing

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    Disperse markets have historically provided opportunities for active managers to outperform their respective benchmarks. We showed that, based on historical trends, CSV helped shed light on identifying where the dispersion was greatest.

  2. BLOG

    The Theory of (Value) Relativity 

    May 5, 2021 Waman Virgaonkar , Mehdi Alighanbari

    Factor Investing

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    Whether constructing a fundamental factor model, a value strategy or a value index, valuation ratios need context. Time-series and cross-sectional approaches each have pros and cons. But combining the two may have presented a clearer picture. 

  3. BLOG

    Factor Investing Held in High-Volatility/-Concentration Period 

    Apr 23, 2021 Abhishek Gupta , Ashish Lodh

    Factor Indexes , Factors , Risk Management

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    U.S. equity markets have experienced increased volatility coupled with concentration in a handful of megacap companies. Has this hampered investors’ ability to capture factors effectively? Have stock-specific risks dominated factor indexes?

  4. BLOG

    Some ESG Funds Are Not Like the Others 

    Apr 19, 2021 Rumi Mahmood

    ESG Research , Global Investing

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    ESG funds’ holdings can vary significantly, depending on their objectives, methodologies and geographic exposures. We examined the 20 largest equity funds in our coverage universe.

  5. BLOG

    Could Investment Grade Be as Risky as High Yield? 

    Apr 16, 2021 András Bohák , Andras Rokob

    Fixed Income , Risk Management

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    Do high-yield and investment-grade bonds carry the same level of risk? For investors using common measures like value-at-risk models, IG- and HY-bond portfolios’ risk levels appear to have converged. But traditional models may miss important aspects of HY risk.

  6. BLOG

    Innovation Remix: Adding Thematics to Equity Programs 

    Apr 14, 2021 Anil Rao , Raman Aylur Subramanian , Subramanian Aylur

    Equity Themes , Factor Indexes , Global Investing

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    How can investors incorporate transformative, but volatile thematic investments while seeking to control for valuation and total and active risk? We examine three approaches that improved a portfolio’s “innovation profile” with modest changes to risk.

  7. BLOG

    Long-Horizon Risk: The Past 50 Years 

    Apr 13, 2021 Monika Szikszai , Thomas Verbraken

    Fixed Income , Risk Management

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    For long-horizon investors that aim to ride out volatility, short-term risk measures may be insufficient. We used multiperiod stress testing to evaluate one- and five-year returns of hypothetical multi-asset-class portfolios using 50 years of history.

  8. BLOG

    Including Microcaps in Benchmark Indexes: Japan vs. US 

    Apr 7, 2021 Naoya Nishimura

    Equity Themes , Global Investing , Factor Investing

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    Selecting an equity benchmark may mean balancing market coverage and investability. For example, exhaustive coverage may include microcap stocks, with lower liquidity and investment capacity. But excluding them may reduce low-size-premium exposure.

  9. BLOG

    Reopening Economies and the Resurgence in Value 

    Mar 31, 2021 Waman Virgaonkar , Hitendra D Varsani , Hitendra Varsani

    Factor Indexes , Global Investing , Factor Investing

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    After 15 years of challenging performance, many have asked if value is still a valid investment strategy. But the reopening of the global economy following vaccination rollouts has reignited interest across stocks, sectors, countries and regions.

  10. BLOG

    Open- vs. Closed-End Real Estate Funds: How the Choice Mattered 

    Mar 30, 2021 Bryan Reid , Luis O’Shea , Bert Teuben , Luis O’shea

    Real Estate Investing

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    The aggregate performance of closed- and open-end real estate funds in the U.S. was strikingly similar in recent years, despite large differences in their strategy and roles in portfolios. But did some investors gain an edge through fund selection?

Showing 1 - 10 of 58 entries