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  1. BLOG

    Did Size Matter for Small-Cap Outperformance? 

    Nov 16, 2020 Roman Kouzmenko

    Factor Indexes , Factor Investing , Factors

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    Good 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?

  2. BLOG

    Short Interest Factor Performance in Times of Crisis 

    Jun 24, 2020 Vipul Jain , Roman Kouzmenko

    Factors , Factor Investing

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    Given 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?

  3. BLOG

    Did insider transactions have secrets to tell? 

    Nov 19, 2019 Vipul Jain , Roman Kouzmenko

    Factor Investing , Factors , Risk Management

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    Company insiders’ trading of their company’s stock is usually subject to strict rules, including public disclosure. Did observing insider transactions provide more information about expected company performance than traditional sources?

  4. BLOG

    Have regional equity-market correlations risen? 

    Nov 15, 2019 Guido Giese , Roman Kouzmenko

    Global Investing

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    Global equity investors use regions as building blocks in asset allocation, typically segregating markets by how developed they are and by geography. Has globalization reduced the potential for geographical portfolio diversification?