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Showing 1 - 10 of 69 entries

  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

    Are Momentum’s Wings Finally Starting to Melt? 

    Nov 13, 2020 George Bonne , Jun Wang

    Factor Investing , Factors

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    Positive vaccine news on Nov. 9 caused big moves in industry and style factors. Those hit hardest this year jumped, while previous high performers slumped. Did this mark new factors leadership and a long-awaited rotation from momentum to value?

  3. BLOG

    Using Factors As a Magnifying Glass for Equities 

    Oct 14, 2020 Donald Sze

    Factor Indexes , Factor Investing , Factors

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    Factors 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.

  4. BLOG

    How to Describe a Factor 

    Sep 10, 2020 Abhishek Gupta , Ashish Lodh , Subhajit Barman

    Factor Indexes , Factor Investing , Factors

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    How 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. 

  5. BLOG

    Growth Without the Side Effects 

    Aug 17, 2020 Mehdi Alighanbari

    Factor Indexes , Factor Investing , Factors

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    Growth 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.

  6. 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?

  7. BLOG

    Measuring Firms’ Remote-Workforce Abilities 

    Jul 14, 2020 Howard Zhang , Daniel R. Barrera , Manuel Rueda

    Factor Investing , Factors

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    It’s clear that some companies were better positioned to take advantage of a remote work environment than others. We built a hypothetical “remote-operation capacity” factor to seek to measure the effect on different firms.

  8. 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?

  9. BLOG

    Five lessons for investors from the COVID-19 crisis 

    May 19, 2020 Dimitris Melas

    ESG Research , Factors , Global Investing

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    COVID-19 unleashed a torrent of sharp movements across global financial markets. We highlight five key lessons for investors regarding global investing, managing factors, active management, indexed investing and ESG investing.

Showing 1 - 10 of 69 entries