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Showing 1 - 10 of 53 entries

  1. BLOG

    Factors in Focus: Will 2020 vision sharpen exposures? 

    Jan 6, 2020 Waman Virgaonkar , Hitendra D Varsani

    Factor Indexes , Factor Investing , Factors

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    Some global equity markets reached all-time highs and experienced limited bouts of volatility over the course of 2019. But underneath the calm surface, we saw a high degree of dispersion among factors and sectors.

  2. BLOG

    Factors behind value’s underperformance 

    Nov 22, 2019 Leon Roisenberg

    Factor Indexes , Factor Investing , Factors

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    As the relationship between U.S. value factors’ exposures and returns deteriorated over the last decade, U.S. momentum’s return patterns improved. We examine the value-momentum relationship and contributions of other style factors to value’s 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

    Beware high dividend yield traps 

    Oct 25, 2019 Jean-Maurice Ladure , Ashish Lodh , Saurabh Katiyar

    Factor Investing , Factors , Risk Management

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    During low interest-rate, high-volatility environments, some investors have turned to high dividend-paying stocks. However, overly simplistic approaches to selecting dividend-paying securities exposed investors to potential “yield traps.” Could these traps have been avoided?

  5. BLOG

    Value investing is down. But is it out? 

    Oct 23, 2019 Anil Rao , Abhishek Gupta

    Factor Indexes , Factor Investing , Factors , Global Investing

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    Value stocks generally underperformed the broad U.S. equity market over the past decade — just as they did in the late 1990s. What drove that underperformance? Was it consistent globally? Within U.S. sectors?

  6. BLOG

    Factors separated fact from fiction 

    Oct 16, 2019 George Bonne

    Factor Indexes , Factor Investing , Factors

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    Technological advances have expanded the application of factors. What was the realm of quantitative investors has become more accessible, bringing greater transparency and potential insight into portfolio characteristics and performance drivers.

  7. BLOG

    Factors in Focus: Momentum hits a valuation speed bump 

    Oct 3, 2019 Waman Virgaonkar , Hitendra D Varsani

    Factor Investing , Factors , Models/Client Cases , Risk Management

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    The momentum-value spread saw one of the largest corrections in history over the summer. What does our model show going forward?

  8. BLOG

    Growth’s recent outperformance was and wasn’t an anomaly 

    Sep 20, 2019 Shubhangi Sharma , Mehdi Alighanbari

    Factor Investing , Factor Research Group , Factors

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    Growth strategies have outperformed value strategies in recent years. Is growth’s recent performance an anomaly when we look at it in a long-term context? The answer: It depends on what you mean by a growth strategy.

  9. BLOG

    Back-to-school (momentum) blues? 

    Sep 13, 2019 Leon Roisenberg , George Bonne

    Factor Investing , Models/Client Cases , Factors

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    The U.S. price momentum factor, which we highlighted for elevated crowding scores and vulnerability to negative performance at the end of June, suffered sizable drawdowns in the first seven trading days of September.

Showing 1 - 10 of 53 entries