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Did corporate-credit factors offer a risk-return edge? 

Factor Indexes , Factor Investing , Factors , Fixed Income , Risk Management

Factors have gained popularity in equity investing for providing insight into the key drivers of portfolio risk and returns. Did tilting hypothetical fixed-income portfolios toward some bond-specific factors benefit investors?

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Factors in Focus: Will 2020 vision sharpen exposures? 

Factor Indexes , Factor Investing , Factors

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.

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Factors behind value’s underperformance 

Factor Indexes , Factor Investing , Factors

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.

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Did insider transactions have secrets to tell? 

Factor Investing , Factors , Risk Management

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?

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Beware high dividend yield traps 

Factor Investing , Factors , Risk Management

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?

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Value investing is down. But is it out? 

Factor Indexes , Factor Investing , Factors , Global Investing

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?

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Factors separated fact from fiction 

Factor Indexes , Factor Investing , Factors

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.

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Factors in Focus: Momentum hits a valuation speed bump 

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

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

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

Factor Investing , Factor Research Group , Factors

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.

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Back-to-school (momentum) blues? 

Factor Investing , Models/Client Cases , Factors

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.