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How to Describe a Factor 

Factor Indexes , Factor Investing , Factors

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. 

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Growth Without the Side Effects 

Factor Indexes , Factor Investing , Factors

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.

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Corporate Bonds Through a Factor and ESG Lens 

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

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?

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Measuring Firms’ Remote-Workforce Abilities 

Factor Investing , Factors

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.

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Short Interest Factor Performance in Times of Crisis 

Factors , Factor Investing

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?

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Five lessons for investors from the COVID-19 crisis 

ESG Research , Factors , Global Investing

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.

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How Hedge Funds Navigated the Start of COVID-19 Volatility 

Factor Investing , Factors , Risk Management

How did hedge funds navigate the initial volatility amid COVID-19? Though holdings information is limited, and delayed, we gained insights into their reaction by examining the change in hedge-fund portfolios between the end of January and end of February.

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Hunting a COVID-19 factor 

Factor Indexes , Factor Investing , Factors

Can we identify a COVID-19 factor and quantify companies’ exposure to it? We explored three ways to do so — from very simple to more complex methods.

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Resilient stocks during the dog days of March 

Factor Investing , Factor Indexes , Factors

While many stocks were in the red in mid-March, as COVID-19 and oil-market shocks took hold, some were “redder” than others. We examine global markets to better understand the characteristics of the more resilient stocks during this period.

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Can diversification help weather the coronavirus storm? 

Emerging Markets , Factor Indexes , Factor Investing , Factors , Global Investing

Whether investors include a tactical approach or invest strategically for the long term, diversifying across factors, sectors and geographies has historically played an important role in portfolio construction.