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Securitized Products’ LIBOR Transition Picking Up Pace 

Fixed Income

In 2021, there has been significant progress in the transition from the LIBOR reference rate to its replacement, SOFR. But investors in securitized products are grappling with the challenge of the LIBOR-SOFR transition and its impact on their analytics.

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CDS Fading as a Measure of Value in Emerging Markets 

Fixed Income

Credit investors use spreads to compare relative value and risk. Studies of emerging-market sovereign debt have shown that credit-default swaps tended to be a better measure of value than spreads computed from bonds. But is it still the case?

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Factor Investing Held in High-Volatility/-Concentration Period 

Factor Indexes , Factors , Risk Management

U.S. equity markets have experienced increased volatility coupled with concentration in a handful of megacap companies. Has this hampered investors’ ability to capture factors effectively? Have stock-specific risks dominated factor indexes?

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Some ESG Funds Are Not Like the Others 

ESG Research , Global Investing

ESG funds’ holdings can vary significantly, depending on their objectives, methodologies and geographic exposures. We examined the 20 largest equity funds in our coverage universe.

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Could Investment Grade Be as Risky as High Yield? 

Fixed Income , Risk Management

Do high-yield and investment-grade bonds carry the same level of risk? For investors using common measures like value-at-risk models, IG- and HY-bond portfolios’ risk levels appear to have converged. But traditional models may miss important aspects of HY risk.

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Innovation Remix: Adding Thematics to Equity Programs 

Equity Themes , Factor Indexes , Global Investing

How can investors incorporate transformative, but volatile thematic investments while seeking to control for valuation and total and active risk? We examine three approaches that improved a portfolio’s “innovation profile” with modest changes to risk.

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Long-Horizon Risk: The Past 50 Years 

Fixed Income , Risk Management

For long-horizon investors that aim to ride out volatility, short-term risk measures may be insufficient. We used multiperiod stress testing to evaluate one- and five-year returns of hypothetical multi-asset-class portfolios using 50 years of history.

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Including Microcaps in Benchmark Indexes: Japan vs. US 

Equity Themes , Global Investing , Factor Investing

Selecting an equity benchmark may mean balancing market coverage and investability. For example, exhaustive coverage may include microcap stocks, with lower liquidity and investment capacity. But excluding them may reduce low-size-premium exposure.

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Reopening Economies and the Resurgence in Value 

Factor Indexes , Global Investing , Factor Investing

After 15 years of challenging performance, many have asked if value is still a valid investment strategy. But the reopening of the global economy following vaccination rollouts has reignited interest across stocks, sectors, countries and regions.

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Open- vs. Closed-End Real Estate Funds: How the Choice Mattered 

Real Estate Investing

The aggregate performance of closed- and open-end real estate funds in the U.S. was strikingly similar in recent years, despite large differences in their strategy and roles in portfolios. But did some investors gain an edge through fund selection?