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Showing 1 - 10 of 93 entries

  1. BLOG

    Did Value-Factor Exposure Deliver for Value Funds? 

    Jun 29, 2020 Saurabh Katiyar , Ashish Lodh , Vishad Bhalodia

    Factor Investing , Global Investing

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    Building on previous MSCI research into the nuanced performance of the value factor, including the impact of sectors and other style factors, we look at how exposure to value drove the performance of actively managed value funds.

  2. BLOG

    Short Interest Factor Performance in Times of Crisis 

    Jun 24, 2020 Vipul Jain , Roman Kouzmenko

    Factors , Factor Investing , Global 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?

  3. BLOG

    Outcome-Oriented Factor Investing with a ‘Barbell’ Approach 

    Jun 1, 2020 Zhen Wei , Shuo Xu

    Factor Indexes , Factor Investing , Global Investing

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    Though relatively new to wealth investors, index-based factor investing has some similarity to a high-conviction, outcome-oriented approach. We explore combining the two when seeking outcomes such as equity growth, yield enhancement and risk mitigation.

  4. BLOG

    How Hedge Funds Navigated the Start of COVID-19 Volatility 

    May 8, 2020 Donald Sze , Navneet Kumar

    Factor Investing , Factors , Risk Management

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    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.

  5. BLOG

    Hunting a COVID-19 factor 

    Apr 29, 2020 George Bonne , Jun Wang

    Factor Indexes , Factor Investing , Factors

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    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.

  6. BLOG

    Resilient stocks during the dog days of March 

    Apr 17, 2020 Mehdi Alighanbari

    Factor Investing , Factor Indexes , Factors

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    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.

  7. BLOG

    Can diversification help weather the coronavirus storm? 

    Apr 16, 2020 Raina Oberoi , Abhishek Gupta , Jean-Maurice Ladure

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

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    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. 

  8. BLOG

    Factors in Focus: Risk sentiment and factor dynamics in a crisis 

    Apr 2, 2020 Hitendra D Varsani , Waman Virgaonkar , Rohit Mendiratta

    Factor Indexes , Factor Investing , Factors , Fixed Income

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    We analyzed the market effects from COVID-19 and a Saudi Arabia/Russia oil-price war. We also examined – for the first time – credit factor performance. How did the quarter play out? What did our adaptive multi-factor model show as it ended?

  9. BLOG

    The coronavirus market impact spreads globally 

    Mar 5, 2020 Jun Wang , Jay Yao , George Bonne

    Factor Investing , Global Investing

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    Fear of a coronavirus pandemic and ensuing economic impacts caused sharp drops in global markets after an initially mild response. We look at recent performance from a factor perspective and how quickly factor returns and volatility reverted in past crises.

  10. BLOG

    The coronavirus epidemic: Implications for markets 

    Feb 12, 2020 Zhen Wei , Jun Wang , Thomas Verbraken

    Economic Exposure , Emerging Markets , Factor Investing , Fixed Income , Global Investing , Risk Management

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    The toll from the coronavirus has been felt throughout societies, leading to repercussions on the global economy and financial markets. We examine investor impact through markets’ economic exposures to China and factors and by stress testing portfolios.

Showing 1 - 10 of 93 entries