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Extended-lister
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In today’s low-rate world, some investors shifted toward historically higher-yielding equities. For others, especially in the insurance industry, the greater risk limited their ability to do so. Was a minimum-variance equity approach a viable option?
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Momentum, by definition, rotates into securities with recent outperformance. That said, investors who view value and momentum as contra-signals may have questions about the value-momentum convergence and the divergence of momentum and growth.
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Whether constructing a fundamental factor model, a value strategy or a value index, valuation ratios need context. Time-series and cross-sectional approaches each have pros and cons. But combining the two may have presented a clearer picture.
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BLOG
Including Microcaps in Benchmark Indexes: Japan vs. US
Apr 7, 2021 Naoya NishimuraEquity Themes , Global Investing , Factor Investing
Learn MoreSelecting 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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Factors in Focus: Value Springs into Action
Apr 6, 2021 Waman Virgaonkar , Hitendra D Varsani , Hitendra VarsaniFactor Indexes , Fixed Income , Factor Investing
Learn MoreValue has historically outperformed in economic recoveries. With the reopening of the global economy we examined value’s performance against other factors, and exposures from our adaptive multi-factor model at the end of Q1.
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Reopening Economies and the Resurgence in Value
Mar 31, 2021 Waman Virgaonkar , Hitendra D Varsani , Hitendra VarsaniFactor Indexes , Global Investing , Factor Investing
Learn MoreAfter 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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BLOG
Value-Performance Anxiety
Mar 23, 2021 Mehdi Alighanbari , Saurabh KatiyarGlobal Investing , Factor Investing
Learn MoreDespite a recent performance lift, many still ask whether the value factor is broken. We analyze the reasons behind its underperformance and start exploring the potential of updates to value definitions and approaches to value-portfolio construction.
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The Pace of Fast Change: Growth vs. Thematic Investing
Mar 16, 2021 Anil Rao , Stuart DooleFactor Indexes , Factors , Global Investing , Factor Investing
Learn MoreInvestors considering thematic investments to gain exposure to firms whose fortunes may not be captured by fundamental growth measures, may ask: What are the key opportunities – and challenges – that distinguish thematic from growth investing?
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Hedge funds held heavy, relatively illiquid short positions in crowded stocks before the January 2021 short squeeze. We created a risk factor that added explanatory power and may provide insights into potential short squeezes and other risks.
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BLOG
Are Growth and Value Indexes Still in Style?
Mar 9, 2021 Guillermo Cano , Abhishek GuptaFactor Investing , Risk Management , Global Investing
Learn MoreGrowth and value indexes were created in the 1980s as finer tools than market-cap indexes to measure the performance of growth and value funds. Are style-specific indexes still a relevant choice to use as benchmarks for these funds?
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