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Showing 1 - 10 of 108 entries

  1. BLOG

    Including Microcaps in Benchmark Indexes: Japan vs. US 

    Apr 7, 2021 Naoya Nishimura

    Equity Themes , Global Investing , Factor Investing

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    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.

  2. BLOG

    Factors in Focus: Value Springs into Action 

    Apr 6, 2021 Hitendra D Varsani , Waman Virgaonkar

    Factor Indexes , Fixed Income , Factor Investing

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    Value 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. 

  3. BLOG

    Reopening Economies and the Resurgence in Value 

    Mar 31, 2021 Waman Virgaonkar , Hitendra D Varsani

    Factor Indexes , Global Investing , Factor Investing

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    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.

  4. BLOG

    Value-Performance Anxiety 

    Mar 23, 2021 Mehdi Alighanbari , Saurabh Katiyar

    Global Investing , Factor Investing

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    Despite 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.

  5. BLOG

    The Pace of Fast Change: Growth vs. Thematic Investing 

    Mar 16, 2021 Anil Rao , Stuart Doole

    Factor Indexes , Factors , Global Investing , Factor Investing

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    Investors 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?

  6. BLOG

    Is There a Hedge-Fund-Crowding Factor? 

    Mar 10, 2021 Howard Zhang , George Bonne

    Factor 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.

  7. BLOG

    Are Growth and Value Indexes Still in Style? 

    Mar 9, 2021 Guillermo Cano , Abhishek Gupta

    Factor Investing , Risk Management , Global Investing

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    Growth 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?

  8. BLOG

    Factoring in ESG 

    Feb 26, 2021 Guillermo Cano , Simon Minovitsky

    ESG Research , Factor Investing , Factors

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    How much does ESG contribute to portfolio risk and return? We looked at whether ESG performance was influenced by other factors or helped explain returns as a factor in its own right, using the MSCI Global Equity Factor Model + ESG.

  9. BLOG

    Finding the Sentiment Hidden in Regulatory Filings 

    Feb 24, 2021 Vipul Jain , Kunal Jha

    Factor Investing

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    Using natural language processing techniques, we constructed a sentiment factor that quantifies changes in the tone and content of company filings, and may be an indicator of future risks facing a company.

  10. BLOG

    Are (Stock) Bubbles Rising? 

    Feb 12, 2021 George Bonne , Howard Zhang , Jay Yao

    Factor Investing

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    How does one identify or quantify a bubble? We propose a framework for assessing the “bubbliness” of stocks and portfolios, rooted in the idea that bubbles are driven by the same forces, and share characteristics with crowded trades.

Showing 1 - 10 of 108 entries