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Factors in Focus: Value Springs into Action
Apr 6, 2021 Hitendra D Varsani , Waman VirgaonkarFactor 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 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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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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Considerations for Dedicated China Equity Allocations
Mar 18, 2021 Zhen WeiEmerging Markets , Global Investing
Learn MoreChina provides global equity investors a unique set of opportunities and challenges as they evaluate a potential dedicated investment program and how to approach asset allocation from policy configuration to portfolio implementation.
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Managing the Risks of LIBOR Replacement
Mar 17, 2021 Greg Scheuer , Maks OksFixed Income , Risk Management , Global Investing
Learn MoreInvestors now have clarity on the process of transitioning away from LIBOR and falling back on replacement benchmark rates. We used stress tests to show that fallback modeling may be necessary to measure and manage the risks of LIBOR instruments.
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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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How Inflation Could Affect Multi-Asset-Class Portfolios
Mar 3, 2021 Thomas Verbraken , Daniel SzaboReal Estate Investing , Fixed Income , Global Investing , Integrated Risk Management
Learn MoreMarket participants are hotly debating whether U.S. monetary and fiscal policy may cause inflation. We consider four scenarios — reflation, disinflation, an overheated economy and stagflation — and their potential impact on multi-asset-class portfolios.
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How Have Stocks Responded to Changes in Climate Policy?
Mar 1, 2021 Guido Giese , Zoltán Nagy , Bruno RauisESG Research , Global Investing
Learn MoreTo what extent has climate risk been priced into equity markets? Is there a “brown” discount and a “green” premium? Has this shifted over time? How can we model such risks as the world moves toward net-zero targets? We examine the financial impact of climate transition risk on global equity markets.
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Factoring in ESG
Feb 26, 2021 Guillermo Cano , Simon MinovitskyESG Research , Factor Investing , Factors
Learn MoreHow 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.
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