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  1. BLOG

    Factors behind value’s underperformance 

    Nov 22, 2019 Leon Roisenberg

    Factor Indexes , Factor Investing , Factors

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    As the relationship between U.S. value factors’ exposures and returns deteriorated over the last decade, U.S. momentum’s return patterns improved. We examine the value-momentum relationship and contributions of other style factors to value’s performance.

  2. BLOG

    Back-to-school (momentum) blues? 

    Sep 13, 2019 Leon Roisenberg , George Bonne

    Factor Investing , Models/Client Cases , Factors

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    The U.S. price momentum factor, which we highlighted for elevated crowding scores and vulnerability to negative performance at the end of June, suffered sizable drawdowns in the first seven trading days of September.

  3. BLOG

    Where were the (factor) crowds this summer? 

    Aug 21, 2019 George Bonne , Leon Roisenberg

    Factor Investing , Factors

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    When factors have historically become crowded, they’ve often experienced significant drawdowns in subsequent months. Which factors were relatively crowded at the end of 2018 — and how did they perform in the first half of 2019?

  4. BLOG

    Equity markets in November – Do pro-cyclical risks remain? 

    Dec 19, 2018 George Bonne , Leon Roisenberg

    Models/Client Cases , Factor Indexes , Factor Investing

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    In our recent blog, “Equity markets in October – Has the tide turned?” we highlighted a rotation from pro-cyclical to defensive factors and sectors that began in June and accelerated in October. We also found that crowding in the momentum factor in the U.S. remained high, which suggested continued risks to momentum and other pro-cyclical themes.

  5. BLOG

    Is momentum a crowded trade that is starting to unwind? 

    Aug 29, 2018 George Bonne , Leon Roisenberg

    Models/Client Cases , Factor Indexes , Factor Investing

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    The momentum factor has been on a tear the last year and a half. Is momentum a crowded trade that has started to unwind?