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  1. 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.

  2. 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.

  3. BLOG

    Factors separated fact from fiction 

    Oct 16, 2019 George Bonne

    Factor Indexes , Factor Investing , Factors

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    Technological advances have expanded the application of factors. What was the realm of quantitative investors has become more accessible, bringing greater transparency and potential insight into portfolio characteristics and performance drivers.

  4. 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.

  5. 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?

  6. BLOG

    More than a feeling: Quantifying consumer sentiment 

    Jul 17, 2019 George Bonne , Rohit Mendiratta

    Factor Research Group , Factor Investing , Factors

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    Among a flood of alternative data sources, consumer sentiment based on citations online stood out.

  7. BLOG

    Should we be surprised by earnings surprises? 

    Feb 1, 2019 Rohit Mendiratta , George Bonne

    Factors , Factor Research Group , Factor Investing

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    Early 2019 earnings season has already contained a number of high-profile surprises, such as Facebooks's, but how predictable are these surprises, and what happens when earnings surprises return to trend?

  8. 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.

  9. 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?

  10. BLOG

    All FAANGs are not created equal 

    Aug 3, 2018 George Bonne

    Factors , Factor Investing

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    FAANG stocks (Facebook, Apple, Amazon, Netflix and Google) make up nearly 40% of the NASDAQ 100 index, and smaller but significant weights in many others. Commonly grouped as tech stocks or growth companies, it seems reasonable to assume they share many similar characteristics. However, when examined through the lens of performance-driving factors, their characteristics are far from homogeneous.