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Factor investing research


Peering into peer selection: Quantifying company similarity

Peering into peer selection: Quantifying company similarity

Research paper - Peer selection plays a central role in many aspects of finance. Can we measure relationships between companies from a systematic analysis of data, including fundamentals, news and the text in company filings? And, can we use this information to better understand company relationships and the risks they may bring?

Factor investing in Saudi Arabia: Size matters

Factor investing in Saudi Arabia: Size matters

Blog post - Foreign interest in Saudi Arabia has increased following the easing of foreign-ownership limits and other enhancements to improve market access. As more investors gain experience in this market, we looked at strategies that may have benefited those employing a factor-based approach.

Factors in focus: Risky start. Quality finish.

Factors in focus: Risky start. Quality finish.

Blog post - The latest edition of Factors in Focus highlights the continuing rotation among factors during the first quarter of 2019, including the outperformance of quality and momentum – and looks to the indications from our adaptive multi-factor framework heading into Q2.

Factors and ESG: the truth behind three myths

Factors and ESG: the truth behind three myths

Blog post: Contrary to popular belief, factors and ESG can live together. There may be value in challenging misperceptions about factor investing and ESG that have developed over time. 

What market volatility has meant for factors

What market volatility has meant for factors

Blog post - Last year’s market volatility brought rapidly shifting factor rotation. In the face of continued volatility in 2019, we asked: how have factors performed during periods of low and high volatility? And have target exposures within factor indexes shifted with these regimes?

What Fed monetary policy has meant for factors

What Fed monetary policy has meant for factors

Blog post - With the U.S. Federal Reserve (the Fed) re-emphasizing their “we will be patient” stance at the January 2019 FOMC meeting, investors may be re-assessing their factor allocations. Our analysis looks at which factors have outperformed in different interest rate environments and the implications for asset allocation.

Should we be surprised by earnings surprises?

Should we be surprised by earnings surprises?

Blog post - Earnings season for Q4 2018 yielded some reports that were part of a long streak of surprises, generally in the same direction (consecutives beats or misses). We ask whether there is persistence to earnings surprises, what past surprises have told us about the likelihood of future surprises and how the market has responded.

What has affected minimum volatility index performance?

What has affected minimum volatility index performance?

Blog Post - Market volatility and interest rates uncertainty was the story of 2018. How did minimum volatility indexes behave in environments dominated by these two opposing forces? We compare how the interest-rate environment and market and macro-economic conditions, respectively, have affected min. vol. performance. Which had the greater influence?

Factors in focus: Navigating turbulent markets

Factors in focus: Navigating turbulent markets

Blog post - In this inaugural edition of Factors in Focus, we highlight the fast-moving rotation among factors during 2018 and look to the indications from our adaptive multi-factor framework as 2019 began.

Elements of performance: Factors by MSCI

Elements of performance: Factors by MSCI

Factors are portfolio building blocks capable of turning data points into actionable insights. While the depth of data seems complex, putting Factors by MSCI to work for you couldn’t be any simpler.

MSCI FaCS

MSCI FaCS

Introducing a common language for factors that aims to increase transparency and investors’ understanding of equity portfolios.

Factor investing webinar series

Factor investing webinar series

Factor investing continues to evolve. Our quarterly webinar series keeps you up-to-date on our latest research about the elements of performance.