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.

The transition to a low-carbon economy could significantly redirect the flow of investments toward greener companies and technologies that limit carbon emissions. We consider the potential risk — and opportunity — for bond investors.

Global real estate investors can expose themselves to currency risk. Using a hedged index, they may better align their benchmark and investment approach and ensure currency risk is accurately treated in allocation modeling and performance attribution.

China’s rise in economic influence, market size, improved market accessibility and inclusion in global indexes have led more investors to consider a dedicated China allocation. In the first of our “Foundations of Dedicated China Allocations” series, we discuss investment policy and asset allocation as investors think through setting up such a program.

In 2020, the Federal Reserve’s purchases of mortgage-backed securities, low interest rates, mortgage-underwriting policy changes and technology advancements led to a historic refinance frenzy and posed an unprecedented challenge for MBS risk management.

ESG ETF strategies saw record inflows in 2020, driven by demand from asset owners looking to increase ESG integration and transparency across their portfolios. In our first quarterly report analyzing ESG funds, we found that ESG ETFs saw flows in excess of USD 75 billion, more than three-times that of the year prior.

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.

An issuer’s credit spread should be consistent when measured in the USD- or EUR-denominated markets, because both are measuring the same credit risk. Yet divergence can occur as a result of liquidity or supply-demand imbalances, such as those in the COVID crisis.