COVID-19 disrupted operating models for many businesses, forcing a shift to remote working, digitization and low-contact services, which we term “Remote Operation Capability” (ROC). Using machine learning and natural language processing techniques we built a potential ROC factor that looks at the extent to which a company was able to thrive in this environment.

As markets rallied worldwide, investors took on high-beta exposure and rotated away from stocks with lower risk. The latest edition of Factors in Focus explores the details.

Building on previous MSCI research into the nuanced performance of the value factor, including the impact of sectors and other style factors, we look at how exposure to value drove the performance of actively managed value funds.

How can active managers integrate climate risk in their portfolios? We test four simple exclusion strategies on a sample global equity portfolio, examining their impact on the risk, return and market exposures.

Given recent short interest factor performance, we asked: What has been the relationship between this factor and large market drawdowns? Were there changes in short selling during COVID-19? Did short-selling bans affect short interest factor performance?

Though relatively new to wealth investors, index-based factor investing has some similarity to a high-conviction, outcome-oriented approach. We explore combining the two when seeking outcomes such as equity growth, yield enhancement and risk mitigation.

We investigate the extent to which nonlinearities not captured by standard linear models within equity factor risk models are present. Overall, we found linear models created a robust framework to identify relationships between factor exposures and security returns through simple linear factors or transformed (e.g., polynomial) variants.