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?

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.

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.

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. 

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?

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.

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.

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?

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.