We examine considerations when constructing single-factor portfolios: starting from a security universe with fixed target-market-cap coverage or fixed number of securities; assessing factor exposure on single or multiple factor descriptors: choosing how broad a subset to use from the underlying universe; and determining the pros and cons of different portfolio-weighting schemes.

COVID-19 has had a profound impact on how companies manage cash flows and liquidity. Bond investors face the possibility of increased leverage, rating downgrades and defaults. Can factors and ESG metrics shed light on these risks?

It’s clear that some companies were better positioned to take advantage of a remote work environment than others. We built a hypothetical “remote-operation capacity” factor to seek to measure the effect on different firms.

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?