We looked at ways to mitigate some of the performance drag of stock-specific risk on value strategies over the last decade by directly controlling for this risk without negatively affecting value-factor exposures or contributions.

We present a framework to analyze market-capitalization-weighted indexes’ role in setting equity-risk-premium and capital-market expectations. It breaks return drivers into dividend yield, sales-per-share growth, profit margin and valuation change.

For real estate investors, property type and geography segmentations are the primary lens through which they measure and manage their portfolios. Testing five potential real estate style factors, however, were we able to better explain asset-level variation.

Throughout the third quarter, investors shifted attention to risks from inflation, tapering and potential interest-rate rises. We analyze global equities and the rotation toward defensive factors.

We expand on our analysis of industry momentum to assess the persistence of a premium across different regions and the ability of a rules-based strategy to help investors as they seek to capture this premium.

For investors who use yield strategies to generate income, a steady stream of dividend payments is important. But with more companies using buybacks as a way to redistribute profits, investors may want to consider a more holistic view of income.

To what extent has climate risk been priced into equity markets? How can we model such risks as the world moves toward net-zero targets? We show how climate has increased in importance in the last two years, with potential long-term implications for understanding equity markets.

Factor investing typically involves both security selection and alternative weighting based on security-level factor exposure. If such a strategy also needs to be climate-aware, what is the cost in terms of target-factor erosion?