Showing 11 - 20 of 30 entries
MSCI BlogFactors behind value’s underperformance
As the relationship between U.S. value factors’ exposures and returns deteriorated over the last decade, U.S. momentum’s return patterns improved. We examine the value-momentum relationship and contributions of other style factors to value’s performance.
MSCI BlogValue investing is down. But is it out?
Value stocks generally underperformed the broad U.S. equity market over the past decade — just as they did in the late 1990s. What drove that underperformance? Was it consistent globally? Within U.S. sectors?
MSCI BlogFactors separated fact from fiction
Technological advances have expanded the application of factors. What was the realm of quantitative investors has become more accessible, bringing greater transparency and potential insight into portfolio characteristics and performance drivers.
MSCI BlogFactor investing in Saudi Arabia: size matters
Foreign interest has risen in Saudi Arabia following the easing of foreign-ownership limits. Our analysis shows investors would have benefited by controlling for exposure to small-cap companies.
MSCI BlogWhat has affected minimum volatility index performance?
As we head further into 2019, some of last year’s concerns, including market volatility and interest-rate uncertainty, continue to occupy investors’ minds. With the assumption that rates-related concerns continue and uncertainty looms in the global equity markets, the question is how minimum volatility indexes behaved in an environment dominated by these two opposing forces.
MSCI BlogEquity markets in November – Do pro-cyclical risks remain?
In our recent blog, “Equity markets in October – Has the tide turned?” we highlighted a rotation from pro-cyclical to defensive factors and sectors that began in June and accelerated in October. We also found that crowding in the momentum factor in the U.S. remained high, which suggested continued risks to momentum and other pro-cyclical themes.
MSCI BlogFactor investing goes multi-asset class
Factor investing is now going multi-asset class: to factor-based asset allocation and systematic strategy factors that push beyond equity selection.
MSCI BlogEquity markets in October – Has the tide turned?
October’s market sell-off reflected investors’ concerns with the sustainability of economic growth, the longer-term impact of trade tariffs and rising interest rates. In all, it seemed to be a shift away from pro-cyclical themes. Do risks remain for those areas of the market?
MSCI BlogWhat drives the capacity of factor index strategies?
As factor investing becomes increasingly “business as usual,” institutional investors have become keenly interested in the ability of strategies that replicate factor indexes to persistently capture desired exposures without compromising exposure to the target factor. We illustrate six index design approaches that can be used to tackle this challenge.
MSCI BlogIs momentum a crowded trade that is starting to unwind?
The momentum factor has been on a tear the last year and a half. Is momentum a crowded trade that has started to unwind?