Showing 51 - 60 of 208 entries
MSCI BlogWhat is going on with factor returns?
Value and momentum factors typically move in opposite directions—that is, when one outperforms the market, the other usually underperforms. In June, however, both factors underperformed the market, leading some observers to question whether this change in market behavior is impairing quantitative strategies.
MSCI BlogShould we be surprised by earnings surprises?
Early 2019 earnings season has already contained a number of high-profile surprises, such as Facebooks's, but how predictable are these surprises, and what happens when earnings surprises return to trend?
MSCI BlogUnderstanding Factor Exposures When Markets Become Volatile
How did different equity factors fare during the past week’s market turmoil? When markets are gyrating, it can be difficult to figure out just what is happening. Real-time data provides greater insight into market events as they unfold.
MSCI BlogFactors in Focus: Navigating turbulent markets
In this inaugural Factors in Focus, we highlight the fast-moving rotation among factors that may have impacted investor portfolios during 2018, and we look to indications from our adaptive multi-factor framework. As 2019 began, this framework showed an overweight allocation to minimum volatility and quality, an underweight allocation to value, low size and momentum, and a neutral position on high dividend yield relative to a six-factor equally-weighted mix.
MSCI BlogEquity valuations resist running with the bulls
The U.S. bull market is now the longest in history, leading the way for strong global equity returns over the 10 years since the financial crisis. What does this mean for valuations? We found that while they are high, they have not reached extreme levels. What’s more, there are distinct valuation characteristics across regions, sectors and factors that may create potential investment opportunities.
MSCI BlogVive la Différence: Active Factor Strategies in China A Shares
Clients often ask us whether factor insights can be applied to construct equity portfolios in a particular market. They wonder whether certain market or economic characteristics might prevent factors from working: Different countries and their equity markets are at different stages of development, have different depth and may have dominant sectors.
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 BlogFactor Index Performance in Changing Economic Environments
Institutional investors have historically been concerned over the changing state of the economy and its impact on their investments whether it was about "Abenomics" or "taper tantrums." As a result, we are noting that they are increasingly taking changing macroeconomic conditions into consideration for their asset allocations.
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 BlogDid Size Matter for Small-Cap Outperformance?
Good vaccine news on Nov. 9 drove unusual equity-index and factor returns, including in small caps. The MSCI USA Small Cap Index returned 3.03% that day vs. 0.82% for the MSCI USA Index. Was this due to the size factor, or was there a bigger story?