Blog Post - 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.

Blog Post - Many institutional investors have long viewed China A shares as an inefficient market, suggesting that active strategies such as stock-picking can thrive. However, researching a universe of over 3,500 stocks comes with huge challenges, and may lead investors to question whether factor-based systematic strategies could have worked well with China A shares. 

Research Paper - Can factor insights be applied to construct equity portfolios in the China A shares market? With the partial inclusion of China A shares in the MSCI Emerging Markets Index, we explore whether the China A shares market has distinctive characteristics that lend themselves to factor investing strategies.

Research Paper - Making allocations to individual factors typically requires strong investment beliefs, as factor returns have been cyclical in nature. When evaluating multi-factor indexed approaches, institutional investors often consider both bottom-up or top-down options. We weigh the attractions of both in terms of their level of exposure to the target factors as well as their capacity and investability profiles.

Research Paper - Given the growing popularity of factor investing, capacity is now becoming a key issue for these strategies. How much capital can be invested in these strategies without impairing returns? We suggest six ways that factor investors can modify their strategies to reduce their factor footprint, while still capturing the desired factor exposure.

Blog Post - 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.

Blog Post - Growing fears about rising inflation and interest rates sparked a decline across equity markets in the last few days. The MSCI USA Index fell 2% on Friday and a further 4% on Monday. Has the sell-off been indiscriminate? Or has it affected certain sectors and factors more than others?

Blog Post - In constructing portfolios, asset managers expose the portfolio to factor tilts that greatly influence fund performance. Some of these exposures, which can provide sources of excess return, may be intentional but others may not. A manager who makes the wrong bet could be on the wrong side of history.