Blog posts by Dimitris Melas
May. 15, 2018
Our research shows how favorable ESG characteristics have historically had a positive impact on equity valuation, risk and performance. But many active managers may have concerns that using ESG data could disrupt their investment process and introduce unintended biases to the portfolio.
Apr. 26, 2018
Institutions and individuals increasingly invest through funds that track indexes. While index funds bring transparency and low cost, their critics claim that they allocate capital indiscriminately, hurting market efficiency. Is this claim supported by the evidence? It is not. Our analysis shows that, far from damaging market efficiency, index funds1 facilitate active portfolio management by offering investors diverse and efficient tools to express investment views and implement active investment decisions.
Apr. 03, 2018
Nearly 15 years after Google’s initial public offering, the debate about listed companies that offer unequal voting rights to outside investors rages on. A number of high-profile technology companies including Dropbox Inc., Spotify and Snap Inc. have recently listed shares with unequal voting rights, adding fuel to the debate. Meanwhile, investors are trying to determine if they should shun the stock issued by these companies or include them in equity portfolios.
Feb. 21, 2018
Large U.S. technology companies, the so-called FAANG, dominated the U.S. stock market in the last few years and had a significant impact on many investment strategies. These companies have been underrepresented in most factor-based strategies due to their unattractive factor characteristics. Have factor investors suffered from not investing in these stocks?
Feb. 06, 2018
Growing fears about rising inflation and interest rates sparked a decline across equity markets in the last few days.
Aug. 22, 2017
Markets have enjoyed a relatively long period of positive returns and low volatility, making some investors wonder if a correction is imminent. One possible trigger for a correction would be investors concluding that market valuations have become extreme, which could lower future returns.
Nov. 30, 2016
Over the past decade, many long-term institutional investors have incorporated Environmental, Social and Governance (ESG) considerations into their portfolios, by creating segregated ESG mandates or by incorporating ESG criteria across the entire portfolio.
Sep. 28, 2016
Hedge funds and other investors who manage portfolios that rebalance frequently face a challenge when it comes to the use of factors for trading, hedging and risk monitoring: Which factors tend to break down over time?
Sep. 26, 2016
For institutional investors, float-adjusted market capitalization weighted indexes remain the tools of choice to implement their passive allocations. Such indexes are used widely as policy and performance benchmarks and as the basis for ETFs and other passive vehicles. Is this use justified or even appropriate? Do benchmark indexes suffer from shortcomings that undermine their suitability in implementing investment strategies?
Jul. 21, 2016
Investors with global portfolios need to know where the companies they invest in are domiciled. It is equally important, however, for them to know where those companies earn their revenue. Data from MSCI shows that the geographic distribution of companies’ revenues can have a significant impact on their stock prices.