Feb 1, 2019

Should we be surprised by earnings surprises? »

Rohit Mendiratta , George Bonne

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?

Dec 19, 2018

Equity markets in November – Do pro-cyclical risks remain? »

George Bonne , Leon Roisenberg

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.

Nov 5, 2018

Equity markets in October – Has the tide turned? »

Leon Roisenberg , George Bonne

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?

Aug 29, 2018

Is momentum a crowded trade that is starting to unwind? »

George Bonne , Leon Roisenberg

The momentum factor has been on a tear the last year and a half. Is momentum a crowded trade that has started to unwind?

Aug 13, 2018

Why is Tesla a short-selling target? »

Dimitris Melas , George Bonne

Elon Musk, founder and CEO of Tesla, suggested in a series of tweets that going private could help Tesla avoid the scrutiny of quarterly reporting and pressure from short selling. Do companies targeted by short sellers share common characteristics? Could factor analysis help investors identify stocks that may become short-selling targets?

Aug 3, 2018

All FAANGs are not created equal »

George Bonne

FAANG stocks (Facebook, Apple, Amazon, Netflix and Google) make up nearly 40% of the NASDAQ 100 index, and smaller but significant weights in many others. Commonly grouped as tech stocks or growth companies, it seems reasonable to assume they share many similar characteristics. However, when examined through the lens of performance-driving factors, their characteristics are far from homogeneous.

Jan 18, 2018

Creating a common language for factor investing »

George Bonne

Investors need a clear and consistent way to talk about factors. For more than 40 years, MSCI has defined how investors use factors to analyze risk and return, from individual stocks to entire portfolios. Factors are important drivers of portfolio performance and are well documented in academic research. They are used to quantify how much risk and return is attributable to different countries, sectors and styles.

Sep 13, 2017

Downside protection? Fear of extreme events rises further »

George Bonne

In May, we wrote that despite the generally low market volatility that has prevailed this year, investors were paying relatively high prices for downside protection as measured by “options skew” – the difference in implied volatility between an out-of-the-money option and an at-the-money option. High skew levels indicate heightened fears of “tail risk” – the chances of unlikely but highly consequential events that could sink share prices. Low market volatility largely continued through the summer, but how has options skew behaved – has it fallen to more “normal” levels?

Jun 2, 2017

Fearing black swans, investors eye options »

George Bonne

It’s been widely reported that equity-market volatility, outside of a mid-May spike, has been oddly low given investor concerns that range from North Korean saber-rattling to the fate of tax cuts proposed by the Trump Administration.

May 12, 2017

Why is “fear” missing from the “fear index”? »

George Bonne

Although global uncertainties remain high, the CBOE VIX Index — also known as the “fear index,” recently reached its lowest level since 1993. Some observers have questioned whether VIX remains a reliable indicator.