Extended Viewer

George Bonne

George Bonne
Executive Director, Equity Factor Research

About the Contributor

George Bonne is Executive Director in the Equity Factor Research team, which develops new factors for MSCI’s analytics and index products. Previously, George was Director of Quantitative Research at Thomson Reuters StarMine, where he created alpha signals and quantitative. He also has worked at Applied Materials and KLA-Tencor. George received his Ph.D. in Physical Chemistry from Harvard University and a Bachelor’s degree in Chemistry from University of California, Irvine. George is a certified Professional Risk Manager.

HTML Displayer Portlet

Blog posts by George Bonne

Extended-lister

Nothing was found.
  1. BLOG

    Factors separated fact from fiction 

    Oct 16, 2019 George Bonne

    Learn More

    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.

  2. BLOG

    Back-to-school (momentum) blues? 

    Sep 13, 2019 Leon Roisenberg , George Bonne

    Learn More

    The U.S. price momentum factor, which we highlighted for elevated crowding scores and vulnerability to negative performance at the end of June, suffered sizable drawdowns in the first seven trading days of September.

  3. BLOG

    Where were the (factor) crowds this summer? 

    Aug 21, 2019 George Bonne , Leon Roisenberg

    Learn More

    When factors have historically become crowded, they’ve often experienced significant drawdowns in subsequent months. Which factors were relatively crowded at the end of 2018 — and how did they perform in the first half of 2019?

  4. BLOG

    More than a feeling: Quantifying consumer sentiment 

    Jul 17, 2019 George Bonne , Rohit Mendiratta

    Learn More

    Among a flood of alternative data sources, consumer sentiment based on citations online stood out.

  5. BLOG

    Should we be surprised by earnings surprises? 

    Feb 1, 2019 Rohit Mendiratta , George Bonne

    Learn More

    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?

  6. BLOG

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

    Dec 19, 2018 George Bonne , Leon Roisenberg

    Learn More

    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.

  7. BLOG

    Equity markets in October – Has the tide turned? 

    Nov 5, 2018 Leon Roisenberg , George Bonne

    Learn More

    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?

  8. BLOG

    Is momentum a crowded trade that is starting to unwind? 

    Aug 29, 2018 George Bonne , Leon Roisenberg

    Learn More

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

  9. BLOG

    Why is Tesla a short-selling target? 

    Aug 13, 2018 Dimitris Melas , George Bonne

    Learn More

    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?

  10. BLOG

    All FAANGs are not created equal 

    Aug 3, 2018 George Bonne

    Learn More

    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.

  11. BLOG

    Creating a common language for factor investing 

    Jan 18, 2018 George Bonne

    Learn More

    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.

  12. BLOG

    Downside protection? Fear of extreme events rises further 

    Sep 13, 2017 George Bonne

    Learn More

    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?

  13. BLOG

    Fearing black swans, investors eye options 

    Jun 2, 2017 George Bonne

    Learn More

    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.

  14. BLOG

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

    May 12, 2017 George Bonne

    Learn More

    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.

Regulation