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Using multi-country multi-currency futures in portfolio management 

Over the last few years, regulatory challenges impacting the over-the-counter (OTC) derivatives market have increased demands on exchange-traded derivatives (ETD) to deliver greater price transparency and offer access to deeper pools of secondary-market liquidity. As a result, the market for index-linked ETD products has grown substantially. Overall equity index-linked ETD volumes are up 23% in the first half of 2019 versus the first half of 2018.

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Factors in Focus: Dynamic short term, strategic long term 

We review factor performance over the second quarter, provide the perspective of a long-term view and look to indications from our adaptive multi-factor model heading into Q3.

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Factors in Focus: Risky start. Quality finish. 

We highlight the fast-moving rotation among factors that continued during Q1 2019. As we move into Q2 2019, this framework showed allocation changes in different factors.

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Factors 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.

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Time to Revisit Fundamentals of Quality? 

We have seen substantial rotation in factor index performance in the past 12 months. Value, the best-performing equity factor index in the second half of 2016, was the worst performer in the first six months of 2017.