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Factors in Focus: How Trendy Is Your Style Factor? 

As markets rallied worldwide, investors took on high-beta exposure and rotated away from stocks with lower risk. The latest edition of Factors in Focus explores the details.

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Using Derivatives to Manage Volatile Markets 

We’ve previously noted growth in derivatives contracts to manage emerging-markets exposure in normal and stressed times. Now, facing a real-world stress test, how did investors use these tools? How have implied volatilities and option premium changed?

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Corporate-bond performance by factors and ESG 

The volatility seen in equity markets was also present among investment-grade corporate bonds,. We use factors and ESG ratings to dissect these bonds’ performance over Q1 2020.

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Factors in Focus: Risk sentiment and factor dynamics in a crisis 

We analyzed the market effects from COVID-19 and a Saudi Arabia/Russia oil-price war. We also examined – for the first time – credit factor performance. How did the quarter play out? What did our adaptive multi-factor model show as it ended?

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Did corporate-credit factors offer a risk-return edge? 

Factors have gained popularity in equity investing for providing insight into the key drivers of portfolio risk and returns. Did tilting hypothetical fixed-income portfolios toward some bond-specific factors benefit investors?

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Factors in Focus: Will 2020 vision sharpen exposures? 

Some global equity markets reached all-time highs and experienced limited bouts of volatility over the course of 2019. But underneath the calm surface, we saw a high degree of dispersion among factors and sectors.

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Looking to the futures of emerging markets 

Emerging-market (EM) equities have delivered unique risk and return characteristics over the last 30 years. Are futures on EM stocks a liquid enough means to gain exposure during normal and stressed conditions?

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Factors in Focus: Momentum hits a valuation speed bump 

The momentum-value spread saw one of the largest corrections in history over the summer. What does our model show going forward?

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Using multi-country multi-currency futures in portfolio management 

Investors seeking to more tightly manage their exposures to regional or global benchmarks are turning to multi-country multi-currency futures.

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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.