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Corporate Bonds Through a Factor and ESG Lens 

COVID-19 has had a profound impact on how companies manage cash flows and liquidity. Bond investors face the possibility of increased leverage, rating downgrades and defaults. Can factors and ESG metrics shed light on these risks?

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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.