Executive Director, MSCI Research
About the Contributor
Leon Roisenberg is an Executive Director and a member of the Equity Core Research team at MSCI. In this role he conducts applied research using MSCI Analytics products, focusing on portfolio construction and risk management. Prior to joining MSCI, Mr. Roisenberg was a Quantitative Equity Researcher and Portfolio Manager at BlackRock Inc. and Merrill Lynch Investment Management. Mr. Roisenberg received an MBA from Columbia University and BSc in Engineering from Massachusetts Institute of Technology.
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Blog posts by Leon Roisenberg
As the relationship between U.S. value factors’ exposures and returns deteriorated over the last decade, U.S. momentum’s return patterns improved. We examine the value-momentum relationship and contributions of other style factors to value’s performance.
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.
Where were the (factor) crowds this summer?Aug 21, 2019 George Bonne , Leon Roisenberg
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?
Equity Markets in October – Has the Tide Turned?Nov 5, 2018 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?
Value and momentum factors typically move in opposite directions—that is, when one outperforms the market, the other usually underperforms. In June, however, both factors underperformed the market, leading some observers to question whether this change in market behavior is impairing quantitative strategies.
In constructing portfolios, asset managers expose the portfolio to factor tilts that greatly influence fund performance. Some of these exposures, which can provide sources of excess return, may be intentional but others may not. A manager who makes the wrong bet could be on the wrong side of history.