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Leon Roisenberg

Leon Roisenberg
Executive Director, Equity Core 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

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  1. BLOG

    Back-to-school (momentum) blues? 

    Sep 13, 2019 Leon Roisenberg , George Bonne

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    We highlighted the U.S. price momentum factor as having elevated drawdown risk  at the end of June, due to significantly elevated crowding scores. And a curious thing happened at the beginning of September: For the month to date, U.S. price momentum experienced a drawdown of 4.7% — during relatively flat equity markets. Global price momentum also experienced a drawdown. The exhibit below illustrates the extent of the drawdown.

  2. BLOG

    Where were the (factor) crowds this summer? 

    Aug 21, 2019 George Bonne , Leon Roisenberg

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    When factors have historically become crowded, they’ve often experienced significant drawdowns in subsequent months. So investors may find it instructive to consider which factors were relatively crowded at the end of 2018 — and how those same factors performed in the first half of 2019. Based on our crowding analysis, we found the risks to the U.S. price momentum and global profitability factors were elevated as of December 2018. And, in fact, when we looked at these factors from January through June 2019, we found U.S. momentum suffered a large drawdown in the first four months of 2019, before rebounding in May and June. Global profitability’s performance was negative through June.

  3. BLOG

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

    Dec 19, 2018 George Bonne , Leon Roisenberg

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    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.

  4. BLOG

    Equity markets in October – Has the tide turned? 

    Nov 5, 2018 Leon Roisenberg , George Bonne

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    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?

  5. BLOG

    Is momentum a crowded trade that is starting to unwind? 

    Aug 29, 2018 George Bonne , Leon Roisenberg

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

  6. BLOG

    What is going on with factor returns? 

    Jul 18, 2018 Leon Roisenberg

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    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.

  7. BLOG

    Measuring the Impact of Factors 

    Jul 12, 2017 Leon Roisenberg

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    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.

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