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Fresh IPO Stocks and Indexes: In or Out? 

Depending on a number of factors, stocks may be added to indexes soon after a company’s IPO, which can affect asset managers who use the indexes to create and benchmark portfolios. We investigate the impact of IPO stocks on index performance.

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Purifying Value 

Unintended exposure to non-value factors was a large contributor to value’s period of underperformance. We investigate value-portfolio construction when controlling for these exposures while maintaining maximum exposure to value factors.

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Escaping to Equities for Yield 

In today’s low-rate world, some investors shifted toward historically higher-yielding equities. For others, especially in the insurance industry, the greater risk limited their ability to do so. Was a minimum-variance equity approach a viable option?

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The Theory of (Value) Relativity 

Whether constructing a fundamental factor model, a value strategy or a value index, valuation ratios need context. Time-series and cross-sectional approaches each have pros and cons. But combining the two may have presented a clearer picture. 

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Bringing Value to the 21st Century 

In the second post in our series, we further probe value’s underperformance over the past decade and ask if the historic definition of value remains relevant. We specifically look at whether a company’s valuation can be enhanced by reflecting R&D investments. 

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Value-Performance Anxiety 

Despite a recent performance lift, many still ask whether the value factor is broken. We analyze the reasons behind its underperformance and start exploring the potential of updates to value definitions and approaches to value-portfolio construction.

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Growth Without the Side Effects 

Growth has sometimes been viewed as the opposite of value. By extending the concept of growth at a reasonable price, we were able to capture the growth premium without it being lost to unintended factor exposures.

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Resilient stocks during the dog days of March 

While many stocks were in the red in mid-March, as COVID-19 and oil-market shocks took hold, some were “redder” than others. We examine global markets to better understand the characteristics of the more resilient stocks during this period.

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Growth’s recent outperformance was and wasn’t an anomaly 

Growth strategies have outperformed value strategies in recent years. Is growth’s recent performance an anomaly when we look at it in a long-term context? The answer: It depends on what you mean by a growth strategy.

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What has affected minimum volatility index performance? 

As we head further into 2019, some of last year’s concerns, including market volatility and interest-rate uncertainty, continue to occupy investors’ minds. With the assumption that rates-related concerns continue and uncertainty looms in the global equity markets, the question is how minimum volatility indexes behaved in an environment dominated by these two opposing forces.