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Did Size Matter for Small-Cap Outperformance? 

Good vaccine news on Nov. 9 drove unusual equity-index and factor returns, including in small caps. The MSCI USA Small Cap Index returned 3.03% that day vs. 0.82% for the MSCI USA Index. Was this due to the size factor, or was there a bigger story?

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Short Interest Factor Performance in Times of Crisis 

Given recent short interest factor performance, we asked: What has been the relationship between this factor and large market drawdowns? Were there changes in short selling during COVID-19? Did short-selling bans affect short interest factor performance?

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Did insider transactions have secrets to tell? 

Company insiders’ trading of their company’s stock is usually subject to strict rules, including public disclosure. Did observing insider transactions provide more information about expected company performance than traditional sources?

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Have regional equity-market correlations risen? 

Global equity investors use regions as building blocks in asset allocation, typically segregating markets by how developed they are and by geography. Has globalization reduced the potential for geographical portfolio diversification?

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Lessons from Woodford: Shutting the barn door after the horses have bolted 

The suspension of the U.K.’s Woodford Equity Income Fund highlights the value of regularly reviewing a portfolio’s factor exposures and liquidity characteristics for signs of style drift or deteriorating ability to redeem shares.

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Beaten-down beta 

U.S. and international equity markets fell sharply to close out 2018. The MSCI USA Index fell 15% in the fourth quarter alone. (It fell a total of 6% for the year.) As we previously examined, investors began rotating from cyclical sectors and factors to defensive ones in June. This pattern continued, in earnest, until October.

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Does the market contain too much Facebook? 

Facebook’s privacy issues, Apple’s European tax woes and Amazon’s global ambitions are constantly in the news. And over the last few years, large U.S. technology companies, sometimes known as FAANG, have made up larger slices of the global equity market. Should their level of market concentration concern investors?