Research and Insights
Articles by John Regino
Introducing Earnings Quality: A Systematic Equity Strategy FactorResearch Report | Jun 1, 2016 |
In this Research Insight, we introduce Earnings Quality, one of the Systematic Equity Strategy (SES) Factors modeled by MSCI Equity Analytics Research. This paper finds that the Earnings Quality factor can help interpret drivers of risk and return, especially when a stock price peaks. At such turning points, weak firms may have a strong incentive to beat earnings. The Earnings Quality factor can help detect earnings management intended to boost the bottom-line, thus identifying...
Barra Insight - Dynamic Allocation Strategies using Minimum VolatilityResearch Report | Aug 27, 2013 |
In this Barra Insight, MSCI analyzes several systematic allocation methods which aim to harness the benefits of low volatility investing. The variability in performance of minimum volatility portfolios makes them candidates for dynamic allocation strategies. We analyze volatility triggers, simple moving averages, and relative momentum as systematic methods of gaining exposure to this investment style in the most desirable time periods. The results indicate that the possibility exists for...