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Leon Roisenberg

Leon Roisenberg

Executive Director, MSCI Research

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.

Research and Insights

Articles by Leon Roisenberg

    Factors behind value’s underperformance

    Blog | Nov 22, 2019 | 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.

    Back-to-school (momentum) blues?

    Blog | Sep 13, 2019 | Leon Roisenberg , George Bonne

    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?

    Blog | Aug 21, 2019 | Leon Roisenberg , George Bonne

    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?

    Blog | 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?

    Is momentum a crowded trade that is starting to unwind?

    Blog | Aug 29, 2018 | Leon Roisenberg , George Bonne

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

    What is Going on With Factor Returns?

    Blog | Jul 18, 2018 | Leon Roisenberg

    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.

    MSCI Integrated Factor Crowding Model

    Research Report | Jun 18, 2018 | George Bonne , Roman Kouzmenko , Leon Roisenberg , Peter Zangari

    With the rise of factor investing, institutional investors increasingly have sought to understand whether their factor exposures are crowded. Current MSCI Barra equity factor risk models are designed to provide insight and detail to help institutional investors understand how a portfolio is positioned and what has driven its risk and return. The MSCI Integrated Factor Crowding Model is designed to complement the Barra model by providing investors with insight into how the rest of the market...

    Introducing MSCI FaCS

    Research Report | Jan 18, 2018 | George Bonne , Subramanian Aylur , Dimitris Melas , Leon Roisenberg

    Factors are important systematic sources of risk and return in equity portfolios. Given the pervasive use of factors via both active and indexed strategies, a standard approach is needed for defining factors and evaluating the factor characteristics of portfolios. We introduce MSCI FaCS, a classification standard and framework for analyzing and reporting of style factors in equity portfolios that is based on the Barra Global Total Market Equity Model for Long-Term Investors. Managers can use...

    Anatomy of Active Portfolios

    Research Report | Jul 12, 2017 | Subramanian Aylur , Leon Roisenberg

    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.

    Measuring the Impact of Factors

    Blog | Jul 12, 2017 | Leon Roisenberg

    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.

    Introducing Earnings Quality: A Systematic Equity Strategy Factor

    Research Report | Jun 1, 2016 | John Regino , Leon Roisenberg , Daniel Young

    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...

    Are Your Factors Aligned?

    Research Report | Mar 10, 2016 | Dimitris Melas , Leon Roisenberg , Mehmet Bayraktar

    Many institutional investors develop proprietary return forecasting models, but use third-party/alternative models such as the MSCI Global Equity Total Market Model to measure risk and transaction costs. While there may be a significant overlap between the factors used in alpha and risk models, at times they may be misaligned. For managers who optimize their portfolios, the optimizer will tend to amplify the component of alpha that is not aligned with the risk model; this may lead to...