Waman Virgaonkar is a Senior Associate in the Core Equity Research team, working on quantitative strategies for portfolio construction. Previously, he worked as a Research Analyst at Goldman Sachs Asset Management. Waman has a B. Tech in Computer Engineering from VNIT Nagpur and an MBA degree from Indian Institute of Management (IIM) Lucknow.
Research and Insights
Articles by Waman Virgaonkar
Equity-Factor Commentary: A ‘Magnificent 7’ Factor?6 mins read Blog | Nov 29, 2023 |
Would adding a Magnificent 7 factor have improved an equity factor model’s performance in the concentrated U.S. equity markets of the last few years? Our analysis shows that the model’s risk-forecast accuracy would not have materially increased.
Markets in Focus: Narrow Yield Spread and High Crowding Pressure Equities6 mins read Blog | Oct 3, 2023 |
Eclipsing equity and bond yields and high crowding may be signs of a vulnerable equity market. We compare equity/bond yield spreads in the major regional markets along with crowding in sectors and regions.
Markets in Focus: Looking Beyond the Rate Hikes7 mins read Blog | Jul 4, 2023 |
Investors face “sticky” inflation, equity-market concentration and expectations that U.S. interest rates may be higher for longer. We examine recent global-markets trends to help as asset allocators and portfolio managers determine their next move.
Analyst Sentiment as a Factor ConsiderationResearch Report | Jun 29, 2023 |
An analyst’s equity opinion encompasses how different interrelated forces may impact the future performance of a company. We sought to define the analyst-sentiment factor, while assessing its relationship with other traditional equity style factors.
Markets in Focus: Factor Valuations and the New Rate Regime6 mins read Blog | Apr 3, 2023 |
Global equities and bonds remained volatile in the first quarter of 2023 following a strong start and a bumpy finish due to global banking concerns. We analyze whether factor valuations have adjusted to the new interest rate environment.
Value’s Lost Decade: Learning from Value Strategies’ Behavior over Two Contrasting DecadesResearch Report | Feb 1, 2023 |
Value rebounded in 2021, after more than a decade of lackluster performance. No matter what the expectation going forward, there are useful lessons to be learned from value strategies’ behavior over the past two decades.
Markets in Focus: Investors Look to Capture Big Market Shifts6 mins read Blog | Jan 3, 2023 |
Global equities and bonds declined in 2022 against a surge in inflation, waning economic growth and monetary tightening. We highlight how factor indexes, country allocation and thematic investing can help investors capture opportunities with greater precision.
Markets in Focus: Is the Beta Pendulum an Edge or Hedge?7 mins read Blog | Sep 30, 2022 |
Investors remained fearful of inflation and recession worries in the third quarter of 2022. We take a closer look at beta in a period where factors were sensitive to changing market conditions.
Markets in Focus: Half-Time – Keeping it Real and Defensive7 mins read Blog | Jun 30, 2022 |
It was a challenging market environment in the second quarter. We take a closer look at real assets, defensive sectors and factor indexes as investors navigate what might be a prolonged period of volatility and uncertainty.
Factors in Focus: Disentangling Market Gyrations Through the War7 mins read Blog | Apr 1, 2022 |
It was a tale of two quarters in many ways. We analyze the effects of past and present military conflicts on factor investing to provide insights to investors seeking to build resilient portfolios.
Factors in Focus: Are Your Equity Styles Ahead of the Curve?7 mins read Blog | Jan 5, 2022 |
If economic expansion and higher inflation continue in 2022, interest rates could rise around the world. As investors re-evaluate equity portfolios, we look at factor-index performance in different U.S. interest-rate and yield-curve regimes.
Controlling Idiosyncratic Risk in Value Strategies6 mins read Blog | Nov 18, 2021 |
We looked at ways to mitigate some of the performance drag of stock-specific risk on value strategies over the last decade by directly controlling for this risk without negatively affecting value-factor exposures or contributions.
Factors in Focus: Where’s the Value in Defensive Positioning?5 mins read Blog | Oct 1, 2021 |
Throughout the third quarter, investors shifted attention to risks from inflation, tapering and potential interest-rate rises. We analyze global equities and the rotation toward defensive factors.
Industry Momentum Across Regions5 mins read Blog | Sep 27, 2021 |
We expand on our analysis of industry momentum to assess the persistence of a premium across different regions and the ability of a rules-based strategy to help investors as they seek to capture this premium.
Industry MomentumResearch Report | Aug 12, 2021 |
Stock-level momentum has been a strong-performing factor, historically, but industry-level momentum has also shown significant historical premium. While the two were closely related, unique information was embedded in each and a combined momentum factor outperformed each individually.
Factors in Focus: Go with the Flow?5 mins read Blog | Jul 1, 2021 |
In the latest edition of Factors in Focus, we look at flows into equity factor ETFs and whether it has been profitable, historically, to follow the money, along with our analysis of factor and factor-index performance over the second quarter.
Purifying Value6 mins read Blog | Jun 29, 2021 |
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.
The Theory of (Value) Relativity5 mins read Blog | May 5, 2021 |
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.
Factors in Focus: Value Springs into Action7 mins read Blog | Apr 6, 2021 |
Value has historically outperformed in economic recoveries. With the reopening of the global economy we examined value’s performance against other factors, and exposures from our adaptive multi-factor model at the end of Q1.
Reopening Economies and the Resurgence in Value6 mins read Blog | Mar 31, 2021 |
After 15 years of challenging performance, many have asked if value is still a valid investment strategy. But the reopening of the global economy following vaccination rollouts has reignited interest across stocks, sectors, countries and regions.
Factors in Focus: Val-come Back! Shifting Factors as the Cycle Turns7 mins read Blog | Jan 6, 2021 |
In this two-year-anniversary edition of Factors in Focus, we reflect on the historical relationships between factor returns and macro cycles, which have provided useful information for investors looking to take an active stance on factor exposures based on their outlook.
Factors in Focus: Impact of Inflation on Style Factors8 mins read Blog | Oct 2, 2020 |
Global equities continued to rally in Q3, brushing aside fear of a second wave of COVID-19 and a large economic slump. We review what it meant from an equity and fixed-income factor perspective and look at what our models showed headed into Q4
Factors in Focus: How Trendy Is Your Style Factor?9 mins read Blog | Jul 6, 2020 |
As markets rallied worldwide, investors took on high-beta exposure and rotated away from stocks with lower risk. The latest edition of Factors in Focus explores the details.
Factors in Focus: Risk sentiment and factor dynamics in a crisisBlog | Apr 2, 2020 |
We analyzed the market effects from COVID-19 and a Saudi Arabia/Russia oil-price war. We also examined – for the first time – credit factor performance. How did the quarter play out? What did our adaptive multi-factor model show as it ended?
Factors in Focus: Will 2020 vision sharpen exposures?Blog | Jan 6, 2020 |
Some global equity markets reached all-time highs and experienced limited bouts of volatility over the course of 2019. But underneath the calm surface, we saw a high degree of dispersion among factors and sectors.
Factors in Focus: Momentum hits a valuation speed bumpBlog | Oct 3, 2019 |
The momentum-value spread saw one of the largest corrections in history over the summer. What does our model show going forward?
Factors in Focus: Dynamic short term, strategic long termBlog | Jul 2, 2019 |
We review factor performance over the second quarter, provide the perspective of a long-term view and look to indications from our adaptive multi-factor model heading into Q3.
Factors in Focus: Risky start. Quality finish.Blog | Apr 2, 2019 |
We highlight the fast-moving rotation among factors that continued during Q1 2019. As we move into Q2 2019, this framework showed allocation changes in different factors.
What has affected minimum volatility index performance?Blog | Jan 31, 2019 |
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.