PAPER

The Drivers of ESG Returns 

Investing (Investment Management) , Performance Analysis , Responsible Investing , Asset Pricing and Valuation

BLOG

Is ESG Investing a Price Bubble? Probably Not. 

ESG Research

Inflows into ESG funds have soared in recent years and months, in part motivated by outperformance since the COVID-19 pandemic erupted. But have these inflows become a self-fulfilling prophecy, creating an ESG bubble?

PAPER

Five Lessons for Investors From the COVID-19 Crisis 

Asset Allocation and Asset Liability Management , Factor and Risk Modeling , Investing (Investment Management) , Responsible Investing

The coronavirus pandemic sparked a surge of volatility across global financial markets. What lessons could investors draw from the COVID-19 crisis? In this paper, we present and discuss empirical evidence supporting five key lessons for investors regarding global investing, managing factors, active management, indexed investing and ESG investing.

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How Hedge Funds Navigated the Start of COVID-19 Volatility 

Factor Investing , Factors , Risk Management

How did hedge funds navigate the initial volatility amid COVID-19? Though holdings information is limited, and delayed, we gained insights into their reaction by examining the change in hedge-fund portfolios between the end of January and end of February.

PAPER

Integrating factors in market indexes and active portfolios 

Factor and Risk Modeling , Investing (Investment Management) , Portfolio Construction and Optimization

Asset owners use indexes as policy benchmarks and reference portfolios in their asset allocation. Index investors track cap-weighted indexes that seek to capture the market return. Active investors select securities and build portfolios that aim to outperform the market. All these types of investors may be able to benefit from incorporating factors into their process. More importantly, they may also be able to integrate factors without compromising other fundamentally important aspects of their strategies. In this Research Insight, we examine options for these institutional investors. ©2019 Pageant Media. Republished with permission of IPR Journal, from “Integrating Factors in Market Indexes and Active Portfolios.” Dimitris Melas, Zoltán Nagy, Navneet Kumar, and Peter Zangari. Vol. 45, No. 6, 2019.

PAPER

Anatomy of Hedge Fund Portfolios 

Measuring hedge funds’ positioning and potential crowding around stocks is of interest to many investors, given these funds’ reputation for outperformance. We explore the performance of hedge fund positions using MSCI HedgePlatform, which has advantages over U.S. Form 13F filings, including monthly data points, improved timeliness and full visibility of short positions.