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Contributions by Shubhangi Sharma
Growth’s recent outperformance was and wasn’t an anomalySep 20, 2019 Learn More
Growth strategies have outperformed value strategies in recent years. Is growth’s recent performance an anomaly when we look at it in a long-term context? The answer: It depends on what you mean by a growth strategy.
A defensive approach to factor portfoliosSep 10, 2019 Download Document
Low-volatility indexes have been attractive to some investors, mainly due to their defensive and low-risk characteristics. This has been especially true in times of market uncertainty and heightened volatility. In this paper we investigate the possibility of incorporating the defensive characteristics of the MSCI Minimum Volatility Indexes into the construction of other factor indexes with the aim of achieving the highest “factor exposure-to-risk ratio.”
The growth-factor premium: Seeking a systematic approach for capturing itJun 5, 2019 Download Document
While used extensively by active managers as part of their security-selection decisions, the growth factor has been largely left out of the factor-index investing landscape, at least in its simplest form. This paper explores why and offers a way to capture this factor with a systematic, rules-based approach.
The MSCI Minimum Volatility Indexes: 10 Years OnDec 14, 2018 Download Document
2018 marked the 10-year anniversary of the MSCI Minimum Volatility Indexes. Launching just prior to the global financial crisis, which caused sharp equity market falls, and the indexes’ behavior “out-of-sample” since launch have led to adoption by a large number of asset owners and the indexes’ serving as the basis for a wide range of ETFs that have gathered significant assets. Here, we contrast 10 years of live data with the previous 10 years of backtesting, investigating changes in the indexes’ behavior before and after launch across regions. Finally, we answer some of the most common questions clients have asked.