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Including Microcaps in Benchmark Indexes: Japan vs. US 

Equity Themes , Global Investing , Factor Investing

Selecting an equity benchmark may mean balancing market coverage and investability. For example, exhaustive coverage may include microcap stocks, with lower liquidity and investment capacity. But excluding them may reduce low-size-premium exposure.

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Factors in Focus: Value Springs into Action 

Factor Indexes , Fixed Income , Factor Investing

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. 

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Reopening Economies and the Resurgence in Value 

Factor Indexes , Global Investing , Factor Investing

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.

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Open- vs. Closed-End Real Estate Funds: How the Choice Mattered 

Real Estate Investing

The aggregate performance of closed- and open-end real estate funds in the U.S. was strikingly similar in recent years, despite large differences in their strategy and roles in portfolios. But did some investors gain an edge through fund selection?

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Value-Performance Anxiety 

Global Investing , Factor Investing

Despite a recent performance lift, many still ask whether the value factor is broken. We analyze the reasons behind its underperformance and start exploring the potential of updates to value definitions and approaches to value-portfolio construction.

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CEO Compensation: Paying Up for Mediocrity 

ESG Research

Are companies aligning CEO pay with long-term performance? Or, put another way, are directors incentivizing executives to drive the long-term success of the companies they run? We found evidence that pay and performance are misaligned for many U.S. CEOs.

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Considerations for Dedicated China Equity Allocations 

Emerging Markets , Global Investing

China provides global equity investors a unique set of opportunities and challenges as they evaluate a potential dedicated investment program and how to approach asset allocation from policy configuration to portfolio implementation.

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Managing the Risks of LIBOR Replacement 

Fixed Income , Risk Management , Global Investing

Investors now have clarity on the process of transitioning away from LIBOR and falling back on replacement benchmark rates. We used stress tests to show that fallback modeling may be necessary to measure and manage the risks of LIBOR instruments.

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The Pace of Fast Change: Growth vs. Thematic Investing 

Factor Indexes , Factors , Global Investing , Factor Investing

Investors considering thematic investments to gain exposure to firms whose fortunes may not be captured by fundamental growth measures, may ask: What are the key opportunities – and challenges – that distinguish thematic from growth investing?

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Is There a Hedge-Fund-Crowding Factor? 

Factor Investing

Hedge funds held heavy, relatively illiquid short positions in crowded stocks before the January 2021 short squeeze. We created a risk factor that added explanatory power and may provide insights into potential short squeezes and other risks.