Blog post - Commonly held perceptions, historically higher volatility and shorter, sharper bull-bear cycles relative to developed and other emerging markets have led many to believe that fundamental factor strategies may not work in the Chinese equity markets. Our research suggests this may be changing.

Research paper - 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..

Research paper - Peer selection plays a central role in many aspects of finance. Can we measure relationships between companies from a systematic analysis of data, including fundamentals, news and the text in company filings? And, can we use this information to better understand company relationships and the risks they may bring?

Blog post - Foreign interest in Saudi Arabia has increased following the easing of foreign-ownership limits and other enhancements to improve market access. As more investors gain experience in this market, we looked at strategies that may have benefited those employing a factor-based approach.

Blog Post - Market volatility and interest rates uncertainty was the story of 2018. How did minimum volatility indexes behave in environments dominated by these two opposing forces? We compare how the interest-rate environment and market and macro-economic conditions, respectively, have affected min. vol. performance. Which had the greater influence?

Blog post: Contrary to popular belief, factors and ESG can live together. There may be value in challenging misperceptions about factor investing and ESG that have developed over time. 

Blog post - Last year’s market volatility brought rapidly shifting factor rotation. In the face of continued volatility in 2019, we asked: how have factors performed during periods of low and high volatility? And have target exposures within factor indexes shifted with these regimes?

Blog post - With the U.S. Federal Reserve (the Fed) re-emphasizing their “we will be patient” stance at the January 2019 FOMC meeting, investors may be re-assessing their factor allocations. Our analysis looks at which factors have outperformed in different interest rate environments and the implications for asset allocation.

Blog post - Earnings season for Q4 2018 yielded some reports that were part of a long streak of surprises, generally in the same direction (consecutives beats or misses). We ask whether there is persistence to earnings surprises, what past surprises have told us about the likelihood of future surprises and how the market has responded.