Blog Post - The latest edition of Factors in Focus highlights the continuing rotation among factors during the first quarter of 2019, including the outperformance of quality and momentum – and looks to the indications from our adaptive multi-factor framework heading into Q2.

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.

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 - In this inaugural edition of Factors in Focus, we highlight the fast-moving rotation among factors during 2018 and look to the indications from our adaptive multi-factor framework as 2019 began.

Blog Post - Equity markets fell sharply to close out 2018. The MSCI USA Index fell 15% in the fourth quarter alone. The performance of one factor, beta, stood out, having its fifth worst quarter since 1974. What do these drawdowns reveal about investor behavior? Were they limited to the U.S.? And, what types of firms felt the largest impact?

Research Paper - Do indexes live up to their backtests? We contrasted 10 years of live data for the MSCI Minimum Volatility Indexes with the previous 10 years of backtesting, investigating changes in the indexes’ behavior before and after launch across different regions. We also answered some of the most common questions clients have asked.