Whether due to stimulus, deglobalization, decarbonization or an overheating economy, higher inflation could have an impact on style-factor and sector performance. We investigate this impact in the context of two potential economic-growth regimes.

We discuss three trends shaping the future of factor investing: continued evolution of traditional factor models, innovation in data sources and modeling and the potential disruption of integrating factor strategies into the asset-allocation process.

If economic expansion and higher inflation continue in 2022, interest rates could rise around the world. As investors re-evaluate equity portfolios, we look at factor-index performance in different U.S. interest-rate and yield-curve regimes.

If uncertainties over deglobalization persists, the performance divide between Europe and the U.S. could widen further. Have European firms been more at risk, given they have had more international revenue than U.S. companies?

Inflation watchers, aware of how COVID-19 led to trillions of dollars of stimulus, may want to note the longer-term shift toward deglobalization. As these forces collide, they may lead to rising global inflation and affect asset-allocation strategies.

We looked at ways to mitigate some of the performance drag of stock-specific risk on value strategies over the last decade by directly controlling for this risk without negatively affecting value-factor exposures or contributions.

We present a framework to analyze market-capitalization-weighted indexes’ role in setting equity-risk-premium and capital-market expectations. It breaks return drivers into dividend yield, sales-per-share growth, profit margin and valuation change.

For real estate investors, property type and geography segmentations are the primary lens through which they measure and manage their portfolios. Testing five potential real estate style factors, however, were we able to better explain asset-level variation.