Factor Investing

Conditional Volatility Targeting

Financial economists have long known that volatility and returns are negatively correlated. Fischer Black documented this in his 1976 paper “Studies of Stock Price Volatility [...]

Global Factor Performance: March 2021

The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

The R&D Premium: Is it Risk or Mispricing?

Asset pricing models are important because they help us understand which factors explain the variation of returns across diversified portfolios. However, models are not like [...]

ESG Factors and Traditional Factors

Toward ESG Alpha: Analyzing ESG Exposures through a Factor Lens Ananth Madhavan, Aleksander Sobczyk and Andrew AngFinancial Analyst Journal, 2021A version of this paper can be found hereWant to [...]

Global Factor Performance: February 2021

The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

The Quality Factor—What Exactly Is It?

The existence of a quality premium in stocks that has been persistent over time, pervasive around the globe, and robust to various definitions have been [...]

Is the Market Getting more Efficient?

Another Alpha Opportunity Bites the Dust In 1998, Charles Ellis wrote “Winning the Loser’s Game,” in which he presented evidence that while it is possible [...]

Trend-Following Filters – Part 2/2

1. Introduction Part 1 of this analysis, which is available here, examines filters modeled on second-order processes from a digital signal processing (DSP) perspective to [...]

Go to Top