From Our Blog
May 19, 2017 6:07:03 PM
As we've discussed in previous blogs, there are various reasons why portfolio managers need to monitor and adjust the factor risk of their portfolio. Much of the time, it's prudently done to avoid unknown or unintended exposures. Other times, the emergence of a new factor risk in a portfolio can be evidence of style drift that a PM doesn't want. Sometimes, a manager has a macro view that leads to the conclusion that certain factors like Value or Momentum are being misvalued, suggesting that reweighting the portfolio’s factor exposures will lead to additional alpha.
We've developed a technical indicator that will not only alert managers concerned about factor risk, but also assist those who see the management of factor exposure as a way to actively increase alpha rather than mitigate unwanted risks.
May 11, 2017 1:32:56 PM
April started out on a bearish note, but after various geopolitical risks subsided, the month ended with market indices skyrocketing. The Nasdaq made record highs with help from Microsoft, Google, Amazon and Facebook. Crude oil returns were the inverse of the market, rising into the middle of the month on geopolitics and hopes of OPEC cuts, but falling afterwards.
Apr 25, 2017 8:20:31 PM
We are excited to introduce a new methodology that enables us to closely examine what has been driving any given stock's returns.
Apr 14, 2017 1:45:11 PM
March was a month of stalling markets. Sometimes, a stall can be useful for managers. Rising markets may lift all boats, but a small break can be helpful for professional managers running strategies with a beta of less than one to public equities.
Mar 14, 2017 7:15:01 PM
2017's bull market continued in February, with Dividend Yield being the month's standout factor. The low volatility factor’s positive return in an up month is also quite notable. Even low beta stocks, which are expected to underperform when markets are up significantly, were basically flat. Book/Price was the laggard this month. And Momentum, the best performing factor in the latter half of the 20th century, has continued to lag.