Market Sensitivity Exposures: “And the ‘New Normal’ is…”

We have discussed recently how company factor exposures had turned topsy-turvy, as investors sorted out their expectations for winners and losers of the COVID pandemic.

Posted 06.02.20 Melissa R. Brown, CFA

Amid Covid-19, some sectors are misbehaving — with a big impact on turnover for sentiment-aware investors

The Covid-19 pandemic has affected some sectors more than others. This impact was immediately reflected in changing exposures to three of the style factors in our fundamental multi-factor risk models.

Posted 05.28.20 Olivier d'Assier

The Impact of the Global Risk Environment on Active Risk

Melissa Brown discusses how recent changes in the global risk environment have impacted active risk, and describes why some analytics managers may want to examine when deciding when and how ...

Posted 05.20.20 Melissa R. Brown, CFA

Oil in a multi-asset portfolio: If you’re looking to reduce risk, look elsewhere…

Investing in oil as part of a multi-asset strategy can be risky for two reasons: first, the oil price is very volatile, and, second, because it is usually strongly correlated ...

Posted 05.14.20 Christoph Schon, CFA, CIPM

The colossal collapse of Mortgage REITs: An omen of bad things to come?

Mortgage REITs have been crushed by the coronavirus crisis, substantially underperforming the US equity market as a whole.

Posted 05.13.20 Diana R. Baechle, PhD

A Sentimental Chronology: The Ascents—and Descents—of the Wall of Worry in 2020

The notion that markets “climb a wall of worry” is a commonly held view in the investment world. Eventually, the concerns of those investors fade and they become risk-tolerant themselves.

Posted 05.12.20 Olivier d'Assier