Most recent articles by Melissa R. Brown, CFA
With volatility so high, is my factor return truly low?
Like that of markets, factor volatilities have jumped substantially since the end of last year.
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.
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 much to rebalance.
Who Blew Up My Tracking Error?
The world of active risk has seen profound changes in the past two months.
The Corona Quarter Synopsis
In both our recent webinar and insight report, we detailed drivers of the sharp increase in risk during the first quarter and the implications for active portfolio management.