Most recent articles by Melissa R. Brown, CFA
Volatility Skyrockets as Market Tanks
That the market’s recent rout was accompanied by rising levels of predicted volatility is hardly surprising. The magnitude of the increase, however, was another story.
Wednesday’s Sell-Off Leads to Big Changes in Benchmark Risk
Wednesday’s sell-off in global markets clearly had an impact on risk, as factor volatility soared.
Momentum Had A Tough Day on Wednesday, But Low Volatility Soared
Yesterday, October 10, the factor gave back some return, and in many cases the return was larger than what would have been expected given the risk forecast on October 9.
Beware the GICS Turnover!
We ran some simple tests to get a sense of how much turnover might be required to maintain tight sector weights under the new GICS sector regime.
GICS Changes Seem More Evolutionary Than Revolutionary
We believe the GICS changes reflect a transformation in the economy that has been building for quite a while—and therefore just create more accurate labels.