Most recent articles by Melissa R. Brown, CFA
Do Yield Curve Inversions Impact Factor Performance?
A client recently asked an intriguing question: “Do style factors behave differently after a yield-curve inversion?” One might think they would, but that turned out not to be the case.
New Axioma Risk Model Shows UK Bests Many Regions in Return Opportunities
The introduction of an upgraded risk model provides us with a new opportunity to look at factors, and whether we can expect their risks to be compensated over time.
Notes on The Meltdown
The Russell 1000 fell more than 5% from July 31 to August 5, and other indices were similarly down. Owing to those market moves, the risk environment abruptly changed.
These stocks may be crowded … But it doesn’t mean they are riskier than they used to be
We ran a risk analysis of the 19 stocks the WSJ recently listed as some of the market’s most crowded trades, compared with the broader market.
What Is a Factor? The Impact of the Long-Only Constraint
In a follow-up to a recent paper, we drill down into the impact of a long-only constraint.