Most recent articles by Melissa R. Brown, CFA
Quant quake comparison? This looks worse
Our recent blog post on factor performance discussed factor returns on an absolute and risk-adjusted basis during the recent market downturn.
Quant Quake 2020? As Factor Volatility Mirrors Market Volatility, Most Returns Head in the Wrong Direction
Equity investors, needless to say, have faced a brutal market since February 20. But factor-based investors have experienced additional pain from factor returns.
Steep and Swift So Far, This Dive Isn’t Over, if History Is Any Guide
We likely to have further to go in this downturn, and it could take a long time for the market to retrace its steps back to its January level.
Markets — and Factor Returns — Run Wild: Time to Check Your Bets
Indeed, the magnitudes of recent market swings have been substantial, and probably seemed even worse given the relatively low levels of volatility prior to February.
The Market Rout by the Numbers
The STOXX USA 900 index fell about 6.5% from February 24 through 25, with other markets around the world seeing similar declines.