Most recent articles by Melissa R. Brown, CFA
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.
Factor Performance Continued to Fall Short in Q2—and Constraints Only Made Things Worse
Momentum’s recovery in Q2 was a welcome event for many factor-based investors. Unfortunately, that recovery probably wasn’t enough to pull quant managers out of the hole.
Commonly Used Portfolio Constraints Have Exacerbated Weak Results from Poor Factor Performance in 2019
After a tough end to 2018 for factor-based managers, hopes were high for a turnaround this year. Unfortunately, the turn has failed to materialize.
Are European Stocks Really Less Volatile? Or Are Correlations Driving Volatility Lower?
Since the drivers of volatility (up or down) are always of interest, we decided to look a little deeper into the causes of this apparent apathy of the European market.
A Tough First Quarter for Systematic Managers?
According to the returns for Axioma’s factors, the first quarter of 2019 was probably a tough one for many systematic, factor-based investors, especially those investing in the US. Across most regions we track closely returns were negative for Medium-Term Momentum, Value, Low Volatility and Low Market Sensitivity (beta). The quarter’s results were more mixed regionally for Profitability, Earnings ...