Most recent articles by Melissa R. Brown, CFA
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.
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.