Minimum Variance: A Leg Up on Geopolitical Risk?

In our latest paper, we examined the impact of recent market risk events on a range of STOXX® minimum-variance indices vis-à-vis their corresponding global and regional broad benchmarks.

Posted 10.07.19 Christoph Schon, CFA, CIPM

Has the Factor World Gone Mad and Are We on the Brink of Another Quant Crisis?

Many have drawn a parallel between this month and what happened in July of 2007.

Posted 09.13.19 Olivier d'Assier

Factor Reversal Halts, but Volatility Remains Elevated

While last week’s sharp reversal of factor returns has halted, higher levels of factor volatility persist.

Posted 09.18.19 Diana R. Baechle, PhD

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. 

Posted 08.16.19 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.

Posted 07.30.19 Melissa R. Brown, CFA

Momentum nosedives

Is Momentum’s sharp reversal an indication of changes in investor sentiment and a turning point for markets?

Posted 09.11.19 Diana R. Baechle, PhD