Uh-Oh, Canada: Canadian Style Factors Show High Volatility

While Version 4 of our Canada model also showed some big differences between Canada and other markets, Canada stood out most in terms of factor volatility.

Posted 08.22.19 Melissa R. Brown, CFA

The Truth About Fixed Income Factors

Traditional fixed income models are not well placed to live up to more advanced demands. So what to do?

Posted 06.03.19 Luca Bosatta

Fixed Income factors: Why do we build credit curves?

We take a look at how we build credit curves to serve as a foundation for fixed income models and the advantages they have over some other methodologies.    

Posted 06.20.19 Alan Langworthy

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.

Posted 06.11.19 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.

Posted 06.27.19 Melissa R. Brown, CFA

Pension Funds: Time to Rethink Asset Allocation Strategies?

In the past 10-20 years, positive interest rate sensitivity has had serious implications for Strategic Asset Allocation. We envision new equity products being developed which better control such interest sensitivity.

Posted 07.08.19 Dominic Clermont