Momentum is a well-documented investment strategy used across assets, industries and asset classes, as well as style factors. We present an optimized style-timing strategy that accounts for both past performance and the variance-covariance of styles.

As cryptocurrencies rise in popularity as investment vehicles, the need for standardized tools for this market increases as well. We created a multifactor model to measure whether factors important for equity markets were also important for crypto.

During inflationary periods, equity investors, historically, have turned to gold as a hedge and diversifier. As the issue of inflation becomes more pressing, we ask whether cryptocurrencies, such as Bitcoin, could have played a similar role.

How much does ESG contribute to portfolio risk and return? We looked at whether ESG performance was influenced by other factors or helped explain returns as a factor in its own right, using the MSCI Global Equity Factor Model + ESG.

When COVID-19 first swept through global equity markets, many factors exhibited unprecedented performance swings. How could institutional investors interpret the industry-momentum factor’s moves in the context of the underlying market dynamics?

Asset managers devise investment strategies aimed at beating their benchmarks, but sometimes these strategies fall down in their implementation. Understanding exposures to different factors enables asset managers to make more informed decisions and allows institutional investors to evaluate the alignment of portfolios with their investment objectives. By using a fundamental factor model, we can see how a growth strategy might be hampered by unintended factor exposures.