In this Research Insight, we introduce Investment Quality, one of the Systematic Equity Strategy (SES) factors modeled by MSCI Equity Analytics Research.  Based on multiple studies identifying Investment Quality’s historical effect, MSCI constructed the SES Investment Quality factor by combining three descriptors: low issuance growth, low asset growth and low capital expenditure growth. Our analysis of global equity returns for this factor over the 20-year period from 1996 to 2015...

In "Market Spin-cycle: Uncovering Style and Sector Rotation in a Flat Market", we investigated the sector and investment style rotations in the US market from March 1st through May 8th, 2014. In particular, we identified declining performance in growth-oriented styles associated with risk-taking behavior, such as Beta, Growth, and Momentum, with improving performance in Value, Profitability, and Size suggesting rotation in investment styles.In this follow-up paper, we extend this...