Before we jump in this week, I wanted to let you know that a recording of my presentation on Evaluating Alpha Signals at last month’s Wolfe Research Global Quantitative & Macro Investment Conference has been posted. Please don’t hesitate to reach out if you have any questions or comments. Now on to this week’s topic... Portfolios were rocked this past week as the world heard of news... |

Combining Mean Reversion with Fundamental Investing
May 24, 2020
We continue last week’s introduction to the Reversal factors found in the Barra US Total Market Equity Trading Model and discuss how these factors can be useful in helping guide trading. Although the risk model has 3 flavors of reversion, we will focus on the two most relevant to fundamentally oriented and longer horizon investors: Short-Term Reversal (“STR”) and Long-Term Reversal... |

Expanding our Mean Reversion Palette
May 17, 2020
We continue our discussion from last week on the topic of mean reversion, this time through the lens of the MSCI Barra US Total Market Equity Trading Model.Before we do that though, we wanted to revisit our analysis on Antero Midstream, our mean reversion pick from last week. As you can see below, Antero has seen a fairly strong selloff MTD, and has now fallen from a +3.5 exposure (top... |

The Markets Are Up But We’re Not That Excited...Time For Mean Reversion?
May 10, 2020
With the markets continuing to shrug off negative unemployment news and health uncertainty of re-opening this month, we wanted to take this opportunity to introduce the family of mean reversion factors. Many of you are feeling tense about the recent rally, and are possibly looking to take defensive actions. Mean reversion factors can help highlight companies who’s recent returns... |

Momentum Update
September 22, 2019This week we’ll check back in on Medium Term Momentum after last week’s crash, which we initially discussed last Wednesday in our Midweek Flash Report.

Factor Spotlight: This Week's Market & Factor Update
September 15, 2019We hope you had a chance to read this past Wednesday’s Special Factor Spotlight Flash Report on the growing fallout in momentum. This trend continues unabated into this edition, and as you can see in the tables below, momentum finished the week with the largest decline in both the US and Worldwide factor models. We plan to resume our ESG coverage next week, but in the meantime we...

Factor Spotlight Flash Report: Peeling the Momentum Onion
September 11, 2019Due to the recent outsized factor moves in the recent week, we are releasing a Factor Spotlight Special Flash Report. Although the S&P 500 remains near all-time highs, we will examine what is lurking below the surface and what everyone talking about—-- the fallout of Momentum.

Overbought/Oversold Factors Around the World
June 23, 2019We’ve spent the past couple of weeks focusing on Momentum and Growth (both of which are continuing to revert to the mean on a normalized basis). Today, we’re going to pull back the lens and examine factor trends in our US and Worldwide models, in order to identify some other themes that are playing out right now.

Growth & Momentum Are Now Reverting
June 16, 2019Last week, we discussed how Growth and Momentum are both overbought in our normalized return framework, and urged caution to managers who are long exposure to those factors (most notably Tech investors). This week, we have an update on how these factors have trended (spoiler alert: Momentum is now reverting) and see what we can learn from historical instances when Growth and...

Tech Investors Take Note: Growth and Momentum Are Overbought
June 09, 2019Today, we'll be taking a break from examining current trade entanglements through the lens of the Exchange Rate Sensitivity factor. Instead we'll check in on Growth and Medium-Term Momentum, two factors that have seen rapid gains in our normalized return framework over the past few weeks. They've both recently been flagged as Overbought and Extremely Overbought, respectively, and...
