Thought Leadership

Historical evidence suggests that periods of outperformance by negative earning stocks is not a new phenomenon. This outperformance has tended to be cyclical, not persistent, and concentrated around speculative environments.

Growing public and regulatory pressure is increasing the availability of climate risk data and analytical tools, allowing asset managers to quantify risks and opportunities in security analysis, supporting their efforts to maximize risk-adjusted returns.

During the last decade, factor momentum has degraded, favoring shorter-term factors and reversal, which is more difficult to capture at the portfolio level. The implementation shortfall associated with factor timing strategies can be addressed by applying a time-weighting function to counter short-term cyclicality. Our approach works to harness the power of longer-term factor rotation to generate higher risk-adjusted alpha accompanied by lower turnover.