Applied Research

Keep Calm and Watch Your Exposures

Should I get in? Should I get out? Now that volatility is up, what should I do?

Posted 02.14.18 Applied Research

As the US Market Gyrates Not All Sectors Suffer Equally

Most US sectors have now reversed their gains for the year while their relative riskiness changed, which likely had a big impact on portfolios with sector bets.

Posted 02.12.18 Diana Rudean, PhD

Factoring in Volatility

The good news for factor-based investors is that, with a few exceptions, the heightened volatility has not shown up in returns of a number of commonly-used factors. 

Posted 02.06.18 Melissa Brown, CFA

It’s Baaa-aack! Market’s recent tailspin drives surge in volatility

While much has been written about the increase in VIX over the past few days, factor risk models can provide substantial additional insights.

Posted 02.06.18 Diana Rudean, PhD