Most recent articles by Melissa R. Brown, CFA
Curiouser and Curiouser: Reflections on 2019 Factor Performance or “Shortchanged by the No-Short Constraint”
Many quant managers are having a tough year. While one might blame factors in general, their returns do not tell the whole story (or even the bulk of the story).
Axioma’s New Canada Model Adds Macroeconomic Sensitivities
We have added two other factors to the new model that reflect the unique composition of the Canadian economy: residual gold sensitivity and residual oil sensitivity.
Uh-Oh, Canada: Canadian Style Factors Show High Volatility
While Version 4 of our Canada model also showed some big differences between Canada and other markets, Canada stood out most in terms of factor volatility.
Do Yield Curve Inversions Impact Factor Performance?
A client recently asked an intriguing question: “Do style factors behave differently after a yield-curve inversion?” One might think they would, but that turned out not to be the case.
New Axioma Risk Model Shows UK Bests Many Regions in Return Opportunities
The introduction of an upgraded risk model provides us with a new opportunity to look at factors, and whether we can expect their risks to be compensated over time.