Most recent articles by Melissa R. Brown, CFA
Finding Opportunities with Axioma’s Asia Pacific ex-Japan Model
A study of style factor returns for Axioma’s Asia ex-Japan (APxJP) fundamental variant risk model reveals some potential investment opportunities for factor-based managers investing in the region.
Recessions, Expansions and Factor Performance: Not Much of a Factor-Timing Strategy
Given the recent inversion of the yield curve, and with companies like Apple guiding earnings estimates down, there’s more than just a whiff of a recession in the air.
A Shaky Start for Factor Returns, Especially in the US
With just nine days of factor returns for 2019, we have already seen sharp reversals of fortune in some factors, and an abundance of larger-than-expected returns in the US.
Minimum Variance Has Delivered in This Downturn
One of the major advantages of minimum variance strategies is that the lower-than-market volatility and beta should pay off by offering protection when the market stumbles, as it has recently.
Crowded Trades Don’t Explain Managers’ Recent Pain
A summary of our analysis of the speculation that there has been a large unwinding of crowded risk-factor positions.