Our perspective on global micro event and strategies.
As director of Investment Strategy, Gregg leads our Manager Research and Fundamental Factor Platform investment teams. These teams conduct original research on factor investing, risk management, manager evaluation, analytical systems, and portfolio construction. Their mission is to be a trusted partner to the firm’s clients by conducting independent manager and factor research, creating innovative strategies to solve client challenges, advising clients on opportunities and risks in their portfolios, or directly generating investment performance through solutions to meet client-directed objectives.
Typically, when we think of defense and risk aversion, we think of countercyclical exposures, where the focus is on certainty on earnings, stable and strong fundamentals, and/or low price volatility. This is separate from our view on factors utilized for capital appreciation, such as growth or value factors. In Figure 1, we show the down-market capture (DMC) for commonly used factors in the US and Europe over the long term and during the market sell-off between February 18 and March 23. The numbers indicate how much of the down-market return the factor “captures.” For example, if the market was down 10% and the DMC was 60%, the factor return was…