Factor Spotlight

Momentum saw the largest decline in both US and Worldwide models this week.

We dissect the recent plunge in Medium-Term Momentum and share our observations.

This week we will address the perspective of the Asset Owner and how investors can integrate ESG into their investment process.

We use our new Compare tool to compare ESG characteristics of the S&P 500, NASDAQ, and Russell 3000.

Introducing our new framework that merges ESG data with traditional equity factor models.

We decompose the “G” in "ESG" to find out what KPIs have steered performance in the Governance space

We decompose the “S” in "ESG" to find out what KPIs have steered performance in the Social space.

We decompose the “E” in ESG to find out what elements have steered performance in our Environmental basket

Using our ESG framework, we measure performance for our Environmental, Social, and Governance portfolios separately.

We compare our base and sector neutral ESG portfolios to see which approach is better for ESG portfolio construction.