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  1. BLOG

    Multi-factor strategies highlight benefits of diversification 

    Mar 14, 2016 Dimitris Melas

    Factor Investing

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    The cyclicality of factor strategies means that individual factors can deliver a premium against the market over time but that any one factor can experience periods of underperformance.

  2. BLOG

    Are Your Factors Aligned? 

    Mar 10, 2016 Mehmet Bayraktar

    Integrated Risk Management

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    Many institutional investors develop proprietary return forecasting models, but use third-party/alternative models to measure risk and transaction costs.

  3. BLOG

    The value factor marks a decade of disappointment 

    Mar 9, 2016 Remy Briand

    Factor Investing

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    Call it a lost decade. The value factor recently marked 10 years of decline in the U.S.

  4. BLOG

    Unpacking the volatility so far 

    Feb 18, 2016 Dimitris Melas

    Global Investing

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    The year that began in January stands out for the uncertainty that has rocked the global economy. The search for growth, the prospect of deflation and a slowdown in China have combined to roil financial markets and challenge asset owners and managers worldwide

  5. BLOG

    How smart beta has performed amid the volatility 

    Feb 16, 2016 Remy Briand

    Factor Investing

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    The fitfulness of the global recovery has produced quick and unexpected changes in financial markets and handed portfolio managers the challenge of allocating assets amid the market stress.

  6. BLOG

    Constructing Low Volatility Strategies 

    Jan 25, 2016 Dimitris Melas

    Factor Investing

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    Low volatility is one of the few factors that have historically performed well in turbulent markets.

  7. BLOG

    2016: The Year of Living Dangerously? 

    Jan 13, 2016 Remy Briand

    Integrated Risk Management

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    If 2015 market volatility frayed investor nerves, 2016 might be even more of a nail-biter. MSCI identified 12 stress points globally to be used in quantifying the effect on portfolios of a range of shifts in markets, liquidity and the macroeconomy.

  8. BLOG

    THE DIVIDEND YIELD FACTOR: DEFYING CONVENTIONAL WISDOM 

    Dec 15, 2015 Zhen Wei

    Factor Investing

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    Ever since central banks slashed interest rates in response to the Global Financial Crisis, investors have been searching for yield.

  9. BLOG

    RIDING ON MOMENTUM 

    Dec 15, 2015 Dimitris Melas

    Factor Investing

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    Momentum, the tendency of past winners to continue to do well in the near future, is used widely in risk models and in quantitative strategies. Recently, momentum has also been the basis for factor indexes aiming to replicate the performance of this pervasive factor.

  10. BLOG

    THE FED RATE HIKE 

    Dec 14, 2015 Raghu Suryanarayanan

    Integrated Risk Management

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    The U.S. Federal Reserve is on the verge of raising short-term rates for the first time since the global financial markets crisis hit seven years ago.

  11. BLOG

    STRESS TESTING A CHINA HARD LANDING 

    Oct 22, 2015 Carlo Acerbi

    Integrated Risk Management

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    The decline in Chinese equities and commodity prices this summer renewed investor concerns about a possible economic hard landing in the Asian giant. In particular, the 8.5% market plunge on August 24 spread fear into global markets that continues to this time.

  12. BLOG

    MULTI-ASSET CLASS RISK: SEEING THE FOREST AND THE TREES 

    Oct 1, 2015 Peter Shepard

    Integrated Risk Management

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    As investors shift toward global, multi-asset class strategies from narrower mandates, the number of dimensions to manage is rapidly increasing. This complexity requires seeing both the forest and the trees. Investors need a multi-asset class view of the markets, but they also need to understand the unique drivers of risk and return within each market.

  13. BLOG

    FLIGHT TO QUALITY 

    Sep 21, 2015 Chin Ping Chia

    Factor Investing

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    The quality factor has demonstrated long-term outperformance against the market, but it has not received the same attention as the value, size or momentum factors.

  14. BLOG

    BACKTESTING RISK MODELS: WHAT WE LEARNED 

    Aug 27, 2015 Carlo Acerbi

    Integrated Risk Management

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    Risk measures, such as Expected Shortfall and Value at Risk, are designed to calculate the risk of a portfolio. But different risk models may work better than others for different asset classes and in varying time horizons. The MSCI Model Scorecard provides an innovative tool designed to help select the best risk model in terms of Expected Shortfall (ES) and Value at Risk (VaR) predictivity.

  15. BLOG

    SHOULD INVESTORS CARE ABOUT ACTIVE SHARE? 

    Jul 14, 2015 Stanislav Radchenko

    Factor Research Group

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    "Active Share” — a popular measure of how a portfolio’s composition differs from its benchmark — has been widely credited as a predictor of manager skill. Initial academic research has shown that active managers with high Active Share and low Tracking error enjoyed persistent outperformance.

  16. BLOG

    FINDING VALUE: UNDERSTANDING FACTOR INVESTING 

    Jul 9, 2015 Raman Aylur Subramanian

    Factor Indexes

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    Despite agreement on the principles of value investing, the investment community uses a number of different metrics to describe the value factor. Each metric (or descriptor) has its own advantages and pitfalls.

  17. BLOG

    ECONOMIC EXPOSURE IN GLOBAL INVESTING 

    Jul 8, 2015 Remy Briand

    Economic Exposure

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    As companies expand their footprint globally, the geographic distribution of their revenues evolves over time and their economic exposures may diverge from their country of domicile and primary listing. We believe that this raises a critical issue for institutional investors.

  18. BLOG

    There is More Than Equity in Private Equity 

    Jun 29, 2015 Peter Shepard

    Models/Client Cases

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    Private equity is both “private” and “equity.” The valuations look smooth from quarter to quarter, but in the long run, private equity shows a strong relationship with equity and is exposed to many of the same systematic factors that drive traditional assets.

  19. BLOG

    MULTI-FACTOR INDEXES MADE SIMPLE 

    Jun 24, 2015 Chin Ping Chia

    Factor Investing

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    Institutional investors are increasingly gravitating towards multi-factor allocations as the preferred approach to factor investing. But how should factor indexes be combined?

  20. BLOG

    VIEWING RISK FROM ANY ALTITUDE 

    Jun 24, 2015 Jesse Phillips

    Models/Client Cases

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    Some large institutional investors prefer the granularity of a bottom‐up factor model – the way risk is allocated across markets, styles, issuers and industries – while others may prefer a more aggregated view. These investors would rather decompose risk into a few broad themes, such as by grouping fixed-income risk across markets into a level and a slope factor.

  21. BLOG

    CAN ALPHA BE CAPTURED BY RISK PREMIA? 

    Jun 16, 2015 Brett Hammond

    Factor Investing

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    Traditional investment thinking posits that alpha depends on the active decisions of portfolio managers. The search for alpha is daunting, however, because even the best analysis can be upended if the market draws a different conclusion. In addition, geopolitical and macroeconomic events can change the market environment without warning.

  22. BLOG

    INTEGRATED FIXED-INCOME RISK AND PERFORMANCE ANALYSIS 

    May 27, 2015 Andy Sparks

    Integrated Risk Management

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    Asset managers look at both risk and return in their portfolios. However, it is not always so easy to report and analyze risk and performance attribution on the same platform and along the same dimensions. This type of integrated ex‐ante and ex-post analysis can be carried out in BarraOne, MSCI’s multi‐asset class, multi‐currency, risk and performance analysis platform.

  23. BLOG

    TILTING TO U.S. SMALL CAPS: USING MSCI ANALYTICS IN PORTFOLIO CONSTRUCTION 

    May 15, 2015 Raman Aylur Subramanian

    Factors

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    U.S. cap-weighted, small-cap benchmarks have historically displayed structural biases that affect performance. For example, small-cap indexes have sector, revenue and style tilts compared to the broad U.S. market.

  24. BLOG

    GLOBAL EQUITY ALLOCATION: A NEW PARADIGM IS DEVELOPING 

    Apr 29, 2015 Remy Briand

    Global Investing

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    Maintaining a “home bias” in the equity portfolio may come with huge opportunity costs. In a 2012 study MSCI prepared for Norway’s Ministry of Finance, we examined...

  25. BLOG

    Measuring Liquidity Risk 

    Apr 23, 2015 Carlo Acerbi

    Integrated Risk Management

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    After the global financial crisis of 2008, investors and regulators realized that liquidity risk in multi-asset class portfolios could no longer be overlooked. Too many risk models had assumed ample funding and low trading costs, which contributed to the meltdown.

  26. BLOG

    USING SYSTEMATIC EQUITY STRATEGIES TO BUILD BETTER PORTFOLIOS 

    Apr 23, 2015 Mehmet Bayraktar

    Factor Investing

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    Systematic Equity Strategies, when represented as factors in risk models, allow investment managers to better monitor the sources of risk and return in equity portfolios. We believe that they also improve forecast accuracy and help construction of portfolios that tilt towards (or away from) these strategies, which are rules-based or computer-based implementations.

  27. BLOG

    BACKTESTING EXPECTED SHORTFALL 

    Mar 17, 2015 Carlo Acerbi

    Integrated Risk Management

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    When RiskMetrics, now a part of MSCI, announced Value-at-Risk (VaR) as its stated measure of risk in 1996, it initiated an industry standard for institutional risk management that was quickly adopted by the Basel Committee on Banking Supervision for its internal capital adequacy models.

  28. BLOG

    CHINA A-SHARES: TOO BIG TO IGNORE 

    Feb 11, 2015 Chin Ping Chia

    Global Investing

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    China A-Shares are too big to be ignored but remain difficult for many institutional investors to access. How can global investors avoid a stock market that is now the world’s third-largest, with a total market value of nearly USD 4 trillion, putting it just behind the United States and Japan?

  29. BLOG

    U.S. MARKET BRIEF- MOMENTUM STRATEGIES OUTPERFORMED IN A VOLATILE MONTH 

    Feb 2, 2015 Mehmet Bayraktar

    Factors

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    January saw the return of volatility to the U.S. equity market. A confluence of factors led to this uncertainty: Investors were faced with the influence of a stronger dollar and the effect of lower oil prices on corporate earnings growth.

  30. BLOG

    SELECTING THE RIGHT BLEND OF FACTOR INDEXES 

    Dec 9, 2014 Dimitris Melas

    Factor Investing

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    Many institutional investors have struggled to determine the appropriateness of factors for their own plan, what role these allocations might play, which factors should be adopted and how factor indexes can be used.

  31. BLOG

    SMALL CAPS - NO SMALL OVERSIGHT 

    Dec 9, 2014 Raman Aylur Subramanian

    Global Investing

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    Many institutional investors recognize that their reference universe should include large-, mid- and small-cap equities and that smaller companies should earn a risk premium over larger ones. In practice, however, many of these investors - particularly in Europe and Asia - underweight the small-cap segment.

  32. BLOG

    SOME LIKE IT HOT: VERY ACTIVE MANDATES IN A CORE-SATELLITE STRUCTURE 

    Nov 24, 2014 Raman Aylur Subramanian

    Global Investing

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    Investors have long debated the benefits of active versus passive investing. There are institutional investors with strong convictions in each camp, but many have become increasingly pragmatic, combining active and passive mandates in pursuit of the best risk-adjusted return.

  33. BLOG

    "FACTORING" IN THE EMERGING MARKETS PREMIUM 

    Nov 3, 2014 Raman Aylur Subramanian

    Factor Indexes

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    Factor indexes historically have generated premia in developed markets. Now, as global markets have become more correlated, investors are starting to seek additional sources of returns within emerging markets.

  34. BLOG

    WHAT IS FACTOR INVESTING? 

    Nov 3, 2014 Raman Aylur Subramanian

    Factor Investing

    Learn More

    Equity factor investing aims to capture exposures to different equity risk premia. Factor modeling and factor investing are rooted in the Capital Asset Pricing Model (CAPM) dating from the mid-1960s, Arbitrage Pricing Theory from the 1970s and Fama and French’s three-factor model from the 1990s.

  35. BLOG

    THE ROOTS OF ACTIVE MANAGERS’ UNDERPERFORMANCE IN MARCH AND APRIL 

    Jul 7, 2014 Mehmet Bayraktar

    Models/Client Cases

    Learn More

    March and April of this year saw one of the worst periods of active performance over the past 10 years for actively managed portfolios. And this happened, despite a flat stock market and historically low volatility levels.

  36. BLOG

    ANALYZING INDEX PERFORMANCE DURING ECONOMIC REGIMES CLASSIFIED USING CLI AND CPI 

    Apr 18, 2014 Altaf Kassam

    Factor Indexes

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    Institutional investors are trying to better understand how their portfolios benchmarked to factor indexes may behave in different economic regimes. In previous posts, we tried to answer the question: "I think economic activity/inflation is going to increase/decrease over the near term...

  37. BLOG

    Factor Index Performance in Changing Economic Environments 

    Apr 11, 2014 Dimitris Melas

    Factor Indexes

    Learn More

    Institutional investors have historically been concerned over the changing state of the economy and its impact on their investments whether it was about "Abenomics" or "taper tantrums." As a result, we are noting that they are increasingly taking changing macroeconomic conditions into consideration for their asset allocations.

  38. BLOG

    THE DIFFERENT WAYS MACRO RISK IMPACTS FACTOR INDEXES 

    Apr 11, 2014 Dimitris Melas

    Factor Indexes

    Learn More

    As we recently said in our post, systematic factors have historically been sensitive to macroeconomic and market forces but not in the same way. For example, some, such as Value, Momentum and Size have been pro-cyclical, meaning they outperformed when economic growth and volatility were rising.

  39. BLOG

    40 YEARS OF HISTORY - WITH DEEPER HISTORY COMES NEW INSIGHTS 

    Apr 11, 2014 Dimitris Melas

    Factor Investing

    Learn More

    We recently extended our simulated index factor history to 40 years, providing a unique set of data compared to others available in the marketplace. This extended history, combined with IndexMetrics, MSCI’s analytical framework, offers investors sharper tools for creating and analyzing portfolios.

  40. BLOG

    The Next Generation of Global Investors 

    Jan 21, 2014 Chin Ping Chia

    Global Investing

    Learn More

    We’ve observed that many institutional investors have abandoned their historical domestic-equity bias and now view global equities as a single, broad asset class. In high-growth economies, however, particularly in Asia, Central and Eastern Europe, Africa and Latin America, many investors remain focused primarily on domestic stocks.

  41. BLOG

    IMPLEMENTING FACTORS THOUGH MULTI-FACTORS INDEX ALLOCATIONS-- A NEW APPROACH FOR INSTITUTIONAL MANDATES 

    Dec 3, 2013 Dimitris Melas

    Factor Indexes

    Learn More

    Let’s look at how factor allocations fit in the traditional institutional portfolio setting. Factor investing utilizing indexes can be viewed as active decisions implemented through passive replication. As such, factor allocations should be tailored to each institution.

Showing 401 - 441 of 441 entries