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The Pressure of the Crowd: Stress Testing Thematic Indexes
May 17, 2021Equity Themes , Risk Management , Global Investing
Learn MoreSome investors may be concerned about crowding within the fast-growing thematic-investing segment. Using MSCI’s stock-crowding model, we identify crowded themes and run stress tests to understand how they might respond to an equity sell-off.
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Many look to market-cap indexes when comparing the performance characteristics of growth and value funds — including manager skill. We found a switch to style indexes reduced industry- and style-factor contributions and made manager skill more apparent.
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Given the complexity of U.S. tax regulation, wealth advisers continue to grapple with how to build tax-efficient portfolios while balancing clients’ other objectives. We propose a rules-based way of doing so and analyze its benefits and trade-offs.
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Why Is Climate-Transition Risk High in High Yield?
May 6, 2021 Bruno Rauis , Juan Sampieri , Andy SparksESG Research , Fixed Income , Risk Management
Learn MoreInvestors increasingly focus on building greener portfolios. Some might expect bonds to be less exposed to climate-transition risk compared to equities, due to the seniority of bonds in the capital structure. But does that logic hold at the portfolio level?
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Whether constructing a fundamental factor model, a value strategy or a value index, valuation ratios need context. Time-series and cross-sectional approaches each have pros and cons. But combining the two may have presented a clearer picture.
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Bringing Value to the 21st Century
Apr 28, 2021 Mehdi Alighanbari , Arihant Jain , Saurabh Katiyar , Katiyar Saurabh Learn MoreIn the second post in our series, we further probe value’s underperformance over the past decade and ask if the historic definition of value remains relevant. We specifically look at whether a company’s valuation can be enhanced by reflecting R&D investments.
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COVID-19 disrupted real estate across countries and property segments. The biggest initial impacts were felt in retail, leisure and hotels. But more recently, the performance of listed offices has lagged.
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BLOG
Modern Slavery: The Unseen Risks
Apr 26, 2021 Morgan EllisESG Research , Global Investing
Learn MoreModern slavery occurs all over the world and can impact virtually all industries. Meanwhile, regulations requiring more detailed reporting on potential supply-chain exposure is increasing. How can investors identify portfolio holdings most at risk?
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BLOG
Factor Investing Held in High-Volatility/-Concentration Period
Apr 23, 2021 Abhishek Gupta , Ashish LodhFactor Indexes , Factors , Risk Management
Learn MoreU.S. equity markets have experienced increased volatility coupled with concentration in a handful of megacap companies. Has this hampered investors’ ability to capture factors effectively? Have stock-specific risks dominated factor indexes?
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Some ESG Funds Are Not Like the Others
Apr 19, 2021 Rumi MahmoodESG Research , Global Investing
Learn MoreESG funds’ holdings can vary significantly, depending on their objectives, methodologies and geographic exposures. We examined the 20 largest equity funds in our coverage universe.
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