Breadcrumb
Extended-lister
-
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.
-
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.
-
BLOG
THE ROOTS OF ACTIVE MANAGERS’ UNDERPERFORMANCE IN MARCH AND APRIL
Jul 7, 2014 Mehmet Bayraktar Learn MoreMarch 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.
-
BLOG
ANALYZING INDEX PERFORMANCE DURING ECONOMIC REGIMES CLASSIFIED USING CLI AND CPI
Apr 18, 2014 Altaf Kassam Learn MoreInstitutional 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...
-
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.
-
BLOG
Factor Index Performance in Changing Economic Environments
Apr 11, 2014 Dimitris Melas Learn MoreInstitutional 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.
-
BLOG
40 YEARS OF HISTORY - WITH DEEPER HISTORY COMES NEW INSIGHTS
Apr 11, 2014 Dimitris Melas Learn MoreWe 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.
-
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.
-
BLOG
IMPLEMENTING FACTORS THOUGH MULTI-FACTORS INDEX ALLOCATIONS-- A NEW APPROACH FOR INSTITUTIONAL MANDATES
Dec 3, 2013 Dimitris Melas Learn MoreLet’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.
Regulation
Cookie Preferences
Accept all cookies
This website uses cookies to remember users and understand ways to enhance their experience.
For more information, please visit our Cookie Notice.
Strictly Necessary, Functionality and Performance Cookies
We use cookies to enable you to move around our website and use its features, to provide you with functionality by remembering choices you make and provide enhanced features, and to learn how our website is performing and make improvements.
For more information, please visit our Cookie Notice.