Apr 27, 2017| Factors
Asset managers devise investment strategies aimed at beating their benchmarks, but sometimes these strategies fall down in their implementation. Understanding exposures to different factors enables asset managers to make more informed decisions and allows institutional investors to evaluate the alignment...Read More »
Apr 20, 2017| Risk Management
France’s April 23 presidential election looms as the next important test for the future of the European Union and its common currency, the euro. The questions for institutional investors: What is the risk of France quitting the eurozone and what are the implications for their portfolios?Read More »
Apr 19, 2017| Real Estate Investing
A property owned by a listed real estate company, such as a Real Estate Investment Trust (REIT) or a real estate management and development company, should produce returns close to those of an equivalent asset that is privately owned. In reality, however, the results differ, especially when looking at...Read More »
Apr 10, 2017| Real Estate Investing
Following the global financial crisis, the European Insurance and Occupational Pension Authority (EIOPA) required European insurers to reserve capital equal to 25% of the market value of their real estate assets to protect against a 1 in 200 chance of a catastrophic financial event. While reserving against...Read More »
Since Prime Minister Shinzo Abe took office in 2012, he has embarked on a series of economic revitalization policies aimed at jostling Japan out of its so-called “lost decades,” the long period of sluggish growth and recurring deflation that followed the collapse of the country’s 1980s bubble economyRead More »
Institutional investors use factors to capture returns and understand drivers of risk and return in their listed securities portfolios. Can factors that have generated long-term premia in equity markets help identify private real estate assets that have outperformed historically?Read More »
Institutional investors worldwide traditionally have tended to focus on the stocks of larger companies, finding them less risky, more liquid and offering greater investment capacity than small-cap stocks. But asset owners and managers increasingly are allocating strategically to the small-cap equity...Read More »
Mar 15, 2017| Risk Management
The United Kingdom is about to begin negotiations over its exit from the European Union. Though the process could take up to two years, the triggering of talks leaves institutional investors to assess how Brexit, at least at the outset of negotiations, may affect their portfolios.Read More »
Mar 13, 2017| Factors
Minimum volatility strategies have historically delivered above-average returns with below-average risk, especially in volatile market environments as have occurred in recent years. During this period, the world also has experienced low interest rates.Read More »
Nov. 03, 2014
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.
Nov. 03, 2014
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.
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.
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...
Apr. 11, 2014
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.
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.
Apr. 11, 2014
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.
Jan. 21, 2014
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.
Dec. 03, 2013
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.
Insights, data and commentary from MSCI Research about global investing, the movement of asset prices, investing for the long term, and risk and return to help investors make better-informed decisions.