The emerging markets rally, the U.S. dollar’s depreciation and the resurgence of global growth were the top three drivers behind a double-digit rally in global equities last year. Stocks were led by the MSCI Emerging Markets Index’s 38% return. Developed markets, as represented by the MSCI World Index,...Read More »
Jan 11, 2018| General
As central banks continue to keep interest rates at historic lows, many institutional investors have turned to leveraged loans for their attractive yields.Read More »
The U.S. Securities and Exchange Commission’s liquidity rule is designed to protect investors from incurring significant transaction costs when the assets in their mutual funds are not liquid enough to sustain funds’ redemption policies.Read More »
Nov 29, 2017| ESG Research
Are ESG characteristics tied to stock performance? Many researchers have studied the relationship between companies with strong environmental, social and governance (ESG) characteristics and corporate financial performance. A major challenge has been to show that positive correlations — when produced —...Read More »
Nov 21, 2017| Real Estate Investing
Increasingly, institutional investors with international strategies tend to concentrate their search for attractive property investments in established Central Business Districts (CBDs) within “global gateway cities,” such as New York, London and Hong Kong.Read More »
In the age of big data, fundamental stock pickers face a major challenge. Stock selection typically depends on establishing research conviction in the operating models of companies, such as identifying inexpensive businesses that demonstrate sustainable competitive advantage, disciplined capital management...Read More »
Over the last decade, asset owners have implemented factor investment programs with a focus on domestic markets. Increasingly, they are also funding equity factor programs in international markets. Two catalysts are driving this trend. First, there has been a steady erosion in asset owners’ home biases,...Read More »
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.
Sep. 21, 2015
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.
Sep. 15, 2015
Private real estate and other real assets have become a major component of many institutional investors’ portfolios in recent years, but risk management has lagged. A wide range of proxies and assumptions have stood in place of a solid risk management framework, with perhaps the most common risk model being … nothing.
Aug. 27, 2015
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.
Aug. 24, 2015
Almost five years ago, MSCI introduced a new line of “multi-factor indexes” that combine factor building blocks into multi-factor combinations to enable investors to focus on specific investment objectives or reflect particular expectations about market performance.
Jul. 09, 2015
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.
Jun. 24, 2015
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.
Jun. 22, 2015
The “quant meltdown” of 2007 and the subsequent global financial crisis highlighted the risks of crowded investment strategies. The recent growth of “smart beta” indexes and their use in ETFs has added to concerns about crowding.
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.
May. 05, 2015
As an asset class, real estate typically has a high degree of home bias, especially when compared to equities and fixed income. However, this home bias is starting to erode, with asset owners in most countries already investing internationally or actively exploring options for building off-shore exposures.
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.