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Our latest research

Research Paper

What Type of Companies Were Best Prepared for Remote Work?

Jul 9, 2020 ZHANG Howard, BARRERA Daniel, BONNE George

COVID-19 disrupted operating models for many businesses, forcing a shift to remote working, digitization and low-contact services, which we term “Remote Operation Capability” (ROC). Using machine learning and natural language processing techniques we built a potential ROC factor that looks at the extent to which a company was able to thrive in this environment.

MSCI Blog

Factors in Focus: How Trendy Is Your Style Factor?

Jul 6, 2020 Hitendra D Varsani, Waman Virgaonkar, Rohit Mendiratta

As markets rallied worldwide, investors took on high-beta exposure and rotated away from stocks with lower risk. The latest edition of Factors in Focus explores the details.

Did Value-Factor Exposure Deliver for Value Funds?
MSCI Blog

Did Value-Factor Exposure Deliver for Value Funds?

Jun 29, 2020 Saurabh Katiyar, Ashish Lodh, Vishad Bhalodia

Building on previous MSCI research into the nuanced performance of the value factor, including the impact of sectors and other style factors, we look at how exposure to value drove the performance of actively managed value funds.

Research Paper

Managing Climate Risk in Investment Portfolios

Jun 26, 2020 NAGY Zoltan, Rauis BRUNO

How can active managers integrate climate risk in their portfolios? We test four simple exclusion strategies on a sample global equity portfolio, examining their impact on the risk, return and market exposures.

MSCI Blog

Short Interest Factor Performance in Times of Crisis

Jun 24, 2020 Vipul Jain, Roman Kouzmenko

Given recent short interest factor performance, we asked: What has been the relationship between this factor and large market drawdowns? Were there changes in short selling during COVID-19? Did short-selling bans affect short interest factor performance?

Research Paper

Backtesting Private Asset Models

Jun 19, 2020 LIU Yang, SHEPARD Peter
MSCI Blog

Outcome-Oriented Factor Investing with a ‘Barbell’ Approach

Jun 1, 2020 Zhen Wei, Shuo Xu

Though relatively new to wealth investors, index-based factor investing has some similarity to a high-conviction, outcome-oriented approach. We explore combining the two when seeking outcomes such as equity growth, yield enhancement and risk mitigation.

Research Paper

Straight Talk on Nonlinearities in Linear Factor Models

Jun 1, 2020 BONNE George, WANG Jun, YAO Jay

We investigate the extent to which nonlinearities not captured by standard linear models within equity factor risk models are present. Overall, we found linear models created a robust framework to identify relationships between factor exposures and security returns through simple linear factors or transformed (e.g., polynomial) variants.

Elements of performance: Factors by MSCI

Elements of performance: Factors by MSCI

Factors are portfolio building blocks capable of turning data points into actionable insights. While the depth of data seems complex, putting Factors by MSCI to work for you couldn’t be any simpler.

MSCI FaCS

MSCI FaCS

Introducing a common language for factors that aims to increase transparency and investors’ understanding of equity portfolios.

Factor investing webinar series

Factor investing webinar series

Factor investing continues to evolve. Our quarterly webinar series keeps you up-to-date on our latest research about the elements of performance.