Dynamic content cards

Our latest research

Research Paper

Building Single-Factor Portfolios

Jul 27, 2020 GUPTA Abhishek, LODH Ashish, BARMAN Subhajit

We examine considerations when constructing single-factor portfolios: starting from a security universe with fixed target-market-cap coverage or fixed number of securities; assessing factor exposure on single or multiple factor descriptors: choosing how broad a subset to use from the underlying universe; and determining the pros and cons of different portfolio-weighting schemes.

MSCI Blog

Corporate Bonds Through a Factor and ESG Lens

Jul 20, 2020 Rohit Mendiratta, Hitendra D Varsani

COVID-19 has had a profound impact on how companies manage cash flows and liquidity. Bond investors face the possibility of increased leverage, rating downgrades and defaults. Can factors and ESG metrics shed light on these risks?

MSCI Blog

Measuring Firms’ Remote-Workforce Abilities

Jul 14, 2020 Howard Zhang, Daniel Barrera, Manuel Rueda

It’s clear that some companies were better positioned to take advantage of a remote work environment than others. We built a hypothetical “remote-operation capacity” factor to seek to measure the effect on different firms.

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?

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.