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MSCI Blog

How Hedge Funds Navigated the Start of COVID-19 Volatility

May 8, 2020 Donald Sze, Navneet Kumar

How did hedge funds navigate the initial volatility amid COVID-19? Though holdings information is limited, and delayed, we gained insights into their reaction by examining the change in hedge-fund portfolios between the end of January and end of February.

MSCI Blog

Hunting a COVID-19 factor

Apr 29, 2020 George Bonne, Jun Wang

Can we identify a COVID-19 factor and quantify companies’ exposure to it? We explored three ways to do so — from very simple to more complex methods.

MSCI Blog

Resilient stocks during the dog days of March

Apr 17, 2020 Mehdi Alighanbari

While many stocks were in the red in mid-March, as COVID-19 and oil-market shocks took hold, some were “redder” than others. We examine global markets to better understand the characteristics of the more resilient stocks during this period.

MSCI Blog

Can diversification help weather the coronavirus storm?

Apr 16, 2020 Raina Oberoi, Abhishek Gupta, Jean-Maurice Ladure

Whether investors include a tactical approach or invest strategically for the long term, diversifying across factors, sectors and geographies has historically played an important role in portfolio construction. 

MSCI Blog

Factors in Focus: Risk sentiment and factor dynamics in a crisis

Apr 2, 2020 Hitendra D Varsani, Waman Virgaonkar, Rohit Mendiratta

We analyzed the market effects from COVID-19 and a Saudi Arabia/Russia oil-price war. We also examined – for the first time – credit factor performance. How did the quarter play out? What did our adaptive multi-factor model show as it ended?

Research Paper

Looking for a better hedge

Mar 30, 2020 ZHANG Howard, BONNE George

A better understanding of the relationships between companies has potential value for many financial applications. We examined three — building simple hedging portfolios, min-vol portfolios and optimized hedging portfolios — and found it reduced portfolio volatilities in all cases.

MSCI Blog

The coronavirus market impact spreads globally

Mar 5, 2020 Jun Wang, Jay Yao, George Bonne

Fear of a coronavirus pandemic and ensuing economic impacts caused sharp drops in global markets after an initially mild response. We look at recent performance from a factor perspective and how quickly factor returns and volatility reverted in past crises.

MSCI Blog

The coronavirus epidemic: Implications for markets

Feb 12, 2020 Zhen Wei, Jun Wang, Thomas Verbraken

The toll from the coronavirus has been felt throughout societies, leading to repercussions on the global economy and financial markets. We examine investor impact through markets’ economic exposures to China and factors and by stress testing portfolios.

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.