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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.

MSCI Blog

Building Better ESG Indexes: 30 Years On

May 27, 2020 Stuart Doole

How ESG indexes have evolved over the past 30 years: A Q&A with Stuart Doole, head of new index development at MSCI, about his conversations with investors since the COVID19 crisis started, the growth of ESG investing and how MSCI Research uses AI and machine learning in developing its ESG indexes.

MSCI Blog

Robust Selection Paid Dividends

May 22, 2020 Neeraj Dabake, Ankit Shah

Dividend cuts following the COVID-19 slowdown led to approximately USD 194 billion of lost dividends between February and April 2020. An approach that looked beyond dividend-yield ranking would have avoided some affected companies, based on our analysis.

MSCI Blog

Five lessons for investors from the COVID-19 crisis

May 19, 2020 Dimitris Melas

COVID-19 unleashed a torrent of sharp movements across global financial markets. We highlight five key lessons for investors regarding global investing, managing factors, active management, indexed investing and ESG investing.

Research Paper

Five Lessons for Investors From the COVID-19 Crisis

May 19, 2020 MELAS Dimitris, KOUZMENKO Roman, NAGY Zoltan, KUMAR Navneet
Research Paper

Myths Debunked - Managing Risk in Commercial Real Estate

May 18, 2020
MSCI Blog

Index Rebalancing During High Volatility: A Balancing Act

May 13, 2020 Abhishek Gupta, Pavlo Taranenko, Sebastien Lieblich

Significant volatility during COVID-19 highlights a need for index reconstitution, but some may worry about trading costs and excess turnover. We investigate the balance between appropriate market representation and avoiding high index turnover.

A new day for monetary policy

A new day for monetary policy

Andy Sparks discusses the dovish stance of the Fed and other major central banks.

How can active managers put ESG to work?

How can active managers put ESG to work?

Many active managers are concerned that using ESG data might disturb investment  processes or introduce unintended biases. What’s the evidence?

Why are small caps different?

Why are small caps different?

Apart from size, what distinguishes global small-cap stocks from their large- and mid-cap counterparts?