Showing 21 - 30 of 30 entries
MSCI BlogWhat is going on with factor returns?
Value and momentum factors typically move in opposite directions—that is, when one outperforms the market, the other usually underperforms. In June, however, both factors underperformed the market, leading some observers to question whether this change in market behavior is impairing quantitative strategies.
MSCI BlogWinners and losers of a U.S.-China trade war
The question of who wins or loses a U.S.-China trade war has more than two possible answers. While much of the analysis has focused on China’s heavier reliance on exports to the U.S., American companies (and those who invest in them) actually have greater revenue exposure to China than the other way around. In fact, 5.1% of the revenues of companies in the MSCI USA Index come from China and may be at risk as a result of a trade war. In comparison, only 2.8% of the revenues of the companies in the MSCI China Index come from the U.S.
MSCI BlogIntegrating ESG criteria into factor index construction
Institutional investors increasingly are moving toward integrating ESG criteria into their portfolios and their factor allocations, in particular. This shift is driven by their recognition of the financial relevance of ESG issues to their risk management and their focus on long-term sustainable investing.
MSCI BlogMSCI DIVERSIFIED MULTIPLE-FACTOR INDEXES
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.
MSCI BlogFINDING VALUE: UNDERSTANDING FACTOR INVESTING
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.
MSCI Blog"FACTORING" IN THE EMERGING MARKETS PREMIUM
Factor indexes historically have generated premia in developed markets. Now, as global markets have become more correlated, investors are starting to seek additional sources of returns within emerging markets.
MSCI BlogANALYZING INDEX PERFORMANCE DURING ECONOMIC REGIMES CLASSIFIED USING CLI AND CPI
Institutional investors are trying to better understand how their portfolios benchmarked to factor indexes may behave in different economic regimes. In previous posts, we tried to answer the question: "I think economic activity/inflation is going to increase/decrease over the near term...
MSCI BlogFactor Index Performance in Changing Economic Environments
Institutional investors have historically been concerned over the changing state of the economy and its impact on their investments whether it was about "Abenomics" or "taper tantrums." As a result, we are noting that they are increasingly taking changing macroeconomic conditions into consideration for their asset allocations.
MSCI BlogTHE DIFFERENT WAYS MACRO RISK IMPACTS FACTOR INDEXES
As we recently said in our post, systematic factors have historically been sensitive to macroeconomic and market forces but not in the same way. For example, some, such as Value, Momentum and Size have been pro-cyclical, meaning they outperformed when economic growth and volatility were rising.
MSCI BlogIMPLEMENTING FACTORS THOUGH MULTI-FACTORS INDEX ALLOCATIONS-- A NEW APPROACH FOR INSTITUTIONAL MANDATES
Let’s look at how factor allocations fit in the traditional institutional portfolio setting. Factor investing utilizing indexes can be viewed as active decisions implemented through passive replication. As such, factor allocations should be tailored to each institution.