Showing 91 - 96 of 96 entries
MSCI BlogCAN ALPHA BE CAPTURED BY RISK PREMIA?
Traditional investment thinking posits that alpha depends on the active decisions of portfolio managers. The search for alpha is daunting, however, because even the best analysis can be upended if the market draws a different conclusion. In addition, geopolitical and macroeconomic events can change the market environment without warning.
MSCI BlogUSING SYSTEMATIC EQUITY STRATEGIES TO BUILD BETTER PORTFOLIOS
Systematic Equity Strategies, when represented as factors in risk models, allow investment managers to better monitor the sources of risk and return in equity portfolios. We believe that they also improve forecast accuracy and help construction of portfolios that tilt towards (or away from) these strategies, which are rules-based or computer-based implementations.
MSCI BlogSELECTING THE RIGHT BLEND OF FACTOR INDEXES
Many institutional investors have struggled to determine the appropriateness of factors for their own plan, what role these allocations might play, which factors should be adopted and how factor indexes can be used.
MSCI BlogHARVESTING RISK PREMIA FOR LARGE-SCALE PORTFOLIOS
While a growing body of research shows that exposure to factors, such as Value, Momentum, Low Size and Low Volatility, has produced positive excess returns, factor investing for large-scale portfolios has not been well studied.
MSCI BlogWHAT IS FACTOR INVESTING?
Equity factor investing aims to capture exposures to different equity risk premia. Factor modeling and factor investing are rooted in the Capital Asset Pricing Model (CAPM) dating from the mid-1960s, Arbitrage Pricing Theory from the 1970s and Fama and French’s three-factor model from the 1990s.
MSCI Blog40 YEARS OF HISTORY - WITH DEEPER HISTORY COMES NEW INSIGHTS
We recently extended our simulated index factor history to 40 years, providing a unique set of data compared to others available in the marketplace. This extended history, combined with IndexMetrics, MSCI’s analytical framework, offers investors sharper tools for creating and analyzing portfolios.