Extended-lister
Showing 1 - 10 of 307 entries
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MSCI Event
MSCI in Practice: Multi-Period Stress Testing: A New Lens for Portfolio and Risk ManagementPortfolio Management Analytics Risk Management Analytics
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MSCI Event
MSCI in Practice: Constructing multi-asset class climate-aware portfolios using BarraOnePortfolio Management Analytics Risk Management Analytics
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MSCI Event
Implications for SEC’s rule 18f-4 on the use of DerivativesPortfolio Management Analytics Risk Management Analytics
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Research Paper
2021 ESG Trends to WatchIndexes ESG Products & Services Portfolio Management Analytics
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MSCI Blog
Investor Reaction to US Elections and COVID-Vaccine ProgressTo gauge investor expectations after Joe Biden was declared winner of the U.S. election and good news broke about COVID vaccines, we surveyed 151 U.S.-based financial advisers. We examine the advisers’ views on the next 12 months and markets’ reaction since Election Day.
ESG Climate Solutions Equity Risk Models All Country Indexes
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Research Paper
Building Single-Factor PortfoliosIn this study, we focus on some of the issues investors face when constructing long-only non-optimized single-factor portfolios using simple heuristics-based rank-select-weight algorithms. In doing so, investors may ask: Should they start from a universe of securities with a fixed target-market-cap coverage or a fixed number of securities? Should they assess factor exposure based on single or multiple factor descriptors? How broad a subset of securities will they use from the underlying...
Portfolio Management Analytics Risk Management Analytics
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Research Paper
What Type of Companies Were Best Prepared for Remote Work?COVID-19 disrupted the operating models of many businesses and forced a shift to remote working, digitization and low-contact transactions and services, which we term “Remote Operation Capability” (ROC). Some corporations were better positioned to take advantage of a remote, automated and digitized operating environment. We utilized machine-learning and natural language-processing techniques to build a potential ROC factor that looks at the extent to which a company was more likely to thrive...
Risk Management Analytics Portfolio Management Analytics
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Research Paper
Managing Climate Risk in Investment PortfoliosInvestors are increasingly concerned about how climate change and a transition to a low-carbon economy could impact the risk and return profile of their portfolios. In this case study, we selected a sample portfolio representative of a global actively managed fund in terms of its risk-return characteristics and used the MSCI Climate Value-at-Risk model to examine the different dimensions of climate-related risks. We show how Climate VaR can be used to measure climate risks for the portfolio...
ESG Products & Services Portfolio Management Analytics ESG Climate Solutions ESG Climate VaR
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Research Paper
Backtesting Private Asset ModelsMSCI’s Barra Private Real Estate Model (PRE2), Barra Private Equity Model (PEQ2) and MSCI Private Infrastructure Model (PIN1) have advanced the understanding of investments in global private assets. Private assets were once considered low-risk investments uncorrelated with most public assets due to the smoothness in private asset valuations. With innovative statistical methodology, the MSCI private asset models reveal the intrinsic risk in private assets, show large exposures to systematic...
Portfolio Management Analytics Risk Management Analytics
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Research Paper
Straight Talk on Nonlinearities in Linear Factor ModelsLinear regression models have been the workhorses of finance and economics. However, given increasing attention to nonlinear methods, we investigate the extent to which nonlinearities not captured by standard linear models within equity factor risk models are present. Adding nonlinear factors in simple polynomial functions of their linear counterparts contributed some additional explanatory power to the cross-section of security returns. Furthermore, some generated factor returns and...
Portfolio Management Analytics