MSCI Event

Multi-Asset Class Seminar

Sep 9, 2019

View  |  Related Products: Portfolio Management Analytics , Risk Management Analytics

MSCI Event

Multi-Asset Class Seminar

Sep 9, 2019

View  |  Related Products: Portfolio Management Analytics , Risk Management Analytics

MSCI Event

Multi-Asset Class Seminar

Sep 6, 2019

View  |  Related Products: Risk Management Analytics , Portfolio Management Analytics

Research Paper

Factors’ active role in portfolio construction

As important systematic sources of risk and return, factors play a vital role in building, maintaining and measuring actively managed equity portfolios. Investors and technology continue to grow more sophisticated, which has given rise to new ways of gathering, sorting and analyzing information — and new investment approaches. A factor-based approach can provide deeper insight into funds and individual securities. Research by MSCI and others has continued to show that factors have been...

Aug 27, 2019

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Research Paper

Factor allocation to asset allocation

Asset-allocation approaches have evolved from the traditional 60/40 split to the recent adoption of risk, rather than capital, budgeting across asset classes. However, asset-class buckets are not always clear-cut risk and return drivers. We present a factor-based asset-allocation framework to help investors who have begun to look through asset classes to factors — the underlying drivers of risk and returns.

Jun 26, 2019

View  |  Related Products: ESG Products & Services , Indexes , Portfolio Management Analytics

Research Paper

The Future of Emerging Markets: 30 Years On from the Launch of the MSCI Emerging Markets Index

For the past 30 years, emerging markets have provided return enhancement and risk diversification opportunities for global equity investors. The ongoing liberalization of the domestic Chinese capital market has the potential to transform the characteristics of the equity segment and its role in global portfolios. Recently, emerging markets have experienced volatile performance, driven by changes in monetary policy, increasing political uncertainty and deteriorating conditions for...

Apr 23, 2019

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Research Paper

Weighing the Evidence: ESG and Equity Returns

Why has there been no clear consensus as to whether ESG has improved returns on a risk-adjusted basis? We find that many of the ESG investing methodologies used in studies were designed to meet social or ethical values and not financial objectives. To understand the link between companies’ ESG characteristics and their financial risk and performance, it is important to evaluate only the studies that use ESG methodologies specifically designed to identify financially relevant issues, such as...

Apr 12, 2019

View  |  Related Products: ESG Products & Services , Portfolio Management Analytics , Risk Management Analytics

Research Paper

Peering into peer selection: Quantifying company similarity

Peer selection plays a central role in many aspects of finance — including valuation, financial and competitive analysis, risk and portfolio modeling and ESG scoring and alpha generation. One common method of peers identification is industry classification, such as the Global Industry Classification Standard (GICS®). Here we ask if it’s possible to identify and measure relationships between companies from a systematic analysis of various types of data, including fundamentals, news and the...

Mar 15, 2019

View  |  Related Products: Portfolio Management Analytics

Research Paper

The MSCI Multi-Asset Class Factor Model

Jan 2, 2019

View  |  Related Products: Portfolio Management Analytics , Risk Management Analytics , BarraOne

Research Paper

Best Practices in Factor Research and Factor Models

Factors define the sources of portfolio risk and return. In this paper, we review the theoretical and empirical foundations of our factor research and factor models. MSCI factor research is firmly grounded in academic theory and empirical evidence. MSCI factor models are based on robust econometric techniques and reflect best investment practice. MSCI methodologies are transparent and publicly available. This is why the world’s leading institutional investors use MSCI factor models and...

Nov 16, 2018

View  |  Related Products: Indexes , Portfolio Management Analytics , Risk Management Analytics