Extended-lister

Nothing was found.

Showing 1 - 10 of 294 entries

  1. MSCI Event
    MSCI Analytics User Group

    Oct 23, 2019

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

  2. Research Paper
    Agency MBS Prepayment Model Using Neural Networks

    Mortgage-backed securities make up a huge portion of the U.S. financial system. Mortgage prepayment modeling is essential in MBS investment and risk analysis. It is also among the most complex areas of financial modeling, because of the vast data volume and large number of risk factors. Does an AI-based model using neural networks have an advantage over traditional models in taking on the complexities of MBS prepayment risk?

    Sep 27, 2019

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

  3. Research Paper
    Measuring factor exposures

    Accurately estimating factor exposures for stocks and portfolios can be economically relevant and may improve the investment process for a variety of investors, including asset owners, quantitative managers, wealth managers and risk managers. Methods for measuring exposures vary, however. We provide a comparative analysis of two such techniques — one based on time-series regression models, the other on observable firm characteristics.

    Sep 26, 2019

    View  |  Related Products: Indexes , Portfolio Management Analytics

  4. Research Paper
    A consumer sentiment factor from web content

    The explosion in alternative data has been a blessing and a curse to investment managers. We have identified one source that provided unique and uncorrelated information when added to analysis of traditional factors and other measures of sentiment. These consumer sentiment metrics may provide investors with additional transparency into sources of risk and return, and could potentially be used to create valuable new factors.

    Sep 18, 2019

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

  5. 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

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

  6. 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

  7. 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

    View  |  Related Products: Indexes , Portfolio Management Analytics

  8. 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

  9. 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

  10. Research Paper
    The MSCI Multi-Asset Class Factor Model

    Jan 2, 2019

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

-
-
-
-
-
-
-
-
-
-
-
-
-
-
-

Showing 1 - 10 of 294 entries