Showing 21 - 30 of 301 entries
Research PaperBacktesting Risk Models - August 2018
In this semi-annual update of the MSCI Model Backtesting Review, we evaluate the performance of three risk methodologies available in RiskMetrics RiskManager: Standard Normal Monte Carlo, Historical, and a new Fat-Tailed Monte Carlo methodology. The backtest was performed over the 12-month period ending June 30, 2018. Compared to previous studies, these models are tested on an extended scope of fixed income and equity portfolios, representing different segments of the U.S. and global equity...
Research PaperAnatomy of Hedge Fund Portfolios
Measuring hedge funds’ positioning and potential crowding around stocks is of interest to many investors, given these funds’ reputation for outperformance. We explore the performance of hedge fund positions using MSCI HedgePlatform, which has advantages over U.S. Form 13F filings, including monthly data points, improved timeliness and full visibility of short positions.
Research PaperIntroducing Multiple-Period Optimization - June 2017
In this paper, we introduce the Multiple-Period Optimization (MPO) - a new feature in the Barra Optimizer.
Press ReleaseMSCI Creates Factor Classification Standard by launching MSCI FaCS and MSCI Factor Box
Research PaperIntroducing MSCI FaCS
Factors are important systematic sources of risk and return in equity portfolios. Given the pervasive use of factors via both active and passive strategies, a standard approach is needed for defining factors and evaluating the factor characteristics of portfolios. We introduce MSCI FaCS, a classification standard and framework for analyzing and reporting of style factors in equity portfolios that is based on the Barra Global Total Market Equity Model for Long-Term Investors. Managers can use...
Research PaperFoundations of ESG Investing – Part 1: How ESG Affects Equity Valuation, Risk and Performance
Many studies have focused on the relationship between companies with strong ESG characteristics and corporate financial performance. However, these have often struggled to show that positive correlations — when produced — can in fact explain the behavior. This paper provides a link between ESG information and the valuation and performance of companies, both through their systematic risk profile (lower costs of capital and higher valuations) and their idiosyncratic risk profile...
Research PaperIs There a Short Interest Factor?
We introduce a new integrated short interest factor that combines multiple dimensions of short interest. The new factor combines information on the amount of shorting activity in the securities-lending market, the available lending supply, the rates investors are paying to short a security (borrow rates) and an adjustment for shorting activity due to dividend arbitrage. We find that dividend-arbitrage strategies can create large biases in short interest factors, particularly in Europe. We...
Research PaperBacktesting Risk Models - August 2017
In this semi-annual update of the MSCI Model Backtesting Review, we began by analyzing how four types of simulation models available in RiskMetrics RiskManager — Monte Carlo, historical, filtered historical and weighted historical — performed over the past 12 months, ended June 30, 2017.
Research PaperAnatomy of Active Portfolios
In constructing portfolios, asset managers expose the portfolio to factor tilts that greatly influence fund performance. Some of these exposures, which can provide sources of excess return, may be intentional but others may not. A manager who makes the wrong bet could be on the wrong side of history. Using MSCI’s Peer Analytics dataset, we examined the composition and performance drivers of active global funds through the lens of our Global Total Market Equity Model. Our key finding: Exposure...
Research PaperMSCI Risk Monitor: RiskMetrics® Europe – March 2017
Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.