Extended-lister

Nothing was found.

Showing 21 - 30 of 294 entries

  1. Research Paper
    Backtesting 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.

    Aug 14, 2017

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

  2. Research Paper
    Anatomy 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...

    Jul 12, 2017

    View  |  Related Products: Indexes , Portfolio Management Analytics

  3. Research Paper
    MSCI 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.

    Mar 13, 2017

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

  4. Research Paper
    MSCI Risk Monitor: RiskMetrics® Global – March 2017

    Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key global risk factors. The report examines changes in volatility and correlation behavior, and identifies days on which factor returns were a surprise relative to the risk forecasts.

    Mar 13, 2017

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

  5. Research Paper
    Backtesting Year in Review - A look at 2016

    For the year ending December 31, 2016, we analyzed the 12-month risk forecast accuracy of four categories of simulation models available in RiskMetrics RiskManager: Monte Carlo, historical, filtered historical and weighted historical.

    Mar 3, 2017

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

  6. Research Paper
    MSCI Risk Monitor: RiskMetrics® Europe – February 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.

    Feb 20, 2017

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

  7. Research Paper
    MSCI Risk Monitor: RiskMetrics® Global – February 2017

    Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key global risk factors. The report examines changes in volatility and correlation behavior, and identifies days on which factor returns were a surprise relative to the risk forecasts.

    Feb 20, 2017

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

  8. Research Paper
    Employing Style Rotation with MSCI’s Systematic Equity Strategy Factors

    The rise of factor investing and smart beta has made timing factors more relevant than ever. As active investors look for ways to differentiate their strategies from their competition, factor rotation may be another technique to explore.  In this Product Insight, we test style factor rotation methods using the Systematic Equity Strategy (SES) factors modeled by MSCI Equity Analytics Research. Using simulated history, our study found it was possible to anticipate Risk-On and Risk-Off...

    Feb 3, 2017

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

  9. Research Paper
    MSCI Risk Monitor: RiskMetrics® Europe – January 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.

    Jan 9, 2017

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

  10. Research Paper
    MSCI Risk Monitor: RiskMetrics® Global – January 2017

    Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key global risk factors. The report examines changes in volatility and correlation behavior, and identifies days on which factor returns were a surprise relative to the risk forecasts.

    Jan 9, 2017

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

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

Showing 21 - 30 of 294 entries