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Showing 31 - 40 of 295 entries

  1. 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

  2. Research Paper

    MSCI Risk Monitor: RiskMetrics® Europe – December 2016

    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.

    Dec 20, 2016

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

  3. Research Paper

    MSCI Risk Monitor: RiskMetrics® Global – December 2016

    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.

    Dec 20, 2016

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

  4. Research Paper

    Introducing News Sentiment: A Systematic Equity Strategy Factor

    In this white paper, we introduce News Sentiment, one of the Systematic Equity Strategy (SES) factors modeled by MSCI Equity Analytics Research. The News Sentiment factor seeks to identify market inefficiencies during the lag between reports about an event on newswires and social media and actions taken by investors in response to them.  Our factor helps clients measure this inefficiency by combining two descriptors: an events-driven sentiment score and a composite sentiment score,...

    Dec 7, 2016

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

  5. Research Paper

    Introducing Analyst Sentiment: A Systematic Equity Strategy Factor

    In this white paper, we introduce the Analyst Sentiment factor, one of the Systematic Equity Strategy (SES) factors modeled by MSCI Equity Analytics Research.  The Analyst Sentiment factor seeks to identify market inefficiencies that can occur during the lag between an analyst forecast and the time it takes investors to respond to a change in analyst views.  This paper finds that, over a study period of more than 20 years, the Analyst Sentiment descriptors produced positive drift at...

    Dec 7, 2016

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  6. Research Paper

    Introducing Momentum: A Systematic Equity Strategy Factor

    In this white paper we introduce Momentum, one of the Systematic Equity Strategy (SES) factors modeled by MSCI Equity Analytics Research.  This paper finds that the SES Momentum factor measures the tendency of equities that have outperformed the market to continue outperforming while underperformers keep underperforming. The persistence of this factor is well documented, and so are the periodic, sharp reversals at market inflection points. Behavioral finance theory supports these...

    Dec 7, 2016

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  7. Research Paper

    Factor Investing and ESG Integration

    Integrating ESG criteria into equity portfolios raises important portfolio construction questions. For example, what is the impact of ESG on portfolio performance and characteristics? How does it alter the risk profile and the factor exposures of portfolios? How does it affect institutional investors’ ability to pursue their investment strategy?  Our results show that integrating ESG criteria into passive strategies generally improved risk-adjusted performance over the period 2007 to...

    Nov 30, 2016

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

  8. Research Paper

    MSCI Risk Monitor: RiskMetrics® Europe - November 2016

    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.

    Nov 18, 2016

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

  9. Research Paper

    MSCI Risk Monitor: RiskMetrics® Global - November 2016

    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.

    Nov 18, 2016

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

  10. Research Paper

    MSCI Risk Monitor: RiskMetrics® Europe - October 2016

    Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key global risk factors.

    Oct 13, 2016

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

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Showing 31 - 40 of 295 entries