Extended-lister
Showing 3461 - 3470 of 3,489 entries
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Fact Sheet
MSCI EMU SRI S-Series 5% Capped Index (EUR) (NET)PDF
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Research Paper
Deploying Multi-Factor Index AllocationsFactor investing has become a widely discussed part of today’s investment canon. This paper is the second in a three-paper series focusing on factor investing. In the first paper, "Foundations of Factor Investing," we discussed six factors - Value, Low Size, Momentum, Low Volatility, Yield, and Quality - that historically have earned a premium over long periods, represent exposure to systematic sources of risk, and have strong theoretical foundations. We also discussed how...
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Fact Sheet
MSCI Emerging Markets SRI Select Reduced Fossil Fuels Index (USD) (NET)PDF
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Fact Sheet
MSCI Emerging Markets SRI Select Reduced Fossil Fuels Index (USD) (GROSS)PDF
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Research Paper
Market Insight - The End of Quantitative Easing: Tapering and its Effect on Bonds and Equities - November 2013The Federal Reserve recently kept its quantitative easing policy in place for now, but as the economy improves, the Fed will likely taper its stimulus program. When this tapering begins, how will investors prepare for this unprecedented event? In this paper, we demonstrate the MSCI Macroeconomic Model, exploring how economic conditions might change enough to motivate the Fed to commence tapering; we combine this analysis with the Barra Integrated Model to explore how economic...
Portfolio Management Analytics Risk Management Analytics
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Research Paper
The MSCI Multi-Asset Class Factor ModelPortfolio Management Analytics Risk Management Analytics BarraOne
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Research Paper
Volatility Cycles of Value StocksFrom time to time, Value portfolios may experience higher risk (relative to other portfolios) or increased tracking error. To better understand these occurrences, this paper considers the volatility cycle of Value stocks globally. Corresponding to tracking error and total risk, the volatility of both active and absolute returns is considered. It was found that high volatility in the active returns of Value stocks was closely linked with the active performance cycle of these stocks, and tended...
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Research Paper
IPD Global Performance annual results for 2013
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Research Paper
Decomposing Cross-Sectional VolatilityCross-sectional volatility is given by the standard deviation of a set of asset returns over a single time period. CSV is critical because it represents the opportunity to outperform a benchmark. In this Research Insight, we present an exact methodology for decomposing CSV into contributions from individual factors. Our approach treats countries, industries, and style factors on an equal basis. We employ our framework to investigate several relevant questions in the...
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Methodology
MSCI Corporate Events MethodologyPDF