Showing 431 - 440 of 448 entries
Research ReportMSCI Barra Yearbook 2008
Research ReportReal Estate Market Size Report 2020/21
Real Estate Products & Services
Research ReportWhat’s Your Factor Footprint?
As the more alarmist discussion of factor meltdowns due to crowding has dissipated, institutional investors have turned toward understanding the investment capacity of factor-based strategies. The key question is to gauge how much capital can be invested in funds that replicate factor indexes before their return expectations diminish to unattractive levels. In this Research Insight, we use characteristics of factor indexes to gauge their capacity, using the MSCI Minimum Volatility Index as a...
Research ReportFactor 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...
Indexes ESG Products & Services Portfolio Management Analytics
Research ReportMSCI IndexMetrics® An Analytical Framework for Factor, ESG and Thematic Investing
MSCI introduced IndexMetrics® in 2013 as a lingua franca for evaluating and monitoring factor indexes along several dimensions, for a multiperspective analysis. As markets and investment processes continued to evolve, we have enhanced the IndexMetrics framework to keep it relevant. But the foundation remains: a framework designed to provide investors with quantitative measures along four dimensions — key metrics, performance, exposure and investability. Here, we provide an update to the...
Research ReportThe Protein Transformation: A Critical Driver of the Net-Zero Economy
Research ReportThe MSCI Multi-Asset Class Factor Model
Portfolio Management Analytics Risk Management Analytics BarraOne
Research ReportComparing Specific Risk Forecasting Methodologies
Since specific risk is the only risk that can be reduced through diversification, it is crucial to obtain an accurate specific risk forecast. Stock pickers target specific returns, and the active return on which they base their businesses primarily bears specific risk. Specific risk models are especially vulnerable to misforecasting during periods of rapidly changing risk. Are there specific risk models that can follow such large variations and produce forecasts that do not mislead?...
Research ReportPortfolio Construction in Europe: Screening Versus Optimization
We compared Screening and Optimization approaches to portfolio construction for the European market using the methodology found in Grinold and Kahn  and Muller . We obtained similar results to those we previously saw in the US market. Optimization clearly outperformed the screening methods, producing the best IRs in 10 out of 12 cases. The worst-performing method was Cap-Weighted Screening. This is because the wide variation in market capitalization within the constructed...
Research ReportImproved Emerging Market Risk Forecasts
Strongly variable risk levels are common in emerging equity markets, and complicate modeling their risks. Applying daily index returns to a model through the DEWIV methodology often enhances the quality of market risk forecasts — DEWIV has long been a feature of models for developed markets such as Japan and the UK. Our research indicates that in about half of the 20 emerging markets for which we could obtain daily index returns, implementing DEWIV significantly improved...