Extended-lister
Showing 461 - 470 of 476 entries
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Research Report
Real Estate Market Size Report 2020/21
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Research Report
APAC Climate Action Progress Report
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Research Report
The Protein Transformation: A Critical Driver of the Net-Zero Economy
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Research Report
MSCI IndexMetrics® An Analytical Framework for Factor, ESG and Thematic InvestingMSCI 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...
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Research Report
The MSCI Multi-Asset Class Factor ModelPortfolio Management Analytics Risk Management Analytics BarraOne
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Research Report
Improved Emerging Market Risk ForecastsStrongly 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...
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Research Report
Portfolio Construction in Europe: Screening Versus OptimizationWe compared Screening and Optimization approaches to portfolio construction for the European market using the methodology found in Grinold and Kahn [1999] and Muller [1993]. 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...
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Research Report
Comparing Specific Risk Forecasting MethodologiesSince 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?...
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Research Report
Summer 2005Different Portfolio Construction Methods in an Uncertain WorldWhy Accurate Stock Specific Risk Modeling MattersDynamic Volatility in the Japanese Equities Market and its Impact on Active Portfolio Management.Improved Risk Forecasting for Emerging Equity Markets Using Higher Frequency Data
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Research Report
Declining Active Risk in Japanese Equity PortfoliosSince the collapse of the Internet bubble, many Japanese portfolio managers have observed a surprising contrast between trends in tracking error and market volatility: tracking errors have fallen dramatically for many portfolios, while the volatility of the TSE1 index has declined much more gradually. The decrease in tracking error is related to a phenomenon occurring in markets around the globe. The cross-sectional dispersion of asset returns within these markets is much smaller...