Extended-lister
Showing 471 - 480 of 480 entries
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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...
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Research Report
MSCI Monthly Update - January 2015The MSCI Monthly Update is a monthly publication where we provide commentary on the market using MSCI Barra Equity Models, the MSCI Macroeconomic Model, the RiskMetrics Factor Model and MSCI Indexes.
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Research Report
MSCI Fund Model Research NotesThis note describes a new method for estimating the risk exposures of hedge funds and mutual funds when complete holdings are unavailable. Like MSCI’s previous fund models, the Fund Model enables returns-based analysis of funds together with holdings-based analysis of other portfolio components. The new methodology extends traditional returns-based style analysis to incorporate other holdings-based information, reduce noise, and overcome distortions from turnover and the smoothing of illiquid...
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Research Report
The Barra Integrated Model (BIM 303)This paper describes BIM303, a new version of the Barra Integrated Model (BIM). This new version incorporates the latest Barra equity models, includes several new and updated Barra fixed income models, and completes the history of the private equity and private real estate components. Other local models that form the complete BIM are the same as those in BIM301, the previous integrated model. BIM303, like BIM301, comes in versions for multiple horizons: Short, Long, and Extra Long.
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Research Report
Harvesting Risk Premia for Large Scale Portfolios
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Research Report
Harvesting Risk Premia for Large Scale PortfoliosAn accumulating body of empirical research has found positive gross excess returns from exposure to risk factors (or risk premia). Our study was commissioned by the Norwegian Ministry of Finance to explore factor strategies, through the lens of risk premia indices, for large funds. The paper examines equity risk premia, such as value, size, low volatility and momentum, focusing on return, risk, and investability. For portfolios of large scale, we construct risk premia indices which have...
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Research Report
2023 年注目の ESG・気候変動 トレンド