Extended-lister
Showing 481 - 489 of 489 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
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
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
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