Showing 211 - 220 of 234 entries
Research PaperThe Value of Liquidity: Can it be Measured?
The Value of Liquidity: Can it be Measured?The notion of liquidity has never been more relevant or as frequently referenced as it is today. But what precisely does liquidity entail and why is it so important? Theoretically, it is the ability to readily access funds when needed at a minimal cost. Practically, however, it is much more complex to define and is a broad concept that affects us all in one form or another (e.g., the availability of loans at affordable (yet risk adjusted) rates, the...
Research PaperPortfolio BCP: Applying Business Continuity Practices
Catastrophic events can lead to change in established practices. This paper argues that organizations may get a competitive advantage by applying practices used in Business Continuity Planning (BCP) to the management of institutional portfolios. We propose a framework to prepare for extreme market events and mitigate their impact. This paper describes the required elements of BCP as applied to portfolios, reviews the tools and processes necessary to monitor the level of stress in financial...
Research PaperGlobal Equity Allocation
If you would like to gain a greater understanding of current practices and emerging trends in the implementation of global equity allocation policies, take a look at Global Equity Allocation, three of our most popular papers on this topic compiled into one easy-to-read publication.
Research PaperModel Insight - The Barra Private Equity Model (PEQ2) - August 2014
In this Model Insight, we present the latest Barra Private Equity Model (PEQ2), which represents a major advance in understanding the drivers of risk and return in global private equity. We find a high degree of systematic risk in private equity, but also large opportunities for global diversification and active risk when compared with public equity. Incorporated in the Barra Integrated Model, PEQ2 provides a unique, like-to-like view of private equity investments among all asset classes...
Research PaperMSCI ESG Thematic Report - Australian Carbon Tax Impact
On 10 July 2011, the Australian government announced its Clean Energy Future proposal - comprised of a carbon tax to commence in July 2012, transitioning to an emissions trading scheme after three years, and accompanied by a range of industry and household assistance measures. In the lead up to the announcement, one of the most debated issues had been the appropriate level of assistance to emissions-intensive trade-exposed (EITE) industries. Competing in international markets, individual...
Research PaperEconomic Exposure to Emerging Markets
As companies increasingly operate across multiple countries and regions, we consider the concept of "economic exposure" which may be derived from the geographic distribution of a company's revenues. This concept offers a new dimension to the construction and evaluation of global equity portfolios and may serve multiple purposes in the investment process - including macro view implementation, security selection, portfolio analysis, risk management and client reporting. Furthermore, a...
Research PaperShale Gas and Hydraulic Fracturing in the US: Opportunity or Underestimated Risk?
Shale gas presents a huge new potential investment opportunity and could possibly transform the US energy market. However, financial returns from shale gas face pressure due to emerging environmental liabilities, community opposition that limits access to resources, recoverable reserves uncertainties, and natural gas price volatility.Based on MSCI ESG Research’s assessment of companies’ performance on environmental issues, we believe that companies with poor historical performance...
Research PaperClimate Change and Low-Carbon Risks and Opportunities in China
A transition to a low-carbon economy could alter the risk-return profile for many industries. The MSCI Climate Change Indexes aim to be practical tools to assist institutional investors in reflecting these potential changes in their investment strategies. They seek to do so by increasing the index weight for providers of low-carbon solutions and decreasing the weight of companies negatively exposed to such changes while seeking to maintain broad market exposure. In July 2020, MSCI launched...
Research PaperReal Estate Market Size 2019
MSCI began systematically estimating the size of professionally managed real estate investment markets in 2004. These estimates are fundamental to the creation of the MSCI Global Annual Property Index and a range of other multinational indexes and benchmarks, and they provide insights into the coverage of MSCI’s direct property indexes. This paper sets out the 2019 market size estimates and explains the main changes between 2018 and 2019.
Research PaperBuilding Single-Factor Portfolios
In this study, we focus on some of the issues investors face when constructing long-only non-optimized single-factor portfolios using simple heuristics-based rank-select-weight algorithms. In doing so, investors may ask: Should they start from a universe of securities with a fixed target-market-cap coverage or a fixed number of securities? Should they assess factor exposure based on single or multiple factor descriptors? How broad a subset of securities will they use from the underlying...