Research Paper

Different 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

Research Paper

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...

Research Paper

The 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.

Research Paper

This 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...

Risk Management Analytics

Research Paper

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.

Research Paper

An 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...

Indexes

Research Paper

Indexes