Research Report

Thematic investing is a top-down approach that has become increasingly popular with both institutional and retail investors, whether in terms of investment philosophy or product development. In this paper, we review the concept of thematic investing and discuss the differences between it and the factor and ESG investment processes. We then lay out how we model various themes in order to build a rule-based index methodology that represents the performance of companies exposed to a certain trend.

Indexes

Research Report

Indexes ESG Products & Services Portfolio Management Analytics

Research Report

This guide aims to support institutional investors who intend to follow the Task Force on Climate-related Financial Disclosures’ recommendations for reporting on their climate-related risk management processes. Climate-related risks pose a potential threat to the long-term resilience of portfolios, and there is a growing regulatory focus on investors’ climate risk management practices and disclosures. Approaches for developing a climate change strategy depend on the investor’s objectives,...

ESG Products & Services

Research Report

ESG Climate VaR ESG Governance Metrics ESG Sustainable Impact Metrics ESG Climate Solutions

Research Report

Low volatility is one of the few factors that have historically performed well in turbulent markets. Moreover, over long periods of time, this defensive strategy has produced a premium over the market, contravening one of the most basic theories in finance — that one should not be rewarded with greater returns for taking less than market risk. Since the global financial crisis hit in 2008, low volatility has garnered increased attention from institutional investors. In this paper, we explore...

Indexes

Research Report

Ever since central banks slashed interest rates in response to the Global Financial Crisis, many institutional and retail investors turned to high dividend-paying equities to meet their needs for income. However, a naïve high-yielding equity strategy can expose itself to various “yield traps,” such as those stemming from temporarily high earnings, high payouts or low stock price. We find that the yield factor has tended to perform well during a structurally low and rising interest rate...

Indexes

Research Report

The newly  titled MSCI Insights 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 Report

Research Report

Research Report

As the more alarmist discussion of factor meltdowns due to crowding has dissipated, institutional investors have turned toward understanding the investment capacity of factor-based strategies. The key question is to gauge how much capital can be invested in funds that replicate factor indexes before their return expectations diminish to unattractive levels. In this Research Insight, we use characteristics of factor indexes to gauge their capacity, using the MSCI Minimum Volatility Index as a...

Indexes