Extended-lister
Showing 2021 - 2030 of 3,120 entries
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Research Paper
Research Insight - Introducing the Seasonality Factor - March 2014This Research Insight, second in a series, introduces the Seasonality factor in our equity models; this factor was identified as part of MSCI's Systematic Equity Strategies (SES) research program. Seasonal behavior of stock returns is widely discussed in finance literature. The most prominent is the "January Effect," where prices tend to rise during January after stock sell-offs in December. In this paper, we examine how the SES Seasonality factor identifies seasonal pricing patterns for US...
Portfolio Management Analytics Equity Risk Models
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Newsletter
Headlines 15Online Version | Contact UsHeadlinesFrom MSCI | Issue 15 >> Free Trials for MSCI Indices on Bloomberg>> Enhanced Dividend Announcement Process>> MSCI Research on BP Oil Spill Implications>> Managing Risk over Short and Long Horizons Using Barra Models>> Incorporating Research Analysts' Recommendations into the Portfolio Construction Process>> Can Plan Sponsors Achieve Equity-Like Returns with Bond-Like Volatility?>> Sovereign Risk...
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Research Paper
Straight Talk on Nonlinearities in Linear Factor ModelsLinear regression models have been the workhorses of finance and economics. However, given increasing attention to nonlinear methods, we investigate the extent to which nonlinearities not captured by standard linear models within equity factor risk models are present. Adding nonlinear factors in simple polynomial functions of their linear counterparts contributed some additional explanatory power to the cross-section of security returns. Furthermore, some generated factor returns and...
Portfolio Management Analytics
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Research Paper
Model Insight - Using Statistical Models to Capture Missing Fundamental Factor Risk - April 2013In this Model Insight, we investigate whether statistical models can capture sources of risk that are missing from a fundamental factor model. We also study whether statistical models are more effective at detecting missing factors during periods of market turmoil. We conclude that the statistical model effectively identified sources of risk that were missing from a fundamental model. Furthermore, we show that the strength of these missing factors peaked during times of market...
Portfolio Management Analytics
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Research Paper
Research Insight - Introducing the Prospect Factor - December 2013In this Research Insight, we introduce the Prospect factor. Systematic implementation of Prospect theory may be thought of as a contrarian investment strategy that takes long positions in stocks with poor historical performance and short positions in stocks with historical good performance. We find that the Prospect factor is significant in explaining risk and return characteristics of Japanese and US securities. The Prospect factor was identified as part of our Systematic Equity Strategies...
Portfolio Management Analytics Equity Risk Models
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Research Paper
How European is Europe?Many European companies have been at the vanguard of globalization and exhibit considerable diversity in their geographic scope today. An analysis of the economic exposures of many European companies to different countries and regions highlights the companies, sectors and even countries that are deriving their revenues from abroad versus those that remain largely tied to the European economy. Using Europe as an example, we explore the applications of economic exposure data in investment...
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Research Paper
Stress Testing Market Report - Testing for the End of the LTRO Effect - June 2012The European Central Bank’s Long-Term Refinancing Operation (LTRO) has altered the relationship between German sovereign yields and German credit default swap (CDS) spreads. In this report, we analyze the “LTRO Effect,” which creates additional demand for German bunds because of their safety as collateral. We propose a hypothetical stress test through the lens of RiskManager that explores the effects of removing the LTRO liquidity program. Our results suggest that the...
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Research Paper
Technical Note - Introducing the Loan Pool Specific Factor in CreditManager - March 2014In the CreditMetrics framework, the value of a pool of loans at the risk horizon is determined by the state of its driving market factors and the idiosyncratic factors of the individual loans. However, if the loan pool consists of hundreds of loans, most of the risk from idiosyncratic factors is diversified away, leaving the horizon values driven mostly by market factors. While this behavior is intuitive for standalone pools, it has an undesirable side effect for portfolios...
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Research Paper
The Market Spin Cycle: Uncovering Style and Sector Rotation in a Flat MarketRecent U.S. equity market performance, driven by a significant decline in glamour (high-growth, high-momentum) names, has attracted a lot of attention from market analysts. By now it is well publicized that, despite the range-bound performance of the US equity market since March, there have been significant differences among the performance of various sectors of the economy.We contribute to this discussion by focusing on what we view as a rotation in investment styles. This rotation has been...
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Research Paper
Research Insight - Understanding Credit Charge Add-Ons in CreditManager - March 2014Since the adoption of the Basel II standards, banks have been subject to minimum capital requirements based on the Internal-Ratings Based (IRB) formula, which is based on a simple credit portfolio model that accounts for some, but not all, possible sources of portfolio risk. To address the additional sources of risk, banks work with richer models and supervisors demand additional capital add-ons under "Pillar 2" of the BIS capital standards, which has created the need for a...
Risk Management Analytics RiskMetrics CreditManager