Showing 4161 - 4170 of 4,936 entries
Research ReportGlobal Equity Market Watch - February 2016
This monthly publication examines the global equity markets through the lens of the Barra Global Equity Model (GEM2). Barra model factors represent important drivers of both risk and return in the global equity markets.
Research ReportResearch Insight - The Ultimate Forward Rate: Implications for Dutch Pension Plans - September 2012
Since the global financial crisis, Dutch pension plans have faced a dual challenge of disappointing asset returns and low interest rates, resulting in a decline of their funding ratios. This has led regulators to consider revised pension funding rules, including the possible introduction of the ultimate forward rate (UFR) in the construction of the yield curve used to discount pensions’ liabilities to their present value. In this Research Insight, we examine the implications for pension...
Research ReportAdding Global Small Caps: The New Investable Equity Opportunity Set?
The globalization of economies and the integration of capital markets have changed the landscape for equity investing. Institutional investors are increasingly investing in equities in both developed and emerging markets, across large, mid and small cap stocks. With accessibility to foreign markets continuing to rise and trading costs falling, this "all cap" universe may now be the potential investable opportunity set for many long-term institutional investors. For most...
Research ReportGlobal Equity Market Watch - May 2015
Research ReportSystematic Equity Strategies: A Test Case Using Empirical Results from the Japan Equity Market
In an introductory paper, we explained Systematic Equity Strategies (SES) and how they can be used as factors in a risk model. In this paper, we use data from the Japan equity markets to define seven new SES factors and study their empirical behavior. Our findings illustrate the important role that these factors play in portfolio construction and risk management. Our study also shows problems associated with omitting these factors from a risk model, and explain why models that...
Research ReportHarvesting Sector Beta through Broad Sector Indices
Many investors recognize that a broader mix of stocks, including both developed and emerging markets, and large, mid and small cap ("all cap") segments have provided return, risk, and diversification benefits compared with narrower portfolios. The insights and benefits of working from a global all cap perspective can be extended to sector investing. Some sectors have significant small cap representation, for example, and their inclusion can help rectify some of the biases which can...
Research ReportAnalyzing Current Risks in the Japanese Government Bond Market
The Japanese Government Bond (JGB) market rivals the US Treasury market in size. It displays a number of distinctive features that may have contributed to low yields in recent years, despite a deteriorating fiscal environment in Japan. Nevertheless, observers have argued that it is possible for JGB yields to increase significantly in coming years. In this series of stress testing papers we will help clients understand what scenarios may potentially cause JGB yields to rise, analyze the...
Research ReportIntroducing MSCI FaCS
Factors are important systematic sources of risk and return in equity portfolios. Given the pervasive use of factors via both active and indexed strategies, a standard approach is needed for defining factors and evaluating the factor characteristics of portfolios. We introduce MSCI FaCS, a classification standard and framework for analyzing and reporting of style factors in equity portfolios that is based on the Barra Global Total Market Equity Model for Long-Term Investors. Managers can use...
MethodologyMSCI Fixed Income Data Methodology
Research ReportScenarios, Stress Tests and Strategies for Second Quarter 2016 - The Rise of Populism
The decision by a majority of U.K. voters to leave the European Union shines a light on fissures between perceived winners and losers from globalized markets and highlights for investors the importance of factoring the consequences of inequality and popular discontent into their views. The latest edition of MSCI’s “Scenarios, Stress Tests and Strategies” examines the potential impacts on institutional portfolios of a tide of populist sentiment across Europe and the U.S.