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Showing 4171 - 4180 of 4,893 entries

  1. Research Report
    MSCI Risk Monitor: RiskMetrics Europe - November 2015

    Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.

    Risk Management Analytics RiskMetrics RiskManager


  2. Research Report
    MSCI Agency Fixed Rate Base Prepayment Model

    Two types of prepayment risk challenge the MBS investor: contraction and extension. Contraction risk arises as prepayment increases, and extension risk occurs when prepayment decreases. Contraction risk had been the dominating concern as the global fixed income market experienced a secular rally for 35 years. Now, as mortgages rates are rising, extension is now on the investor’s radar, and this requires a solid understanding of base prepayment speeds. We present a detailed decomposition of...

    Risk Management Analytics


  3. Research Report
    MSCI Risk Monitor: RiskMetrics Europe - August 2015

    Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments. The report examines changes in volatility and correlation behavior, and identifies days on which factor returns were a surprise relative to the risk forecasts.

    Risk Management Analytics RiskMetrics RiskManager


  4. Research Report
    MSCI Risk Monitor: RiskMetrics Europe - October 2015

    Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.

    Risk Management Analytics RiskMetrics RiskManager


  5. Research Report
    MSCI Risk Monitor: RiskMetrics Europe - September 2015

    Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.

    Risk Management Analytics RiskMetrics RiskManager


  6. Methodology
    MSCI Corporate Events Methodology
    PDF

    Indexes


  7. Research Report
    A Defensive Approach to Factor Portfolios

    Low-volatility indexes have been attractive to some investors, mainly due to their defensive and low-risk characteristics. This has been especially true in times of market uncertainty and heightened volatility. In this paper we investigate the possibility of incorporating the defensive characteristics of the MSCI Minimum Volatility Indexes into the construction of other factor indexes with the aim of achieving the highest “factor exposure-to-risk ratio.”

    Indexes


  8. Research Report
    Impact of Yen on Japanese Stocks

    This paper considers the changing value of the yen and its impact on the Japanese stock market during the last three decades, examining how this currency sensitivity has varied substantially across Japanese firms and during the observed period. In addition, we found the response to a rising or falling yen to be asymmetric. The dispersion of yen sensitivity is also seen to vary over time, which has implications for the passive-active investment debate under volatile exchange rate conditions....


  9. Research Report
    The Barra China Equity Model (CNE5) - Supplementary Notes

    This document provides additional commentary on the results found in the CNE5 Empirical Notes.  Since 2005, the broad A-share universe in China has expanded in the number of issues by nearly 40 percent, which has had profound implications for the design of the CNE5 industry factor structure, allowing a large expansion from 24 industries in CHE2 to 32 industries in CNE5.  At the same time, the new model is more responsive to rapidly changing market conditions.   And the...


  10. Research Report
    Foundations of Climate Investing: How Equity Markets Have Priced Climate-Transition Risks

    ESG Products & Services Portfolio Management Analytics


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