Research Report

In 2009, MSCI conducted a global survey, The Future of Market Risk Management. The goal of this survey was to identify the most relevant issues for market risk, the role of the risk manager, and risk trends resulting from the aftermath of the financial crisis. In this paper, we review the results of the latest survey, MSCI’s 2011 Global Asset Owners Survey: Back to the Future of Risk Management. With 85 participants from 26 countries, this survey looks at risk management...

Risk Management Analytics

Research Report

低迷する経済成長の中で、日本は職場における女性に着目し始めている。日本では歴史的に女性は充分には活用されてこなかったが、女性参画が進み、職場で活躍することは日本経済を利するという調査がある。日本政府は、ビジネス社会において女性の参画と昇進を増やすという明示的な目標を設定した。

Indexes ESG Products & Services

Research Report

There is a continuing trend for investors to reduce their home bias in equity allocation and increase the allocation to international equities. An important consideration in move towards global investing is the impact of currencies. An adverse movement in the exchange rate can dramatically change the performance of an international investment. In this research bulletin we review the performance of currencies, both in nominal and real terms, compare domestic and international equity returns...

Research Report

Risk Management Analytics

Research Report

The characteristics of the Canadian economy suggest that commodity returns are an important risk driver for Canadian equities. One of the highlights of the new Barra Canada Equity model (CAE5) is an enhanced style factor structure, which includes two commodity-related factors: oil and gold sensitivity. These factors explain the return differences between stocks caused by sensitivity to spot commodity returns. We illustrate how these factors add value by providing information in addition to...

Research Report

Investors face the challenge of understanding changes in risk. Did a recent increase in risk come from turnover into more aggressive positions, a spike in market volatility, or a loss of diversification? Which of the investor's positions drove the change? Which parts of the market became more risky? A related issue is understanding differences among risk models. Do such differences indicate a weakness of one of the models, or do they provide insight into the evolving structure of the...

Research Report

The monthly MSCI Risk Monitor: RiskMetrics report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model.  The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast.  The report provides a broad view of changes in global market risks, and assists risk...

Risk Management Analytics

Research Report

This monthly MSCI Risk Monitor: China Equities report examines Chinese equity market risk and return through the lens of the Barra China Equity Model (CNE5). The report provides insights into market developments in the Chinese market using the intuitive dimensions of the Barra fundamental factors. The report looks at the evolution of correlations and volatilities, as well as exploring the risk-adjusted index, factor and asset performance over the last month.

Research Report

This monthly MSCI Risk Monitor: China Equities report examines Chinese equity market risk and return through the lens of the Barra China Equity Model (CNE5). The report provides insights into market developments in the Chinese market using the intuitive dimensions of the Barra fundamental factors. The report looks at the evolution of correlations and volatilities, as well as exploring the risk-adjusted index, factor and asset performance over the last month.

Research Report

Many portfolio managers use multi-factor models, but not all factor models are equally effective in forecasting risk. Flawed model construction can result in optimized portfolios that are not efficient.  This paper addresses the concern of portfolio managers that some risk models used in optimization may not be forecasting risk accurately, or may be creating suboptimal portfolios. We review pitfalls in portfolio construction and explain how MSCI’s best practices in model building are...

Portfolio Management Analytics