Extended-lister
Showing 4191 - 4200 of 5,477 entries
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Research Report
Model Insight - Modeling Exchange Traded Funds with Barra Premium ETF Analytics - February 2013Exchange Traded Funds (ETFs) can provide investors with a low-cost, flexible, and transparent instrument to gain exposure to a number of markets and sectors; however, modeling ETFs present challenges because they are heterogeneous. In this white paper, we explain how Barra meets this challenge by using two methods—look-through and style analysis. These approaches can generate exposures to systematic risk factors and idiosyncratic risk for over 3,500 exchange traded instruments,...
Portfolio Management Analytics Equity Risk Models
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Research Report
How Climate Transition Risk May Impact Sovereign Bond Yields
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Research Report
Global Market Report - Relative Strength of Industries and Countries in Emerging Markets - September 2014In this Global Market Report, we examine the latest developments in emerging markets through the lens of the Barra Emerging Markets Equity Model (EMM1), a risk model tailored for this specific investment universe. We examine whether there has been a change recently in the strength of industries and countries. We are also able to gauge how the inclusion of style factors modified the overall picture.
Portfolio Management Analytics
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Research Report
MSCI China Credit Card ABS Collateral ModelThis document describes the technical specification of MSCI China Credit Card ABS Collateral Model that covers Credit Card ABS deals. The model has three components: Prepayment (CPR), default (CDR), and Loss Severity (LGD).
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Research Report
MSCI China Auto Loan ABS Collateral Model
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Research Report
MSCI China Non-Collaterized Consumer Loan ABS Collateral ModelThis document describes the technical specification of MSCI China Non-Collateralized Consumer Loan (NCCL) ABS Collateral Model that covers NCCL ABS deals. The model has three components: Prepayment (CPR), default (CDR), and Loss Severity (LGD).
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Press Release
MSCI Completes Acquisition of Carbon DeltaPDF
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Research Report
The MSCI Minimum Volatility Indexes: 10 Years On2018 marked the 10-year anniversary of the MSCI Minimum Volatility Indexes. Launching just prior to the global financial crisis, which caused sharp equity market falls, and the indexes’ behavior “out-of-sample” since launch have led to adoption by a large number of asset owners and the indexes’ serving as the basis for a wide range of ETFs that have gathered significant assets. Here, we contrast 10 years of live data with the previous 10 years of backtesting, investigating changes in the...
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Research Report
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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Research Report
Real Estate Market Size