Methodology

Indexes

Methodology

Indexes

Methodology

Indexes

Methodology

Indexes

Methodology

Indexes

Methodology

Research Report

MSCI have collaborated with Ulster University for the last six years to produce the Northern Ireland Commercial Property report. This unique report provides the only performance measurement analytics on the Northern Ireland market, and provides comparison with its European and Global peers.

Real Estate Products & Services

Research Report

This article examines how stock exposures to the Volatility factor, as defined in the Barra Global Equity Model 2 (GEM2), can be used to understand how a portfolio is positioned for changes in risk aversion. In a previous note “The Volatility Factor and Risk Aversion,” presented in the Q1 2012 newsletter, we explained how returns to the Volatility factor can provide a measure of investors’ risk appetite. Now we extend this analysis and show how specific groups of stocks,...

Equity Risk Models

Research Report

The 2008 financial crisis put global markets into a volatile “risk-on / risk-off” swing.  When investors worry about recession or deflation, their risk aversion goes up and they shift to low-risk assets, thus hurting risky assets like equities. In contrast, when investors expect a recovery or inflation, their risk aversion goes down and they shift into high-risk assets.  This binary attitude results in a high degree of correlation among global markets and may point to a...

Research Report

US investors are bracing themselves for the potential expiration of the 2003 Bush dividend tax cut.  To help portfolio managers prepare for this potential change in the US tax code, this Market Report uses the rich factor structure of the Barra US Equity Model to examine these issues: (1) what effect the initial tax cut had on dividend-paying stocks, (2) the impact of this policy on the overall stock market, and (3) the change in dividend policies of the issuing firms.