Extended-lister
Showing 4561 - 4570 of 5,472 entries
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Research Report
Introducing MSCI FaCSFactors 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...
Indexes Portfolio Management Analytics Risk Management Analytics
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Research Report
Scenarios, Stress Tests and Strategies for Second Quarter 2016 - The Rise of PopulismThe 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.
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Research Report
Research Insight - Managing the Unique Risks of Leverage with the Barra Optimizer - July 2014Jacobs and Levy recently published a series of papers on “leverage aversion” and the benefits of incorporating it in the traditional Markowitz Mean-Variance Optimization. They emphasize the uniqueness of leverage risk, in contrast to volatility risk. Their debate with Markowitz has sparked renewed interest in the theory and application of long-short optimization. In this Research Insight, we point out that MSCI has been a pioneer in long-short portfolio...
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Research Report
Technical Note - MSCI Prepayment Model Tuning Overlay - April 2014This Technical Note introduces the MSCI Tuning Overlay, a new feature offered in RiskManager that allows users to select MSCI preset tuning parameters for the AD&Co Vectors Analytics prepayment model. This new MSCI feature affects the valuation of fixed-rate agency mortgage-backed securities, giving more weight to recent trends in historical prepayment speeds, and provides an additional view on MBS market conditions. The MSCI Tuning Overlay may be used in addition to AD&Co’s...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
Research Insight - Evaluating the Accuracy of Beta Forecasts - September 2014In this Research Insight, we present a framework for evaluating the relative accuracy of beta forecasts. We consider naive betas, historical betas, and predicted betas. Our technique relies on observing the residual returns of a large universe of stocks over various time periods. We find that the expected residual volatility decreases as the beta estimates become more accurate. We also demonstrate residual volatilities can be translated into beta estimation errors. We find that across the...
Portfolio Management Analytics
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Press Release
MSCI announces the list of constituents impacted by the revisions to the Global Industry Classification Standard (GICS) structure in 2014PDF.
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Press Release
S&P DOW JONES INDICES AND MSCI ANNOUNCE SELECT LIST OF COMPANIES CHANGING DUE TO REVISIONS TO THE GICS® STRUCTURE IN 2018PDF
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Research Report
Global Equity Market Watch - June 2012The Global Equity Market Watch is a monthly publication that looks at global equity markets through the lens of the Barra Global Equity Model (GEM2). In each issue, we examine the various sources of global equity returns and risk - including the World factor, countries, industries, styles, currencies, and stock-specific sources - and monitor returns, volatilities, and correlations for those sources over the trailing 1-12 months. We also examine how the explanatory power and statistical...
Portfolio Management Analytics
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Research Report
Global Equity Market Watch - July 2012The Global Equity Market Watch is a monthly publication that looks at global equity markets through the lens of the Barra Global Equity Model (GEM2). In each issue, we examine the various sources of global equity returns and risk - including the World factor, countries, industries, styles, currencies, and stock-specific sources - and monitor returns, volatilities, and correlations for those sources over the trailing 1-12 months. We also examine how the explanatory power and statistical...
Portfolio Management Analytics
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Research Report
Global Equity Market Watch - April 2012Global Equity Market Watch is a monthly publication that looks at global equity markets through the lens of the factors in the Barra Global Equity Model (GEM2). In each issue, we examine the various sources of global equity returns and risk - including the World factor, countries, industries, styles, currencies, and stock-specific sources - and monitor returns, volatilities, and correlations for those sources over the trailing 1-12 months. We also examine how the explanatory power...
Portfolio Management Analytics