Extended-lister
Showing 4741 - 4750 of 5,526 entries
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Research Report
"A" Opening to the Great WallThe China A-share market has expanded tremendously over the last two decades. Today, the Shanghai and Shenzhen stock exchanges have a total market capitalization of about USD 3.5 trillion dollars of which foreign participation accounts for just over 1% percent. As the China domestic market gradually becomes more accessible, China A-shares could soon represent a viable investment opportunity set for global investors, which would entail significant investment implications.
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Research Report
Model Insight - Barra Issuer Specific Risk Model - February 2013Non-government bonds contain a significant amount of risk that is idiosyncratic, often specific to individual assets. Specific risk has greater significance as one moves down the credit quality spectrum, or when measuring the source of active tracking error against a benchmark. Issuer Specific Risk is a new Barra Fixed Income model for analyzing and forecasting the specific risk of non-government bonds, providing accurate and responsive specific risk forecasts at the...
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Press Release
MSCI AND S&P DOW JONES INDICES ANNOUNCE POTENTIAL CHANGES TO THE GLOBAL INDUSTRY CLASSIFICATION STANDARD (GICS®) STRUCTURE IN 2013PDF
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Research Report
Factors and Corporate Bonds: Single and Multi-Factor Approaches to Corporate CreditInvestors have increasingly turned to equity factors as building blocks for their stock portfolios as a way to measure performance, analyze risk exposures or seek enhanced returns. In recent years, some investors have sought to extend a factor framework to fixed income. But these efforts by and large have not been successful, as equity and fixed-income investors have not been speaking a common language. We simulated the performance of six fixed-income factors — value, low size, quality,...
Indexes Portfolio Management Analytics Risk Management Analytics
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Research Report
MSCI Monthly Update - February 2015The MSCI Monthly Update is a monthly publication where we provide commentary on the market using MSCI Barra Equity Models, the MSCI Macroeconomic Model, the RiskMetrics Factor Model and MSCI Indexes.
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Research Report
Research Insight - Factor Indexes in Perspective: Insights from 40 Years of Data Part II: Supplementary Materials - September 2014Until recently, MSCI had calculated 25 years of simulated history for its factor indexes. In this Research Insight, we extend the simulated history to 40 years, providing new insights into the behavior of factor indexes over various time periods. We look at factor index behavior over various time frames; the changes in the correlation between factor returns over this period; historical variations in valuation of factor indexes and their exposure to GICS sectors. We also use IndexMetrics,...
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Research Report
The Future of Factor Investing
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Research Report
MSCI Factor Indexes in Perspective: Insights from 40 Years of DataWith Research Spotlight - MSCI Factor Indexes in Perspective:Insights from 40 Years of Data, we launch our new publication called the Research Spotlight. IEach paper in the series, we will focus on the key findings of a longer white paper, summarizing the research for a non-technical audience. While certain readers will be drawn to the longer publication for the full scope of the study, the Research Spotlight affords a quick and focused summary for those interested in a concise...
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Research Report
Does Style Make the SectorSector rotation strategies are a staple of finance textbooks. This paper discusses sector rotation strategies and contributes beyond the typical literature by highlighting the need to look at the style profile within each sector. Most of the earlier studies on sector rotation focus on the links between industry membership and the macroeconomic or market cycles. We find that style exposures play an important role in sector performance, and returns driven by style effects can dominate returns...
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Research Report
Optimization Bias AdjustmentThe Markowitz mean-variance framework is the foundation of modern portfolio theory. One problem with this approach, however, is how sample covariance matrices tend to underestimate risk. Since the biases of optimized portfolios are closely related to eigenfactor portfolios, we present a methodology for estimating biases in eigenfactor volatilities, and for adjusting the covariance matrix to remove such biases. By removing the biases of the eigenfactors, we remove the biases of optimized...