Showing 111 - 120 of 142 entries
Research PaperIntegrating ESG into the Investment Process
In recent years, many institutional investors have been increasingly recognizing that the long-term sustainability of their investments matters. Environmental, Social and Governance (ESG) factors are becoming important considerations for investors to focus on given their influence on a portfolio's risk and return profile. Some asset owners are starting to embrace the concept of "Universal Ownership", where they see the long-term exposure to the whole economy through their portfolio...
Research PaperEmpowering women in the workplace
Japan’s government has set goals for increasing women’s participation and promotion in the business world, a policy that research shows could have substantial benefits for Japanese firms and the overall economy. Women are a historically underutilized resource in Japan; their greater participation and advancement in the workforce could have substantial benefits for the Japanese economy and long-term portfolio returns. The Japan Empowering Women Index (WIN) aims to overweight companies whose...
Research PaperCombining E, S, and G Scores: An Exploration of Alternative Weighting Schemes
How an overall ESG rating is constructed can significantly impact its usefulness. We tested two approaches: equal weighting and backward optimization. Equally weighting E, S, and G pillar scores across sectors showed less financial significance than the stand-alone G pillar score — that is, without E and S scores — over the 13-year study period. Backward optimization showed greater significance than stand-alone G scores but may underestimate the importance of ESG indicators to financial...
Research PaperMSCI Monthly Update - November 2014
The MSCI Monthly Update is a monthly publication where we provide commentary on the market using MSCI Barra Equity Models, the RiskMetrics Factor Model and MSCI Indexes.
Research PaperShould You Care About Active Share
A Portfolio Construction Study”Active Share” has been widely credited as a predictor of manager skill. Initial academic research has shown that active managers with high Active Share and low Tracking Error enjoyed persistent outperformance. Conversely, managers with low Active Share scores and low Tracking Error were labelled “closet indexers” and have recently become the subject of regulatory scrutiny. But how reliable is Active Share as a single metric? ...
Research PaperBetter Together: Policy Benchmarks, Active Equity and ESG
Research PaperIntegrating factors in market indexes and active portfolios
Asset owners use indexes as policy benchmarks and reference portfolios in their asset allocation. Index investors track cap-weighted indexes that seek to capture the market return. Active investors select securities and build portfolios that aim to outperform the market. All these types of investors may be able to benefit from incorporating factors into their process. More importantly, they may also be able to integrate factors without compromising other fundamentally important aspects of...
Research PaperIs There a Short Interest Factor?
We introduce a new integrated short interest factor that combines multiple dimensions of short interest. The new factor combines information on the amount of shorting activity in the securities-lending market, the available lending supply, the rates investors are paying to short a security (borrow rates) and an adjustment for shorting activity due to dividend arbitrage. We find that dividend-arbitrage strategies can create large biases in short interest factors, particularly in Europe. We...
Research PaperThe road toward a seamless global real estate portfolio
Real estate investors can analyze performance of direct real estate in detail. However, listed real estate, which includes public REITs, rarely offers detailed data, making it challenging to monitor a portfolio consisting of both private and public assets. Two developments are focusing issue: 1) real estate will constitute a new GICS® sector as of August 31 and 2) many asset owners seek to globalize their real estate portfolios: adding international listed securities is a simple and...
Research PaperHarvesting Risk Premia for Large Scale Portfolios