Showing 11 - 20 of 7,936 entries
Research PaperMSCI Fund Model Research Notes
This note describes a new method for estimating the risk exposures of hedge funds and mutual funds when complete holdings are unavailable. Like MSCI’s previous fund models, the Fund Model enables returns-based analysis of funds together with holdings-based analysis of other portfolio components. The new methodology extends traditional returns-based style analysis to incorporate other holdings-based information, reduce noise, and overcome distortions from turnover and the smoothing of illiquid...
WebcastAn MSCI ESG Research Primer for Corporates
MSCI ESG Research is committed to transparency and open communication about our research, methodology, and processes with the corporate issuer community.Listen to the recorded inaugural webinar for an introductory look at our business and our policies and practices for engaging with companies.Session Topics:The MSCI ESG Research organizationOur main research products, including our flagship Intangible Value Assessment (IVA) ESG ratingHow MSCI ESG Research engages companies via our new data...
WebcastBuilding Sustainability Research into the Academic Agenda
The 21st century poses a new set of challenges for today's students and tomorrow's leaders. Climate change, resource constraints, demographic shifts and the information revolution are transforming the way business is conducted and how investors value companies. Demand is growing fast for sustainability courses and programs that address environmental, social and governance (ESG) issues. Approximately 150 universities now offer sustainability courses as part of their Masters...
Research PaperResearch Insight - Factoring in Macro Uncertainties
Understanding the Risk and Return Profiles of Asia ex-Japan Factor Strategies.Institutional investors use fundamental factors to create systematic portfolio strategies. To help investors construct better Asia ex-Japan portfolios, this Research Insight evaluates the behavior of factors in the new Barra Asia Pacific Equity Model (ASE2) under five forward-looking macroeconomic scenarios. This paper aims to answer these key questions: 1) What factors provide persistent systematic return in Asia...
Research PaperResearch Snapshot: MSCI Real Estate Report
This year's research snapshot explores the investment challenges facing the industry from the risks of late cycle investing to disruptive technology and how to incorporate ESG into your investment strategy. The snapshot also provides an overview of global property market trends across sectors and markets and as part of the wider MSCI business we also explore issues relevant to institutional investors, such as looking at real estate in a multi-asset class context.
Research PaperBest Practices in Factor Research and Factor Models
Factors define the sources of portfolio risk and return. In this paper, we review the theoretical and empirical foundations of our factor research and factor models. MSCI factor research is firmly grounded in academic theory and empirical evidence. MSCI factor models are based on robust econometric techniques and reflect best investment practice. MSCI methodologies are transparent and publicly available. This is why the world’s leading institutional investors use MSCI factor models and...
Press ReleaseMSCI ESG Research Scores Funds on Sustainability
Press ReleaseRecord Year of Growth for MSCI ESG Research
Research PaperResearch Insight - Intro to LiquidityMetrics - June 2013
This Research Insight introduces MSCI’s LiquidityMetrics, a suite of multi-asset class risk analytics for measuring and managing portfolio liquidity. The LiquidityMetrics framework is based on comprehensive descriptions of the liquidity of single assets, called Liquidity Surfaces, encompassing bid-ask spreads, market impact, trading immediacy, market depth and trading activity. In addition to position level liquidity profiling, LiquidityMetrics allows users to analyze portfolio liquidity in...
Research PaperLiquidity Risk: Current Research and Practice
This article presents a survey of current thinking and practice regarding liquidity risk. We place the notion of liquidity risk as understood by risk managers in financial institutions in the broader context of liquidity as understood by treasury managers, institutional investors and traders, and central bankers. The article also presents and discusses critically two widespread approaches to measuring liquidity risk for individual securities, and discusses the problems that arise in...