Showing 1571 - 1580 of 2,368 entries
MethodologyFAQ on the Transition Announcement for the MSCI High Dividend Yield Indices
Research PaperAH Premium and Short Sale Constraints
This year, the government of China approved the launch of index futures, margin trading, and short selling of stocks. The trial program for short selling rolled out with 90 stocks in the program as of March 31, 2010. In this paper, we explore the effect of the relaxation of short sale constraints on AH premium (the price differential between the domestic listed A-shares and the Hong Kong listed H-shares). We examine the AH premium movements of the group of dual-listed Chinese shares that are...
Research PaperUS Market Report - The Impact of Recent Fed Announcements - July 2013
In this Market Report, we analyze the market’s reaction to the Federal Reserve’s recent announcements using the lens of the Barra US Equity Model (USE4). In particular, we find that some industry and style factors experienced very large returns immediately following the Fed announcements. Moreover, we find that in many cases the large moves can be explained by intuitive economic arguments.
Research PaperPortfolio Optimization with Custom Factor Weight
Portfolio managers often have different risk aversions for stocks from different regions, industries and investment styles. This paper demonstrates how managers can use the Custom Factor Weight feature in the Barra Aegis System to express different levels of risk aversion to different factors.
Research PaperRefining Portfolio Construction When Alphas and Risk Factors Are Misaligned
The misalignment of alpha and risk factors may result in inadvertent and unwanted bets that may hamper performance. Lee and Stefek (2008) show that better aligning risk factors with alpha factors may improve the information ratio of optimized portfolios. They propose four ways of modifying a risk model to reduce misalignment. Here, we discuss one way to mitigate these problems by modifying the optimization process, itself. The objective function is modified to include a penalty term on the...
Research PaperThe Shift from Value to Growth Around the World
Over the long run globally, value stocks have outperformed growth stocks, a premium that has averaged roughly 300 basis points annually over the last four decades. Since May of this year, growth stocks have exhibited strength over value stocks, as evidenced by the MSCI World Value and Growth Indices. In fact, the growth premium has averaged 11.5 percentage points annualized over the last five monthsMay, June, July, August, and September. In this article, we put this recent...
Research PaperUS Market Report - Do High Performing REITs Offer Diversification? - June 2012
Some portfolio managers think of REITs as a source of good returns, having low correlation with the broad equity market. This market report examines these claims by looking at sources of outperformance as well as sources of return, risk and correlation over the past five years. Using the Barra US Equity model (USE4), we show that recent REIT performance was mainly due to an industry effect; over the long run, exposures to style factors heavily influenced the return and risk of a REIT...
Research PaperResearch Insight - Introducing the Seasonality Factor - March 2014
This Research Insight, second in a series, introduces the Seasonality factor in our equity models; this factor was identified as part of MSCI's Systematic Equity Strategies (SES) research program. Seasonal behavior of stock returns is widely discussed in finance literature. The most prominent is the "January Effect," where prices tend to rise during January after stock sell-offs in December. In this paper, we examine how the SES Seasonality factor identifies seasonal pricing patterns for US...
Research PaperTurbulent Times Ahead
With the unprecedented volatility seen in global equity markets recently, many investors are exploring risk-based strategies - not only to cushion and diversify extreme risk, but for their potential to capture the "low volatility effect." In this paper we analyze and compare two risk-based index strategies, minimum variance and risk-weighted, examining the MSCI Minimum Volatility and Risk Weighted Indices.
Research PaperEngaging Companies on Palm Oil Deforestation
Top palm oil buyers and producers have set zero-deforestation goals, with many committing to achieve this target by 2020. This paper introduces MSCI’s data and research in this area.