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Showing 1 - 10 of 289 entries

  1. Research Paper

    Factor allocation to asset allocation

    Asset-allocation approaches have evolved from the traditional 60/40 split to the recent adoption of risk, rather than capital, budgeting across asset classes. However, asset-class buckets are not always clear-cut risk and return drivers. We present a factor-based asset-allocation framework to help investors who have begun to look through asset classes to factors — the underlying drivers of risk and returns.

    Jun 26, 2019

    View  |  Related Products: ESG Products & Services , Indexes , Portfolio Management Analytics

  2. Research Paper

    The Future of Emerging Markets: 30 Years On from the Launch of the MSCI Emerging Markets Index

    For the past 30 years, emerging markets have provided return enhancement and risk diversification opportunities for global equity investors. The ongoing liberalization of the domestic Chinese capital market has the potential to transform the characteristics of the equity segment and its role in global portfolios. Recently, emerging markets have experienced volatile performance, driven by changes in monetary policy, increasing political uncertainty and deteriorating conditions for...

    Apr 23, 2019

    View  |  Related Products: Indexes , Portfolio Management Analytics

  3. Research Paper

    Weighing the Evidence: ESG and Equity Returns

    Why has there been no clear consensus as to whether ESG has improved returns on a risk-adjusted basis? We find that many of the ESG investing methodologies used in studies were designed to meet social or ethical values and not financial objectives. To understand the link between companies’ ESG characteristics and their financial risk and performance, it is important to evaluate only the studies that use ESG methodologies specifically designed to identify financially relevant issues, such as...

    Apr 12, 2019

    View  |  Related Products: ESG Products & Services , Portfolio Management Analytics , Risk Management Analytics

  4. Research Paper

    Peering into peer selection: Quantifying company similarity

    Peer selection plays a central role in many aspects of finance — including valuation, financial and competitive analysis, risk and portfolio modeling and ESG scoring and alpha generation. One common method of peers identification is industry classification, such as the Global Industry Classification Standard (GICS®). Here we ask if it’s possible to identify and measure relationships between companies from a systematic analysis of various types of data, including fundamentals, news and the...

    Mar 15, 2019

    View  |  Related Products: Portfolio Management Analytics

  5. Research Paper

    The MSCI Multi-Asset Class Factor Model

    Jan 2, 2019

    View  |  Related Products: Portfolio Management Analytics , Risk Management Analytics , BarraOne

  6. Research Paper

    Best 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...

    Nov 16, 2018

    View  |  Related Products: Indexes , Portfolio Management Analytics , Risk Management Analytics

  7. Research Paper

    Beyond Market Equilibrium: The Future of Active Investing

    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...

    Nov 8, 2018

    View  |  Related Products: Indexes , Portfolio Management Analytics

  8. Research Paper

    Is There an Options Sentiment Factor?

    We examine the trading activity and pricing structure in the equity options market to infer the sentiment of options traders on the underlying equity. We find that metrics constructed from the level of options trading activity relative to the underlying stock and from comparing the pricing of puts relative to calls at various moneyness levels have implications for the cross section of stock returns. Importantly, we also find that the information in options sentiment is additive and orthogonal...

    Sep 4, 2018

    View  |  Related Products: Portfolio Management Analytics

  9. Research Paper

    Backtesting Risk Models - August 2018

    In this semi-annual update of the MSCI Model Backtesting Review, we evaluate the performance of three risk methodologies available in RiskMetrics RiskManager: Standard Normal Monte Carlo, Historical, and a new Fat-Tailed Monte Carlo methodology. The backtest was performed over the 12-month period ending June 30, 2018. Compared to previous studies, these models are tested on an extended scope of fixed income and equity portfolios, representing different segments of the U.S. and global equity...

    Aug 22, 2018

    View  |  Related Products: Portfolio Management Analytics , Risk Management Analytics

  10. Research Paper

    Anatomy of Hedge Fund Portfolios

    Measuring hedge funds’ positioning and potential crowding around stocks is of interest to many investors, given these funds’ reputation for outperformance. We explore the performance of hedge fund positions using MSCI HedgePlatform, which has advantages over U.S. Form 13F filings, including monthly data points, improved timeliness and full visibility of short positions.

    Jul 16, 2018

    View  |  Related Products: Portfolio Management Analytics , Risk Management Analytics

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Showing 1 - 10 of 289 entries