Research Paper

A consumer sentiment factor from web content

The explosion in alternative data has been a blessing and a curse to investment managers. We have identified one source that provided unique and uncorrelated information when added to analysis of traditional factors and other measures of sentiment. These consumer sentiment metrics may provide investors with additional transparency into sources of risk and return, and could potentially be used to create valuable new factors.

Sep 18, 2019

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MSCI Event

Multi-Asset Class Seminar

Sep 9, 2019

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MSCI Event

Multi-Asset Class Seminar

Sep 9, 2019

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MSCI Event

Multi-Asset Class Seminar

Sep 6, 2019

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

Research Paper

Factors’ active role in portfolio construction

As important systematic sources of risk and return, factors play a vital role in building, maintaining and measuring actively managed equity portfolios. Investors and technology continue to grow more sophisticated, which has given rise to new ways of gathering, sorting and analyzing information — and new investment approaches. A factor-based approach can provide deeper insight into funds and individual securities. Research by MSCI and others has continued to show that factors have been...

Aug 27, 2019

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MSCI Event

MSCI Annual Broker Dealers Cocktail Networking Event

Aug 22, 2019

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Press Release

MSCI appoints Simone Bouch as Head of Australia and New Zealand Client Coverage

Jun 3, 2019

View  |  Related Products: Indexes , Risk Management Analytics , Real Estate Products & Services , ESG Products & Services

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

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Research Paper

MSCI Current Coupon Models

This paper describes the MSCI Current Coupon Model. The future cashflow of mortgage-backed securities (MBS) is uncertain due to the embedded prepayment option. The prepayment decisions of borrowers are largely driven by the prevailing mortgage rates in the future. Mortgage rates are derived from current coupon rates. Near-term current coupon yield can be derived from the secondary TBA passthrough market, but the liquidity does not go beyond 3 months. To evaluate a typical MBS with a 30-year...

Mar 18, 2019

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Research Paper

Backtesting Year in Review: A Look at 2018

In this semi-annual MSCI Model Backtesting Review publication, we evaluate the 2018 performance of the key risk methodologies available in RiskMetrics RiskManager. These models are tested on a broad set of fixed-income and equity portfolios, representing global equity and bond markets. We review the major market events of 2018 in the context of risk-model performance and include a deeper analysis of the ramifications of oil price dynamics and high-yield credit markets.

Feb 19, 2019

View  |  Related Products: Risk Management Analytics