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Madhusudan Subramanian

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Articles by Madhusudan Subramanian

    Economic Exposure in Global Investing

    Research Report | Oct 30, 2014 | Abhishek Gupta, Madhusudan Subramanian

    Market capitalization-based indexes classify companies based on their country or region of domicile. This approach, however, does not reflect the sources of constituent’s revenues. In this paper, we show that the performance of companies is sensitive to the economies from which they derive their revenues, presenting potential opportunities for institutional investors. We discuss how investors can better understand their global, regional and country risk exposures, achieve global...

    Are Small Caps Truly Domestic?

    Research Report | Dec 10, 2013 | Sivananth Ramachandran, Madhusudan Subramanian

    With increasing globalization many companies, both large and small, are expanding their global footprint in the quest for growth. The global profile of large multinational companies is well documented in investment research1. While small cap firms have traditionally been viewed as being domestically oriented, we are also witnessing the emergence of many small cap companies that are venturing outside their domestic markets. At the same time, the global universe of small cap companies has grown...

    Deploying Multi-Factor Index Allocations

    Research Report | Dec 3, 2013 | Dimitris Melas, Subramanian Aylur, Jennifer Bender, Madhusudan Subramanian

    Factor investing has become a widely discussed part of today’s investment canon. This paper is the second in a three-paper series focusing on factor investing. In the first paper, "Foundations of Factor Investing," we discussed six factors - Value, Low Size, Momentum, Low Volatility, Yield, and Quality - that historically have earned a premium over long periods, represent exposure to systematic sources of risk, and have strong theoretical foundations. We also discussed how...

    Harvesting Risk Premia for Large Scale Portfolios

    Research Report | May 29, 2013 | Abhishek Gupta, Brett Hammond, Juliana Bambaci, Jennifer Bender, Madhusudan Subramanian

    An accumulating body of empirical research has found positive gross excess returns from exposure to risk factors (or risk premia). Our study was commissioned by the Norwegian Ministry of Finance to explore factor strategies, through the lens of risk premia indices, for large funds. The paper examines equity risk premia, such as value, size, low volatility and momentum, focusing on return, risk, and investability. For portfolios of large scale, we construct risk premia indices which have...

    Economic Exposure to Emerging Markets

    Research Report | May 30, 2012 | Dimitris Melas, Sivananth Ramachandran, Madhusudan Subramanian

    As companies increasingly operate across multiple countries and regions, we consider the concept of "economic exposure" which may be derived from the geographic distribution of a company's revenues. This concept offers a new dimension to the construction and evaluation of global equity portfolios and may serve multiple purposes in the investment process - including macro view implementation, security selection, portfolio analysis, risk management and client reporting. Furthermore, a...

    Capturing the Value Premium

    Research Report | Apr 20, 2011 | Dimitris Melas, Roman Kouzmenko, Padmakar Kulkarni, MSCI Index Research, Madhusudan Subramanian

    MSCI Value Weighted Indices are systematic indices that aim to reflect the value premium by employing an alternative weighting scheme that tilts the index towards stocks with lower valuation ratios. In this paper, we review the theoretical aspects of value weighted indices and through empirical studies we discuss the important facets of index construction that underpin the design of MSCI Value Weighted Indices. They are based on an objective and transparent methodology by which all the...

    An Update on Emerging Markets

    Research Report | Sep 1, 2009 | Jennifer Bender, Frank Nielsen, Madhusudan Subramanian

    The 2008 crisis has offered another look at how emerging market stocks have behaved relative to developed markets.  In the aftermath of the crisis, we take a fresh look at emerging markets to explore these questions: Have emerging markets matched growth forecasts? Which segments have performed well? How have emerging markets behaved relative to developed markets?  While in the aggregate, emerging market stocks were not immune to the crisis, there were some clear differences between...