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Abhishek Gupta

Abhishek Gupta
Executive Director, MSCI Research

About the Contributor

Abhishek works with clients offering research insights and thought leadership on global investing and asset allocation issues. He is also responsible for conducting quantitative research on MSCI benchmark, factor and ESG indexes. Previously, Abhishek was a member of the risk management group at Morgan Stanley and ICICI Bank. He has a postgraduate degree in Management from NITIE and is a CFA charterholder.

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Contributions by Abhishek Gupta


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  1. BLOG

    Factor Investing Held in High-Volatility/-Concentration Period 

    Apr 23, 2021 Abhishek Gupta , Ashish Lodh

    Factor Indexes , Factors , Risk Management

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    U.S. equity markets have experienced increased volatility coupled with concentration in a handful of megacap companies. Has this hampered investors’ ability to capture factors effectively? Have stock-specific risks dominated factor indexes?

  2. BLOG

    Are Growth and Value Indexes Still in Style? 

    Mar 9, 2021 Guillermo Cano , Abhishek Gupta

    Factor Investing , Risk Management , Global Investing

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    Growth and value indexes were created in the 1980s as finer tools than market-cap indexes to measure the performance of growth and value funds. Are style-specific indexes still a relevant choice to use as benchmarks for these funds?

  3. BLOG

    How Portfolio-Weighting Schemes Affected Factor Exposures 

    Oct 15, 2020 Abhishek Gupta , Ashish Lodh , Subhajit Barman

    Factor Investing , Factor Indexes , Factors , Risk Management

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    Single-factor portfolios seek high exposure to a target factor and limited exposure to non-target ones. We assess the impact that common portfolio weighting schemes have on these exposures, as well as on portfolio efficiency, concentration and investability.

  4. BLOG

    How to Describe a Factor 

    Sep 10, 2020 Abhishek Gupta , Ashish Lodh , Subhajit Barman

    Factor Indexes , Factor Investing , Factors

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    How to define a factor? It’s a challenge for asset owners and wealth managers in evaluating how well factor products meet investment objectives. We found an improved and more robust measure can be formed by combining multiple descriptors. 

  5. In this study, we focus on some of the issues investors face when constructing long-only non-optimized single-factor portfolios using simple heuristics-based rank-select-weight algorithms. In doing so, investors may ask: Should they start from a universe of securities with a fixed target-market-cap coverage or a fixed number of securities? Should they assess factor exposure based on single or multiple factor descriptors? How broad a subset of securities will they use from the underlying universe? What are the pros and cons of different portfolio-weighting schemes? We show such choices would have impacted target-factor capture, exposure to non-target factors, concentration and investability.

  6. MSCI introduced IndexMetrics® in 2013 as a lingua franca for evaluating and monitoring factor indexes along several dimensions, for a multiperspective analysis. As markets and investment processes continued to evolve, we have enhanced the IndexMetrics framework to keep it relevant. But the foundation remains: a framework designed to provide investors with quantitative measures along four dimensions — key metrics, performance, exposure and investability. Here, we provide an update to the “Introducing MSCI IndexMetrics” launch paper, including a comprehensive overview of the IndexMetrics analytical framework for factor indexes, as well as expanded coverage of ESG and thematic indexes.

  7. BLOG

    Index Rebalancing During High Volatility: A Balancing Act 

    May 13, 2020 Abhishek Gupta , Pavlo Taranenko , Sebastien Lieblich

    Global Investing , Emerging Markets

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    Significant volatility during COVID-19 highlights a need for index reconstitution, but some may worry about trading costs and excess turnover. We investigate the balance between appropriate market representation and avoiding high index turnover.

  8. BLOG

    Can diversification help weather the coronavirus storm? 

    Apr 16, 2020 Raina Oberoi , Abhishek Gupta , Jean-Maurice Ladure

    Emerging Markets , Factor Indexes , Factor Investing , Factors , Global Investing

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    Whether investors include a tactical approach or invest strategically for the long term, diversifying across factors, sectors and geographies has historically played an important role in portfolio construction. 

  9. BLOG

    Value investing is down. But is it out? 

    Oct 23, 2019 Abhishek Gupta , Anil Rao

    Factor Indexes , Factor Investing , Factors , Global Investing

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    Value stocks generally underperformed the broad U.S. equity market over the past decade — just as they did in the late 1990s. What drove that underperformance? Was it consistent globally? Within U.S. sectors?

  10. Accurately estimating factor exposures for stocks and portfolios can be economically relevant and may improve the investment process for a variety of investors, including asset owners, quantitative managers, wealth managers and risk managers. Methods for measuring exposures vary, however. We provide a comparative analysis of two such techniques — one based on time-series regression models, the other on observable firm characteristics.

  11. BLOG

    What Fed monetary policy has meant for factors 

    Feb 6, 2019 Abhishek Gupta , Raina Oberoi

    Factors , Factor Research Group , Factor Investing

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    As interest rates in the U.S. started increasing in late 2015, many investors expressed concerns over the impact that rising rates could have on their investments. However, the tone of the U.S. Federal Reserve (the Fed) shifted from “we’re a long way from neutral” in October last year to a more accommodative stance of “we will be patient” early this year, re-emphasizing that expression at the January 2019 Federal Open Market Committee meeting.

  12. BLOG

    Small cap allocations may not be that straightforward 

    Nov 20, 2018 Abhishek Gupta

    Global Investing , Factor Investing

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    The low size factor, or the premium that has been historically realized by investing in smaller sized companies over longer time periods, forms an integral component of many institutional portfolios. However, investors can choose different ways to making a low size allocation.

  13. Making allocations to individual factors typically requires strong investment beliefs, as factor returns have been cyclical in nature. When weighing the pros and cons of different multi-factor indexed approaches, institutional investors often evaluate both bottom-up or top-down options. We consider the attractions of both, using a bottom-up approach to build a multi-factor index from stocks that are favorably exposed to the value, size, quality and momentum factors, compared with an alternative top-down approach combining single factor indexes. We compare the two approaches in terms of their level of exposure to the target factors as well as their capacity and investability profiles.

  14. Despite institutional investors, globally, continuing to allocate funds to indexed strategies, active management remains attractive across various products and geographies. The ability to select skilled managers in opportune markets who can add value beyond a indexed investment tracking an index, may justify the case for active implementation. We analyze different segments of the equity markets to find the intersection of those that have provided the greatest opportunity and where managers have delivered persistent outperformance. ©2019 Pageant Media. Republished with permission of IPR Journal, from “Evaluating Opportunities in Active Management.” Abhishek Gupta, Raina Oberoi, and Raman Aylur Subramanian. Vol. 29, No. 1, 2019.

  15. Momentum, the tendency of past winners to continue to do well in the near future, is used widely in risk models, quantitative strategies and, more recently, as the basis for factor indexes aiming to replicate the performance of this pervasive factor. But the academic definition of momentum is extremely difficult to implement because it tends to lead to high volatility exposure and excessive portfolio turnover. Our approach involves selecting securities based on risk-adjusted performance and increasing rebalancing frequency only in periods of heightened market volatility. This approach has historically mitigated momentum crashes and reduced unnecessary turnover in momentum strategies.

  16. The perennial appeal of value investing is based on the excellent long-term performance of global value stocks. Investors today use various approaches to identify and compare the exposure of stocks with "value" characteristics that help explain risk and return. In this Research Spotlight, we create a common definition of “value” and examine how value strategies can be implemented, in both active and passive portfolios, using three generations of value indexes as examples.

  17. The perennial appeal of value investing is based on the excellent long-term performance of global value stocks. Investors today use various approaches to identify the exposure of stocks with “value” characteristics that help explain risk and return.  In this Research Insight, we create a common definition of “value” and examine how value strategies can be implemented, in both active and passive portfolios, using three generations of value indexes as examples.

  18. 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 diversification through a revenue-based portfolio and use funds based on the MSCI Economic Exposure Indexes to express their investment views and complement their existing passive portfolio.

    Read the Spotlight (Concise Version)

  19. PAPER

    Research Spotlight - Understanding Macroeconomic Risk and its Impact on Asset Allocation - October 2014 

    Oct 2, 2014 Raghu Suryanarayanan , Katalin Varga , Kurt Winkelmann , Abhishek Gupta , Altaf Kassam , Attila Agod , Jahiz Barlas , Ludger Hentschel

    Factor and Risk Modeling , Risk Management

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    Starting in 2012, MSCI Research began exploring the impact of macroeconomic events on asset valuation and strategic asset allocation. The white papers summarized in this Research Spotlight provide the core findings in a continuing series, and are the basis of our growing suite of ‘macro models.’ For each paper you will find the full title, the credited authors, a short abstract, and a quick hyperlink to the full publication in our Research Library.

  20. PAPER

    The MSCI Quality Mix Indexes 

    Jun 5, 2014 Abhishek Gupta , Subramanian Aylur

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    Factor-based investing has become a widely discussed topic of today's investment canon. In this paper - which is the last delivery of a four-paper series focusing on factor investing - we discuss the combinations of Factor Indexes taking as an example the MSCI Quality Mix Index.

    The MSCI Quality Mix Index is an equal weighted combination of the MSCI Quality, Value and Minimum Volatility Indexes. Academic research shows that quality, value and low volatility strategies have not only outpaced the market over time, but in combination they have done so with smoother returns and a lower risk profile. Many active strategies emphasize quality, value and low volatility as important systematic factors in their security selection and portfolio construction. This paper highlights the main features of such composite strategy indexes.

  21. Over the recent years, the impact of the macroeconomic regime on their investments has grown in importance for institutional investors. As a result, institutional investors have started explicitly accounting for macroeconomic conditions in their asset allocation decisions.

    This paper attempts to provide a framework for designing macro-sensitive portfolios, building on historical analysis using our 40+ years' history of MSCI Factor and Sector Indexes, and a long-term analysis based on the forecasts from MSCI Macroeconomic and Asset Pricing Models. We identify historical and statistically plausible economic growth and inflation regimes, and their transitions, and show how factor and sector indexes differ in their response to changes in these regimes. Deviations away from the market and towards factor and sector indexes could depend both on institutional investors' macroeconomic views and tolerance for macroeconomic uncertainty. For an uncertainty tolerant investor assuming DM economic growth returns quickly to its trend, the models indicate allocating towards indexes that are the most sensitive to economic growth. In contrast, if slow growth and low inflation are believed to persist, the models indicate allocating towards the least growth sensitive indexes.

  22. 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 historically exhibited strong investability characteristics while still preserving attractive return and risk characteristics. We furthermore find strong support historically for the combination of multiple risk premia indices which may benefit from diversification and natural crossing of trades.