Extended Viewer

Anil Rao

Anil Rao
Executive Director, Equity Solutions Research

About the Contributor

Anil Rao is an Executive Director in the Equity Solutions Research team. He works with asset owners and managers on using MSCI indexes and analytics for portfolio management. Anil has an MBA from the University of California at Berkeley and an MS from Columbia University. He holds a BS from the University of California at Los Angeles. He is a CFA® Charterholder.

HTML Displayer Portlet

Contributions by Anil Rao

Extended-lister

Nothing was found.
  1. BLOG

    Innovation Remix: Adding Thematics to Equity Programs 

    Apr 14, 2021 Anil Rao , Raman Aylur Subramanian , Subramanian Aylur

    Equity Themes , Factor Indexes , Global Investing

    Learn More

    How can investors incorporate transformative, but volatile thematic investments while seeking to control for valuation and total and active risk? We examine three approaches that improved a portfolio’s “innovation profile” with modest changes to risk.

  2. BLOG

    The Pace of Fast Change: Growth vs. Thematic Investing 

    Mar 16, 2021 Anil Rao , Stuart Doole

    Factor Indexes , Factors , Global Investing , Factor Investing

    Learn More

    Investors considering thematic investments to gain exposure to firms whose fortunes may not be captured by fundamental growth measures, may ask: What are the key opportunities – and challenges – that distinguish thematic from growth investing?

  3. PAPER

    Better Together: Policy Benchmarks, Active Equity and ESG 

    Jan 25, 2021 Zoltán Nagy , Guido Giese , Raman Subramanian , Anil Rao

    Portfolio Construction and Optimization , Responsible Investing

    Download Document

  4. BLOG

    For target-date funds, hindsight was 40/60 

    Apr 9, 2020 Anil Rao

    ESG Research , Factor Indexes , Fixed Income , Risk Management

    Learn More

    Recent market volatility has been especially unkind to those closest to and early in retirement, as the sequence of returns matters for retirement income. Would low-volatility and ESG investments have benefited target date funds during volatile periods?

  5. BLOG

    Value investing is down. But is it out? 

    Oct 23, 2019 Abhishek Gupta , Anil Rao

    Factor Indexes , Factor Investing , Factors , Global Investing

    Learn More

    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?

  6. BLOG

    Retire in Monte Carlo? Simulating retirement outcomes 

    Oct 11, 2019 Anil Rao

    ESG Research , Factor Investing , Models/Client Cases , Risk Management

    Learn More

    Despite global equity performance, U.S. DC plan participants may be ill prepared to meet retirement-spending needs. We assessed four equity-allocation scenarios — including an equity multifactor allocation  and integration of ESG views —  to see which performed best.

  7. BLOG

    Same target, different destinations 

    Jul 31, 2019 Anil Rao

    Integrated Risk Management , Models/Client Cases

    Learn More

    Target-date funds (TDFs) have gained wide adoption in U.S. defined-contribution plans over the last decade, aided by the proliferation of auto-enrollment features and the funds’ presentation as a “set it and forget it” approach.

  8. BLOG

    Game of Homes: Is winter coming for the domestic-equity bias? 

    Apr 30, 2019 Raman Aylur Subramanian , Anil Rao , Raman Subramanian

    Equity Themes , Models/Client Cases , Global Investing

    Learn More

    Can we quantify home-bias risk in an allocation? And, what has happened when U.S. stocks ended previous multiyear runs of outperformance?

  9. BLOG

    Watching beta in volatile equity markets 

    Mar 12, 2019 Anil Rao

    Equity Themes , Global Investing

    Learn More

    The U.S. equity market ended last year with a historic drawdown, and beta stood out as a driver of the market decline. But what happened when those losses starting reversing in early 2019?

  10. BLOG

    Evaluating Emerging-Market Stocks through a Governance Lens 

    Feb 21, 2019 Anil Rao , Raina Oberoi

    Equity Themes , Emerging Markets , Global Investing

    Learn More

    Emerging-market stocks generally are perceived to have lower governance standards than their developed-market counterparts. Less transparency is one factor behind this view. Some emerging-market companies may also disadvantage minority shareholders. How can active and index-based investors address these issues?

  11. BLOG

    Beaten-down beta 

    Jan 3, 2019 Roman Kouzmenko , Anil Rao

    Factor Investing

    Learn More

    U.S. and international equity markets fell sharply to close out 2018. The MSCI USA Index fell 15% in the fourth quarter alone. (It fell a total of 6% for the year.) As we previously examined, investors began rotating from cyclical sectors and factors to defensive ones in June. This pattern continued, in earnest, until October.

  12. BLOG

    Sector investing in China 

    Nov 14, 2018 Anil Rao

    Emerging Markets , Global Investing , Factor Investing

    Learn More

    As the China A shares market has evolved, investors have faced new choices. They can continue with broad allocations to the emerging markets (EM), choose slightly narrower allocations to China and other specific EM countries or consider targeted investments within China through a variety of means.

  13. BLOG

    Weighty matters: Going beyond stock-picking 

    Aug 30, 2018 Anil Rao

    Factor Investing

    Learn More

    Fundamental equity managers have traditionally looked for an edge using various strategies and approaches. Here we examine whether it historically has been possible to manage a fund’s risk exposures without disturbing the underlying investment process.

  14. BLOG

    Can investors win a U.S.-China trade war? 

    Jul 3, 2018 Anil Rao

    Equity Themes , Economic Exposure , Global Investing , Integrated Risk Management

    Learn More

    With new tariffs in effect as of July 6, we investigate our earlier assertion that “while an expanded trade war could lead to a ‘lose-lose’ outcome, there could be greater impact for stocks in the U.S. Overall, they are more exposed to the Chinese economy than the other way around.”

  15. BLOG

    International small caps are alive and kicking 

    Jun 11, 2018 Anil Rao

    Global Investing

    Learn More

    Investors eager to write the obituary of the size premium might want to put down their pens. Small-cap stocks in developed markets outside the U.S. have been on a decade-long run of outpacing their large- and mid-cap counterparts.

  16. BLOG

    Understanding Factor Exposures When Markets Become Volatile 

    Feb 9, 2018 Anil Rao

    Factors , Factor Investing

    Learn More

    How did different equity factors fare during the past week’s market turmoil? When markets are gyrating, it can be difficult to figure out just what is happening. Real-time data provides greater insight into market events as they unfold.

  17. BLOG

    Diverging emerging markets: global equity markets in 2017 

    Jan 12, 2018 Anil Rao

    Equity Themes , Emerging Markets

    Learn More

    The emerging markets rally, the U.S. dollar’s depreciation and the resurgence of global growth were the top three drivers behind a double-digit rally in global equities last year. Stocks were led by the MSCI Emerging Markets Index’s 38% return. Developed markets, as represented by the MSCI World Index, returned 23% last year. As we enter 2018, investors will monitor whether these themes continue into the New Year.

  18. BLOG

    Using factors in international investing 

    Nov 8, 2017 Anil Rao

    Factors , Factor Investing

    Learn More

    Over the last decade, asset owners have implemented factor investment programs with a focus on domestic markets. Increasingly, they are also funding equity factor programs in international markets. Two catalysts are driving this trend. First, there has been a steady erosion in asset owners’ home biases, leading to more indexed and active international mandates. Second, investment committees and boards of trustees have become more comfortable with using factors as a complement to core indexed and traditional active allocations.

  19. BLOG

    Fast-moving Markets: Revisiting the August 2007 Quant Crunch in Real Time 

    Aug 2, 2017 Anil Rao

    Equity Themes

    Learn More

    When markets get volatile, stock prices can move very quickly in a short period. As we saw in the August 2007 “quant liquidity crunch”— now about to mark its 10-year anniversary — many quantitative equity managers could have benefitted from getting market insights in real time as they found themselves in crowded trades.

  20. Asset owners face a challenge in determining how the factor allocation fits into the overall equity program, in particular how the factor allocation relates to the existing roster of active managers. This paper uses a risk budgeting framework to investigate how active mandates and factor allocations can be combined. We address three key questions: 1) how does the level of active risk in active management affect the factor allocation decision, 2) what share of the portfolio can be deployed to the factor allocation and 3) what are the implications of a top-down versus a bottom-up factor allocation.

  21. BLOG

    Bridging the gap: Adding factors to indexed and active allocations 

    May 2, 2017 Anil Rao

    Factors

    Learn More

    How can asset owners integrate an equity factor allocation into their existing roster of active managers? There is no one answer that suits all. The response may be different for each asset owner, depending on its investment beliefs, goals and risk tolerance.

  22. The size premium has been widely used in asset allocation and in risk models for decades. However, some academics and practitioners have contested the validity of the size premium. They argue: 1) the size premium has disappeared in the last 20 years and no longer exists; 2) the size premium exists only in the United States and not in other markets; 3) the size premium disappears after filtering out smaller stocks for investability. In this paper, we refute these claims and examine ways of implementing the size premium. Notably, there is a “sweet spot” along the all-cap spectrum that can be used in constructing “smarter” size-based portfolios.

  23. 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.

  24. 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.

  25. PAPER

    Research Insight - "Factoring" in the Emerging Markets Premium - November 2014 

    Nov 5, 2014 Raina Oberoi , Philippe Durand , Subramanian Aylur , Anil Rao

    Download Document

    Factor investing has become increasingly popular in developed markets. In this paper, we show that they have worked in emerging markets as well. All six MSCI Emerging Markets Factor Indexes outperformed the parent index over a 15-year plus period, based on simulations. Investors seeking premia in addition to broad EM beta can explore factor index investing via this index series. Active EM managers can also benefit from these tools. Traditionally, they have mainly harvested EM beta, along with Dividend Yield, Earnings Yield and Momentum factors. In the future, they might look to other factor indexes in their portfolio construction process.

    Read the Spotlight

  26. PAPER

    Research Insight - Manager Risk Contribution: Attributing Risk in a Multi-Manager Portfolio 

    Mar 4, 2014 Anil Rao , Whit Miller

    Risk Management

    Download Document

    MSCI extends the analysis of a previous paper, Benchmark Misfit Risk: Identifying the Risk Contribution Arising from Differences in Manager and Policy Benchmarks, where we introduced the misfit effect on a Global Equity portfolio. In this latest paper, the same Global Equity portfolio is formed from the combination of five managers across three regions. We form an expression for Manager Risk Contribution in terms of the selection effect and misfit effect. We use this expression to calculate the Manager Risk Contribution for each of the managers.

    The result is a decomposition, which identifies the contribution to the active risk of the Global Equity portfolio from the following sources for each of the three regions: allocation, selection and benchmark misfit. For each manager k in each region i, we identify the manager risk contribution. Finally, we demonstrate that the traditional Brinson allocation effect can be added to the sum of the manager risk contribution across region i to measure the risk contributed for the region as a whole.

    MSCI believes the results described are significant because they facilitate a coherent view of a manager's portfolio: the Manager Risk Contribution is a simple function of the Manager Risk. This should have meaningful implications for the reporting framework used by investors to attribute ex-post performance (return, risk and risk-adjusted return), as well as ex-ante risk. Moreover, though we discuss risk as the standard deviation of benchmark relative returns here, this framework is applicable to any convex risk measure such as expected shortfall.

  27. PAPER

    Research Insight - Benchmark Misfit Risk: Identifying the Risk Contribution Arising from Differences in Manager and Policy Benchmarks - July 2013 

    Jul 9, 2013 Jose Menchero , Whit Miller , Anil Rao

    Asset Allocation and Asset Liability Management , Performance Analysis , Risk Management

    Download Document

    The benchmark misfit effect arises when the policy benchmark and the manager benchmark are not aligned. Unless this effect is specifically modeled, it is not possible to determine how the active risk of an individual manager contributes to the risk of the overall fund. In this Research Insight, we showed how the classic Brinson model could be extended to account for benchmark misfit. We also demonstrated how to properly attribute overall portfolio risk to the active risk from an individual manager and the risk contribution from benchmark misfit.

Regulation