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Shubhangi Sharma

Shubhangi Sharma
Associate, Core Equity Research

About the Contributor

Shubhangi Sharma is an Associate in the Core Equity Team at MSCI, working on quantitative strategies for portfolio construction. She has a Bachelor of Science in Chemical Engineering and a minor in Finance from Birla Institute of Technology and Science (BITS) Pilani in India. Shubhangi is currently studying towards CFA certification.

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Contributions by Shubhangi Sharma

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  1. BLOG

    Growth’s recent outperformance was and wasn’t an anomaly 

    Sep 20, 2019 Mehdi Alighanbari , Shubhangi Sharma

    Factor Investing , Factor Research Group , Factors

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    Growth strategies have outperformed value strategies in recent years. Is growth’s recent performance an anomaly when we look at it in a long-term context? The answer: It depends on what you mean by a growth strategy.

  2. PAPER

    A defensive approach to factor portfolios 

    Sep 10, 2019 Mehdi Alighanbari , Shubhangi Sharma

    Factor and Risk Modeling , Performance Analysis , Risk Management

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    Low-volatility indexes have been attractive to some investors, mainly due to their defensive and low-risk characteristics. This has been especially true in times of market uncertainty and heightened volatility. In this paper we investigate the possibility of incorporating the defensive characteristics of the MSCI Minimum Volatility Indexes into the construction of other factor indexes with the aim of achieving the highest “factor exposure-to-risk ratio.”

  3. While used extensively by active managers as part of their security-selection decisions, the growth factor has been largely left out of the factor-index investing landscape, at least in its simplest form. This paper explores why and offers a way to capture this factor with a systematic, rules-based approach.

  4. 2018 marked the 10-year anniversary of the MSCI Minimum Volatility Indexes. Launching just prior to the global financial crisis, which caused sharp equity market falls, and the indexes’ behavior “out-of-sample” since launch have led to adoption by a large number of asset owners and the indexes’ serving as the basis for a wide range of ETFs that have gathered significant assets. Here, we contrast 10 years of live data with the previous 10 years of backtesting, investigating changes in the indexes’ behavior before and after launch across regions. Finally, we answer some of the most common questions clients have asked.

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