Extended Viewer

Extended Viewer is temporarily unavailable.

HTML Displayer Portlet

Contributions by Subramanian Aylur

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. 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 significant contributors to active returns in active equity portfolios. As published in the July/August 2019 Investments & Wealth Monitor.

  3. BLOG

    ESG investing is here to stay 

    Feb 12, 2019 Raman Aylur Subramanian , Diana Tidd , Subramanian Aylur

    ESG Research

    Learn More

    Historically, environmental, social and governance (ESG) investing was about excluding stocks of undesirable companies from portfolios — often because they violated one’s sense of ethics or values. ESG investing has since expanded to include consideration of ESG criteria alongside financial ones. ESG is growing in importance among institutional, wealth and retail investors. In recent years, institutional and high-net-worth investors’ adoption of ESG, along with the subsequent growth in ESG assets under management, has accelerated.

  4. 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.

  5. Factors are important systematic sources of risk and return in equity portfolios. Given the pervasive use of factors via both active and indexed strategies, a standard approach is needed for defining factors and evaluating the factor characteristics of portfolios. We introduce MSCI FaCS, a classification standard and framework for analyzing and reporting of style factors in equity portfolios that is based on the Barra Global Total Market Equity Model for Long-Term Investors. Managers can use the framework to analyze and report factor characteristics, while investors and consultants can use its data to compare funds using common definitions.

  6. In constructing portfolios, asset managers expose the portfolio to factor tilts that greatly influence fund performance. Some of these exposures, which can provide sources of excess return, may be intentional but others may not. A manager who makes the wrong bet could be on the wrong side of history. Using MSCI’s Peer Analytics dataset, we examined the composition and performance drivers of active global funds through the lens of our Global Total Market Equity Model. Our key finding: Exposure to common factors accounted for 55% of funds’ 5-year active performance vs. 45% for stock-specific contributions during a 13-year period.

  7. 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.

  8. BLOG

    Return of the cyclicals 

    Jan 19, 2017 Raman Aylur Subramanian , Raman Subramanian , Subramanian Aylur

    Factors

    Learn More

    U.S. equity investors in 2016 experienced a roller coaster ride. The U.K.’s vote to leave the European Union and the U.S. presidential election each resulted in sharp market moves. Together, the two events contributed to a shift in the underlying fabric of equity markets starting in the second half of the year.

  9. 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.

  10. 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.

  11. 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.

  12. 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

  13. PAPER

    Research Spotlight - MSCI Factor Indexes in Perspective: Insights from 40 Years of Data - September 2014 

    Sep 18, 2014 Padmakar Kulkarni , Subramanian Aylur , Mehdi Alighanbari

    Factor and Risk Modeling , Investing (Investment Management) , Performance Analysis , Portfolio Construction and Optimization

    Download Document

    With Research Spotlight - MSCI Factor Indexes in Perspective:Insights from 40 Years of Data, we launch our new publication called the Research Spotlight. IEach paper in the series, we will focus on the key findings of a longer white paper, summarizing the research for a non-technical audience. While certain readers will be drawn to the longer publication for the full scope of the study, the Research Spotlight affords a quick and focused summary for those interested in a concise overview.

    Until recently, MSCI had calculated 25 years of simulated history for its factor indexes. In this Research Spotlight, we extend the simulated history to 40 years, providing new insights into the behavior of factor indexes over various time periods. We look at factor index behavior over various time frames; the changes in the correlation between factor returns over this period; historical variations in valuation of factor indexes and their exposure to GICS sectors. We also use IndexMetrics, MSCI's analytical framework, to investigate various characteristics of factor indexes, such as risk, return, liquidity, investability and cost. This part contains supplementary data only.

  14. PAPER

    Research Insight - Factor Indexes in Perspective: Insights from 40 Years of Data Part II: Supplementary Materials - September 2014 

    Sep 8, 2014 Subramanian Aylur , Mehdi Alighanbari , Padmakar Kulkarni

    Factor and Risk Modeling , Investing (Investment Management) , Performance Analysis , Portfolio Construction and Optimization

    Download Document

    Until recently, MSCI had calculated 25 years of simulated history for its factor indexes. In this Research Insight, we extend the simulated history to 40 years, providing new insights into the behavior of factor indexes over various time periods. We look at factor index behavior over various time frames; the changes in the correlation between factor returns over this period; historical variations in valuation of factor indexes and their exposure to GICS sectors. We also use IndexMetrics, MSCI's analytical framework, to investigate various characteristics of factor indexes, such as risk, return, liquidity, investability and cost. This part contains supplementary data only.

  15. PAPER

    Research Insight - Factor Indexes in Perspective: Insights from 40 Years of Data Part I: Study - September 2014 

    Sep 8, 2014 Subramanian Aylur , Mehdi Alighanbari , Padmakar Kulkarni

    Factor and Risk Modeling , Investing (Investment Management) , Performance Analysis , Portfolio Construction and Optimization

    Download Document

    Until recently, MSCI had calculated 25 years of simulated history for its factor indexes. In this Research Insight, we extend the simulated history to 40 years, providing new insights into the behavior of factor indexes over various time periods. We look at factor index behavior over various time frames; the changes in the correlation between factor returns over this period; historical variations in valuation of factor indexes and their exposure to GICS sectors. We also use IndexMetrics, MSCI's analytical framework, to investigate various characteristics of factor indexes, such as risk, return, liquidity, investability and cost.

  16. PAPER

    The MSCI Quality Mix Indexes 

    Jun 5, 2014 Subramanian Aylur , Abhishek Gupta

    Download Document

    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.

  17. PAPER

    Deploying Multi-Factor Index Allocations 

    Dec 3, 2013 Madhusudan Subramanian , Subramanian Aylur , Dimitris Melas , Jennifer Bender

    Download Document

    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 they can be captured through indexation. In this paper, we turn to the question of how institutional investors interested in factor investing may allocate to and across factors.

  18. PAPER

    Foundations of Factor Investing 

    Dec 3, 2013 Dimitris Melas , Jennifer Bender , Subramanian Aylur

    Download Document

    Factor investing has become a widely discussed part of today’s investment canon. This paper is the first in a three-paper series focusing on factor investing. In this paper we lay out the rationale for factor investing and how indexation can capture factors in cost-effective and transparent ways.[1]

    [1] The next papers series cover various aspects of implementation including use cases we have seen.

  19. PAPER

    Research Insight - Building Best Practices Benchmarks for Global Equities 

    Jul 10, 2013 Subramanian Aylur , Brett Hammond

    Download Document

    Benchmarks are practical tools used by investors at every stage of the investment process, including policy portfolio creation, asset allocation, fund selection, performance evaluation, and product creation. But despite their central role in the investment process, a comprehensive discussion of benchmarking standards or best practices has not been addressed in recent industry literature.

    This paper aims to provide a framework for benchmark assessment. The framework is drawn primarily from experience with creating and managing families of global equity benchmarks; however, the practices it outlines can be considered for application to a wide range of asset classes.

  20. PAPER

    Research Spotlight - Foundations of Factor Investing 

    Jan 31, 2013 Dimitris Melas , Remy Briand , Subramanian Aylur

    Investing (Investment Management)

    Download Document

    This paper discusses the rationale for factor investing and how indexe can be constructed to reflect factor returns in cost-effective and transparent ways. We currently identify six equity risk factors that have historically earned a long-term risk premium and represent exposure to systematic sources of risk: Value, Low Size, Low Volatility, High Yield, Quality and Momentum.

  21. If you would like to gain a greater understanding of current practices and emerging trends in the implementation of global equity allocation policies, take a look at Global Equity Allocation, three of our most popular papers on this topic compiled into one easy-to-read publication.

  22. PAPER

    Revisiting Global Small Cap 

    Jul 20, 2010 Subramanian Aylur , Marc Kilbert

    Investing (Investment Management)

    Download Document

    The small cap as a source of equity risk premia has been well documented in finance literature. Although small-cap stocks are often perceived as risky relative to their large-cap counterparts, they have other characteristics that may provide an opportunity for portfolio diversification and return enhancement. In particular, moving beyond the universe of large- and mid-cap stocks into the small-cap segment triples the opportunity set in terms of number of stocks available for investors. Also, there have been pronounced performance disparities between the large- and mid-cap segments and small-cap segments of equity markets. This has motivated institutional investors to seek broader exposure and to make strategic portfolio allocations to small-cap stocks, which is evident from the growth in initial funding to small cap mandates. This research insight presents the characteristics of global, small-cap stocks relative to large- and mid-cap stocks, reviews the role that global small-cap stocks can play for portfolio diversification and return enhancement and examines different investment processes to capture the small-cap premium by comparing active versus passive strategies.

  23. Globalization has brought about a major rethinking of the equity investment. Thought leaders in the industry are questioning the merit of the existing equity allocation practices and are increasingly looking towards an integrated global equity investment process. The partitioned domestic/non-domestic approach to equity investing may have been built on the grounds of segmented economies, high levels of foreign investment restrictions, and heavily domestically-focused companies but its validity is being challenged by a changing and more integrated global equity landscape. Traditional arguments supporting a home bias equity allocation are less defensible and certain leading institutional investors are realizing that the segmentation between domestic and international equities at a strategic level is a legacy that may come with important market timing risks and opportunity costs. A more integrated approach to equity investing may be the next stage in the evolution of investment processes and a natural consequence of globalization. A broad and investable global equity benchmark is an integral part of such a process.

Regulation