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Crowd Control, Momentum and Concentrated Markets
Dec 6, 2024 Donald Sze, Stuart Doole, Anurag KumarIn concentrated markets, investors can become wary of portfolios dominated by sentiment factors. A simple crowding-score-based constraint can help investors identify securities most at risk of de-rating.
Corporate Diversification and Investment Characteristics
Nov 14, 2024“Deconglomeration” in the 1980s signaled a shift to corporate specialization, particularly in the U.S. We found that diversified firms have tended to lag the profitability and growth of their single-industry counterparts.
Understanding Geopolitical Risk in Investments
Aug 30, 2024 Oleg RubanOver the last 30 years, high geopolitical risk has been associated with lower equity returns and higher forecast volatilities. We show that measures of geopolitical risk have provided useful information beyond conventional measures of uncertainty.
MSCI ESG Ratings and Cost of Capital
Jul 22, 2024We found a strong historical correlation between a company’s MSCI ESG Rating and its cost of capital in both equity and debt markets. Firms assessed as the most resilient to financially material sustainability-related risks financed themselves more cheaply.
India’s Changed — and Changing — Equity Markets
Jul 5, 2024 Patrick Warren, Rohit Gupta, Anil RaoWe segmented India’s public equity market to study patterns in its factor, thematic and industry exposures. And to assess how the current market profile could change, we also analyzed private firms that may be in the pipeline to become public.
Markets in Focus: Narrow Yield Spread and High Crowding Pressure Equities
Oct 3, 2023 Waman Virgaonkar, Hitendra D Varsani, Juan SampieriEclipsing equity and bond yields and high crowding may be signs of a vulnerable equity market. We compare equity/bond yield spreads in the major regional markets along with crowding in sectors and regions.
Quality Time
Jun 28, 2023The past decade's market turbulence, rising inflation and fluctuating rates, has emphasized the importance of high-quality firms. This update to earlier research examines the quality factor’s role in navigating an ever-changing landscape.
How ESG Risk Management Can Impact Security Risk
Apr 13, 2023 FERENC Yuliya Plyakha, CARR Miranda, NAGY Zoltan, GIESE Guido, VARGHESE BlessyFollowing extensive research showing an improvement in risk-adjusted returns for companies with higher ESG ratings, we look beyond what a company’s ESG issues were to how that company dealt with them — and the impact that had on stock-specific risk.
MSCI Japan Equity Factor Models
MSCI Japan Equity Factor Models
Leverage factors like sustainability, crowding and machine learning for building more resilient portfolios as market conditions change.
MSCI FaCS
MSCI FaCS
Introducing a common language for factors that aims to increase transparency and investors’ understanding of equity portfolios.
MSCI Crowding Solution
MSCI Crowding Solution
MSCI Crowding models help investors assess their exposure to crowdedness—of individual securities, factors and hedge fund holdings—gain insight into how the rest of the market is positioned, and navigate crowded markets by providing high quality, timely crowding information to make the best informed decisions to achieve their investment objectives.
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