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MSCI Blog

The Theory of (Value) Relativity

May 5, 2021 Waman Virgaonkar, Mehdi Alighanbari

Whether constructing a fundamental factor model, a value strategy or a value index, valuation ratios need context. Time-series and cross-sectional approaches each have pros and cons. But combining the two may have presented a clearer picture. 

Research Paper

MSCI Foreign Exchange Implied Volatility Factor Model

Apr 27, 2021 FAQUIRYAN Hamed
Research Paper

Factor Allocation Model: Integrating Factor Models and Strategies into the Asset Allocation Process

Apr 14, 2021 MELAS Dimitris
MSCI Blog

Including Microcaps in Benchmark Indexes: Japan vs. US

Apr 7, 2021 Naoya Nishimura

Selecting an equity benchmark may mean balancing market coverage and investability. For example, exhaustive coverage may include microcap stocks, with lower liquidity and investment capacity. But excluding them may reduce low-size-premium exposure.

MSCI Blog

Factors in Focus: Value Springs into Action

Apr 6, 2021 Hitendra D Varsani, Waman Virgaonkar

Value has historically outperformed in economic recoveries. With the reopening of the global economy we examined value’s performance against other factors, and exposures from our adaptive multi-factor model at the end of Q1. 

MSCI Blog

Reopening Economies and the Resurgence in Value

Mar 31, 2021 Waman Virgaonkar, Hitendra D Varsani

After 15 years of challenging performance, many have asked if value is still a valid investment strategy. But the reopening of the global economy following vaccination rollouts has reignited interest across stocks, sectors, countries and regions.

Research Paper

Machine Learning Factors Capturing Non Linearities in Linear Factor Models

Mar 26, 2021 WANG Jun, BONNE George, ZHANG Howard

It is not etched in stone that relationships between factor exposures and returns must be linear. We found machine-learning algorithms could identify nonlinear relationships and be used to construct a factor showing significant explanatory power. 

MSCI Blog

Value-Performance Anxiety

Mar 23, 2021 Mehdi Alighanbari, Saurabh Katiyar

Despite a recent performance lift, many still ask whether the value factor is broken. We analyze the reasons behind its underperformance and start exploring the potential of updates to value definitions and approaches to value-portfolio construction.

The FaCS report

The FaCS report

The FaCS report allows investors to understand what is driving their investments and help them build better portfolios. In this report, we help investors compare point in time and historical factor exposures (10+ years) of 8,000+ Stocks, 11,000+ Mutual Funds and 1,500+ ETFs 
 

MSCI FaCS

MSCI FaCS

Introducing a common language for factors that aims to increase transparency and investors’ understanding of equity portfolios.

Factor investing webinar series

Factor investing webinar series

Factor investing continues to evolve. Our quarterly webinar series keeps you up-to-date on our latest research about the elements of performance.