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Factor investing research


Factors separated fact from fiction

Factors separated fact from fiction

Blog post - Technological advances have expanded the application of factors. What was the realm of quantitative investors has become more accessible, bringing greater transparency and potential insight into portfolio characteristics and performance drivers.

Retire in Monte Carlo? Simulating retirement outcomes

Retire in Monte Carlo? Simulating retirement outcomes

Blog post - Despite global equity performance, U.S. DC plan participants may be ill prepared to meet retirement-spending needs. We assessed four equity-allocation scenarios, all following a common glidepath and bond allocation, to see which performed best.

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

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

Blog post - Is the recent outperformance of growth strategies consistent with long-term results? The answer depends on what you mean by growth strategy.

A consumer sentiment factor from web content

A consumer sentiment factor from web content

Research paper - The explosion in alternative data has been a blessing and a curse to investment managers. We have identified one source that provided unique and uncorrelated information when added to analysis of traditional factors and other measures of sentiment.

Stress testing Brexit: Deal or no deal?

Stress testing Brexit: Deal or no deal?

Brexit has roiled markets since U.K. voters chose “leave” in the June 2016 referendum. We used our stress-testing model to examine how markets could react to deal and no-deal scenarios.

Back-to-school (momentum) blues?

Back-to-school (momentum) blues?

Blog postThe U.S. price momentum factor, which we highlighted for elevated crowding scores and vulnerability to negative performance at the end of June, suffered sizable drawdowns in the first seven trading days of September.

A defensive approach to factor portfolios

A defensive approach to factor portfolios

Research paper - Low-volatility indexes have been attractive to some investors, especially in times of market uncertainty and heightened volatility. 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.”

A smoother ride? Looking at factor-based asset allocation

A smoother ride? Looking at factor-based asset allocation

Blog postOn the surface, holding-based asset allocation appears to produce stability. But is what you see always what you get? We investigate the pros and cons of a factor-based approach.

Elements of performance: Factors by MSCI

Elements of performance: Factors by MSCI

Factors are portfolio building blocks capable of turning data points into actionable insights. While the depth of data seems complex, putting Factors by MSCI to work for you couldn’t be any simpler.

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.