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Our latest research

MSCI Blog

Factors in Focus: Risk sentiment and factor dynamics in a crisis

Apr 2, 2020 Hitendra D Varsani, Waman Virgaonkar, Rohit Mendiratta

We analyzed the market effects from COVID-19 and a Saudi Arabia/Russia oil-price war. We also examined – for the first time – credit factor performance. How did the quarter play out? What did our adaptive multi-factor model show as it ended?

Research Paper

Looking for a better hedge

Mar 30, 2020 ZHANG Howard, BONNE George

A better understanding of the relationships between companies has potential value for many financial applications. We examined three — building simple hedging portfolios, min-vol portfolios and optimized hedging portfolios — and found it reduced portfolio volatilities in all cases.

MSCI Blog

The coronavirus market impact spreads globally

Mar 5, 2020 Jun Wang, Jay Yao, George Bonne

Fear of a coronavirus pandemic and ensuing economic impacts caused sharp drops in global markets after an initially mild response. We look at recent performance from a factor perspective and how quickly factor returns and volatility reverted in past crises.

MSCI Blog

The coronavirus epidemic: Implications for markets

Feb 12, 2020 Zhen Wei, Jun Wang, Thomas Verbraken

The toll from the coronavirus has been felt throughout societies, leading to repercussions on the global economy and financial markets. We examine investor impact through markets’ economic exposures to China and factors and by stress testing portfolios.

Research Paper

Factors and corporate bonds: Single- and multi-factor approaches to corporate credit

Jan 6, 2020 VARSANI Hitendra, JAIN Vipul, MENDIRATTA Rohit

Could factor investing offer a risk-return edge in USD investment-grade corporate credit? We simulated the past performance of six fixed-income factors — value, low size, quality, momentum, carry and low risk — that broadly align with MSCI’s equity factors.

MSCI Blog

Factors in Focus: Will 2020 vision sharpen exposures?

Jan 6, 2020 Waman Virgaonkar, Hitendra D Varsani

Some global equity markets reached all-time highs and experienced limited bouts of volatility over the course of 2019. But underneath the calm surface, we saw a high degree of dispersion among factors and sectors.

MSCI Blog

Factors behind value’s underperformance

Nov 22, 2019 Leon Roisenberg

As the relationship between U.S. value factors’ exposures and returns deteriorated over the last decade, U.S. momentum’s return patterns improved. We examine the value-momentum relationship and contributions of other style factors to value’s performance.

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.