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Our latest research

Research Paper

Rank-Based Error Tracking for Agency MBS Prepayment Models

Jun 30, 2020 ZHANG David

Model testing is a key requirement for collateral behavior forecasting models in securitized products. The traditional method focuses on a single dimension, and does not provide a clear measure of model accuracy and effectiveness. Instead, a rank-based error-tracking methodology provides an efficient and comprehensive approach to measure model performance.

Did Value-Factor Exposure Deliver for Value Funds?
MSCI Blog

Did Value-Factor Exposure Deliver for Value Funds?

Jun 29, 2020 Saurabh Katiyar, Ashish Lodh, Vishad Bhalodia

Building on previous MSCI research into the nuanced performance of the value factor, including the impact of sectors and other style factors, we look at how exposure to value drove the performance of actively managed value funds.

MSCI Blog

ESG Ratings: How the Weighting Scheme Affected Performance

Jun 29, 2020 Zoltán Nagy, Linda-Eling Lee, Guido Giese

Our recent research suggests that environmental and social issues were more industry specific and tended to show up in financial measures over a longer time frame compared to governance issues. How can E, S and G issues be combined?

Research Paper

Managing Climate Risk in Investment Portfolios

Jun 26, 2020 NAGY Zoltan, Rauis BRUNO

How can active managers integrate climate risk in their portfolios? We test four simple exclusion strategies on a sample global equity portfolio, examining their impact on the risk, return and market exposures.

MSCI Blog

Short Interest Factor Performance in Times of Crisis

Jun 24, 2020 Vipul Jain, Roman Kouzmenko

Given recent short interest factor performance, we asked: What has been the relationship between this factor and large market drawdowns? Were there changes in short selling during COVID-19? Did short-selling bans affect short interest factor performance?

MSCI Blog

Which ESG Issues Mattered Most? Defining Event and Erosion Risks

Jun 22, 2020 Guido Giese, Zoltán Nagy, Linda-Eling Lee

Very different ESG issues can be material for different industries. Our research suggests that risks can be divided into two main types: “event” risks and “erosion” risks to companies’ long-term competitiveness. Which ones mattered most for E, S and G?

Research Paper

Engaging Companies on Palm Oil Deforestation

Jun 22, 2020 HU Jingmin, SHIBANO Yukie, KIM SK

Top palm oil buyers and producers have set zero-deforestation goals, with many committing to achieve this target by 2020. This paper introduces MSCI’s data and research in this area.

A new day for monetary policy

A new day for monetary policy

Andy Sparks discusses the dovish stance of the Fed and other major central banks.

How can active managers put ESG to work?

How can active managers put ESG to work?

Many active managers are concerned that using ESG data might disturb investment  processes or introduce unintended biases. What’s the evidence?

Why are small caps different?

Why are small caps different?

Apart from size, what distinguishes global small-cap stocks from their large- and mid-cap counterparts?