Methodology

Oct. 23, 2017

MSCI Global Investable Market Indexes Methodology

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Methodology

Oct. 19, 2017

MSCI Hedged Indexes Methodology

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Methodology

Oct. 19, 2017

MSCI FX Hedge and Global Currency Indexes Methodology

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Research Paper

Oct. 18, 2017

Adaptive Backtest for Expected Shortfall

Expected Shortfall (ES) replaced Value at Risk (VaR) under the Basel Committee’s Minimum Capital Requirements for Market Risk in 2016. However, whether ES can be backtested is still an open and critical question. We have recently shown that ES can be only approximately backtested, because any ES backtest is sensitive to VaR predictions. This paper proposes a new ES backtest that has the minimum possible sensitivity to VaR predictions, which makes it an appropriate validation tool for...

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Press Release

Oct. 18, 2017

Industrial Sector Drives South African Property Returns

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Research Paper

Oct. 17, 2017

Have Corporate Controversies Helped or Hurt Performance

A Study of Three Portfolio Strategies The broad effects of excluding entire business lines, typical of the more traditional values-aligned of a socially responsible portfolio, are generally understood. However, little research has been done on the performance implications of exclusions based on alleged corporate wrongdoing, though such exclusions are common. In this study, we investigate the risk and return impact of excluding companies involved in events negatively impacting...

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IPD FactSheet

Oct. 17, 2017

AREF/IPD UK Quarterly Property Fund Index

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IPD FactSheet

Oct. 16, 2017

IPD Japan Monthly Property Index

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MSCI Event

Oct. 16, 2017

Session II (EMEA/APAC): Have Corporate Controversies Helped or Hurt Performance?

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IPD FactSheet

Oct. 16, 2017

Derivative: IPD UK Monthly Property Index

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