Extended-lister
Showing 91 - 100 of 331 entries
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Research Report
Introducing Investment Quality: A Systematic Equity Strategy FactorIn this Research Insight, we introduce Investment Quality, one of the Systematic Equity Strategy (SES) factors modeled by MSCI Equity Analytics Research. Based on multiple studies identifying Investment Quality’s historical effect, MSCI constructed the SES Investment Quality factor by combining three descriptors: low issuance growth, low asset growth and low capital expenditure growth. Our analysis of global equity returns for this factor over the 20-year period from 1996 to 2015...
Portfolio Management Analytics Risk Management Analytics
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Research Report
MSCI Risk Monitor: RiskMetrics® Europe - May 2016Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.
Portfolio Management Analytics Risk Management Analytics
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Research Report
MSCI Risk Monitor: RiskMetrics® Global - May 2016Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key global risk factors.
Portfolio Management Analytics Risk Management Analytics
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Research Report
Global Equity Market Watch - May 2016This monthly publication examines the global equity markets through the lens of the Barra Global Equity Model (GEM2). Barra model factors represent important drivers of both risk and return in the global equity markets.
Portfolio Management Analytics Equity Risk Models
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Research Report
MSCI Risk Monitor: RiskMetrics® Global - April 2016Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key global risk factors. The report examines changes in volatility and correlation behavior, and identifies days on which factor returns were a surprise relative to the risk forecasts.
Portfolio Management Analytics Risk Management Analytics
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Research Report
MSCI Risk Monitor: RiskMetrics® Europe - April 2016Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.
Portfolio Management Analytics Risk Management Analytics
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Research Report
Global Equity Market Watch - April 2016This monthly publication examines the global equity markets through the lens of the Barra Global Equity Model (GEM2). Barra model factors represent important drivers of both risk and return in the global equity markets.
Portfolio Management Analytics Equity Risk Models
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Research Report
Understanding Factor InvestingThe size premium has been widely used in asset allocation and in risk models for decades. However, some academics and practitioners have contested the validity of the size premium. They argue: 1) the size premium has disappeared in the last 20 years and no longer exists; 2) the size premium exists only in the United States and not in other markets; 3) the size premium disappears after filtering out smaller stocks for investability. In this paper, we refute these claims and examine ways of...
Indexes Portfolio Management Analytics
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Research Report
MSCI Risk Monitor: RiskMetrics® Europe - March 2016Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.
Portfolio Management Analytics Risk Management Analytics
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Research Report
MSCI Risk Monitor: RiskMetrics® Global - March 2016Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key global risk factors. The report examines changes in volatility and correlation behavior, and identifies days on which factor returns were a surprise relative to the risk forecasts.
Portfolio Management Analytics Risk Management Analytics