Extended-lister
Showing 31 - 40 of 331 entries
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Research Report
Building Single-Factor PortfoliosIn this study, we focus on some of the issues investors face when constructing long-only non-optimized single-factor portfolios using simple heuristics-based rank-select-weight algorithms. In doing so, investors may ask: Should they start from a universe of securities with a fixed target-market-cap coverage or a fixed number of securities? Should they assess factor exposure based on single or multiple factor descriptors? How broad a subset of securities will they use from the underlying...
Portfolio Management Analytics Risk Management Analytics
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Research Report
What Type of Companies Were Best Prepared for Remote Work?COVID-19 disrupted the operating models of many businesses and forced a shift to remote working, digitization and low-contact transactions and services, which we term “Remote Operation Capability” (ROC). Some corporations were better positioned to take advantage of a remote, automated and digitized operating environment. We utilized machine-learning and natural language-processing techniques to build a potential ROC factor that looks at the extent to which a company was more likely to thrive...
Risk Management Analytics Portfolio Management Analytics
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Research Report
Managing Climate Risk in Investment PortfoliosInvestors are increasingly concerned about how climate change and a transition to a low-carbon economy could impact the risk and return profile of their portfolios. In this case study, we selected a sample portfolio representative of a global actively managed fund in terms of its risk-return characteristics and used the MSCI Climate Value-at-Risk model to examine the different dimensions of climate-related risks. We show how Climate VaR can be used to measure climate risks for the portfolio...
ESG Products & Services Portfolio Management Analytics ESG Climate Solutions ESG Climate VaR
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Research Report
Backtesting Private Asset ModelsMSCI’s Barra Private Real Estate Model (PRE2), Barra Private Equity Model (PEQ2) and MSCI Private Infrastructure Model (PIN1) have advanced the understanding of investments in global private assets. Private assets were once considered low-risk investments uncorrelated with most public assets due to the smoothness in private asset valuations. With innovative statistical methodology, the MSCI private asset models reveal the intrinsic risk in private assets, show large exposures to systematic...
Portfolio Management Analytics Risk Management Analytics
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Research Report
Straight Talk on Nonlinearities in Linear Factor ModelsLinear regression models have been the workhorses of finance and economics. However, given increasing attention to nonlinear methods, we investigate the extent to which nonlinearities not captured by standard linear models within equity factor risk models are present. Adding nonlinear factors in simple polynomial functions of their linear counterparts contributed some additional explanatory power to the cross-section of security returns. Furthermore, some generated factor returns and...
Portfolio Management Analytics
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Research Report
Looking for a Better HedgePeer selection and understanding relationships between companies play a pivotal role in many areas of finance. Previously, we described a methodology for quantifying the similarity between every pair of companies from the text of their business descriptions in 10-K filings, fundamentals, news mentions and return correlations. We showed how the resulting similarity score matrix could be used to identify pairs or groups of similar companies (peers), which have numerous potential applications....
Portfolio Management Analytics Risk Management Analytics
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Research Report
Factors and Corporate Bonds: Single and Multi-Factor Approaches to Corporate CreditInvestors have increasingly turned to equity factors as building blocks for their stock portfolios as a way to measure performance, analyze risk exposures or seek enhanced returns. In recent years, some investors have sought to extend a factor framework to fixed income. But these efforts by and large have not been successful, as equity and fixed-income investors have not been speaking a common language. We simulated the performance of six fixed-income factors — value, low size, quality,...
Indexes Portfolio Management Analytics Risk Management Analytics
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Research Report
Selected geographic issues in the global listed equity marketOver the last few decades, increasing global economic and financial integration promoted economic development and enabled investors to seek opportunities and spread risks across national borders. This report, which was commission by the Norwegian Ministry of Finance, examines diversification opportunities including the importance of emerging markets; how a handful of large technology companies accounted for a significant percentage of recent developed-market performance and omitting...
Indexes Portfolio Management Analytics
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Research Report
Agency MBS Prepayment Model Using Neural NetworksMortgage-backed securities make up a huge portion of the U.S. financial system. Mortgage prepayment modeling is essential in MBS investment and risk analysis. It is also among the most complex areas of financial modeling, because of the vast data volume and large number of risk factors. Does an AI-based model using neural networks have an advantage over traditional models in taking on the complexities of MBS prepayment risk?
Portfolio Management Analytics Risk Management Analytics
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Research Report
Measuring factor exposuresAccurately estimating factor exposures for stocks and portfolios can be economically relevant and may improve the investment process for a variety of investors, including asset owners, quantitative managers, wealth managers and risk managers. Methods for measuring exposures vary, however. We provide a comparative analysis of two such techniques — one based on time-series regression models, the other on observable firm characteristics.
Indexes Portfolio Management Analytics