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MSCI Blog
A coronavirus stress test for global marketsAfter the coronavirus spread to multiple continents, markets recorded the worst week since the crisis. How much further could markets drop if epidemic turns into pandemic? Our stress test indicates room for further losses.
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MSCI Blog
Economic Exposure in Global InvestingAs companies expand their footprint globally, the geographic distribution of their revenues evolves over time and their economic exposures may diverge from their country of domicile and primary listing. We believe that this raises a critical issue for institutional investors.
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Research Report
How Much Structure is Best? A Comparison of market model, factor model, and unstructured equity covariance matricesThis paper compares three approaches to estimating equity covariance matrices: a factor model, a market model and an unstructured asset-byasset model. These approaches make different trade-offs between estimation variance and model specification error. We explore this trade-off with a simulation experiment and with an empirical analysis of UK equity portfolios. The factor model is found to perform best for large investment universes and typical sample lengths. The market model underperforms...
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Newsletter
ESG Update - January 2013Online Version | Contact Us ESG Update From MSCI | January 2013 » Change Preferences ...
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Research Report
Quantitative Insight - Frontier Markets: The Next Investment Frontier?The new MSCI Global Equity Model (GEM3) incorporates advances in risk methodology, including the addition of 22 frontier markets to the estimation universe, with full coverage of the MSCI Frontier Markets Index. Frontier markets are a diverse niche for risk-tolerant investors willing to weather market volatility to reap potentially huge gains. The relative obscurity of frontier markets can raise important questions for investors: What are the valuation and risk characteristics of...
Portfolio Management Analytics Equity Risk Models
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Newsletter
Headlines 26Online Version | Contact Us HeadlinesFrom MSCI | Issue 26 Company NewsNew Look for FEA WebsiteA fresh design, improved navigation and easy to find content – all part of the FEA website's new look! Visit www.fea.comMSCI, S&P Indices and FTSE Collaborate to Launch First Ever Index Industry Trade BodyLast month, MSCI, along with S&P Indices and FTSE, announced the creation of the first ever trade association for the index industry, the Index...
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Press Release
未來資產環球投資(香港)新發MSCI中22283;指數ETFPDF
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MSCI Blog
Companies May Not Be Ready for SEC Climate-Disclosure RulesThe SEC proposed requirements for U.S. companies to disclose certain climate-related risks, beginning in 2024. To assess whether companies are prepared to meet these requirements, we looked at the emission-disclosure rates of a large sample of U.S. equities.
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MSCI Blog
Allocating to emerging markets: It depends on your view of the worldEmerging market equities have declined 5.4% since the U.S. elections on Nov. 8 (measured in U.S. dollars).¹ But they remain a significant source of the world’s stock-market capitalization and economic activity, constituting 11% of the global investable universe and 40% of the world’s wealth. How much do institutional investors want to allocate to this portion of the market?
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MSCI Blog
Something for nothing? Increasing bond duration may not increase portfolio riskAsset allocators may consider lengthening the duration of their bond portfolios to prepare for a potential recession in the U.S. But could duration extension push risk above target thresholds? Maybe not.