Extended-lister
Showing 421 - 430 of 461 entries
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Research Report
A Roadmap to Personalizing Model Portfolios: Scaling with Purpose
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Research Report
Investing in the SDGsThe 17 UN Sustainable Development Goals (SDGs) define the goal posts for delivering global sustainable development. While governments have developed the goals and signed up to their implementation, government action alone will not be enough to achieve them. This joint discussion paper from MSCI and the OECD proposes a framework for discussion around investment options and the potential role of institutional investors in achieving the SDGs and shares a proof-of-concept illustration of a...
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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
Green Bonds and Climate — Towards a Quantitative MethodESG Climate VaR ESG Climate Solutions
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Research Report
Climate Change and Low-Carbon Risks and Opportunities in ChinaA transition to a low-carbon economy could alter the risk-return profile for many industries. The MSCI Climate Change Indexes aim to be practical tools to assist institutional investors in reflecting these potential changes in their investment strategies. They seek to do so by increasing the index weight for providers of low-carbon solutions and decreasing the weight of companies negatively exposed to such changes while seeking to maintain broad market exposure. In July 2020, MSCI launched...
Indexes ESG Products & Services ESG Climate Solutions ESG Indexes
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Research Report
Research Insight - Factor Indexes in Perspective: Insights from 40 Years of Data Part I: Study - September 2014Until recently, MSCI had calculated 25 years of simulated history for its factor indexes. In this Research Insight, we extend the simulated history to 40 years, providing new insights into the behavior of factor indexes over various time periods. We look at factor index behavior over various time frames; the changes in the correlation between factor returns over this period; historical variations in valuation of factor indexes and their exposure to GICS sectors. We also use IndexMetrics,...
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Research Report
A Defensive Approach to Factor PortfoliosLow-volatility indexes have been attractive to some investors, mainly due to their defensive and low-risk characteristics. This has been especially true in times of market uncertainty and heightened volatility. In this paper we investigate the possibility of incorporating the defensive characteristics of the MSCI Minimum Volatility Indexes into the construction of other factor indexes with the aim of achieving the highest “factor exposure-to-risk ratio.”
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Research Report
Reimagining Country InvestingEmerging Markets Indexes Developed Markets All Country Indexes
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Research Report
Model Insight - The Barra Private Real Estate Model (PRE2) Research Notes - May 2014Global private real estate represents significant opportunities for investors, but also major challenges, similar to global equity 30 years ago. A lack of information, and the smoothness of appraisal-based valuations, have left investors and risk managers guessing about the behavior of global real estate: a wide-range of speculation is commonplace, including the view that real estate is a low-risk, high-return diversifier. In this Model Insight, we shed light on this misunderstood asset...
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Research Report
A Liquid Benchmark for Private Real EstateCommercial real estate represents an important element of the asset allocation process but is difficult to access directly, with high barriers to entry and exit. Listed (or publicly held) real estate is far more liquid but these securities are far more volatile and incorporate an additional layer of leverage. Indexes tracking direct and listed real estate differ significantly in their calculation methodologies, making direct comparisons difficult. The MSCI USA IMI Liquid Real Estate Index...