Extended-lister
Showing 431 - 440 of 461 entries
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Research Report
Foundations of Dedicated China Allocations: Part 2Indexes Portfolio Management Analytics
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Research Report
Anatomy of Active PortfoliosIn constructing portfolios, asset managers expose the portfolio to factor tilts that greatly influence fund performance. Some of these exposures, which can provide sources of excess return, may be intentional but others may not. A manager who makes the wrong bet could be on the wrong side of history. Using MSCI’s Peer Analytics dataset, we examined the composition and performance drivers of active global funds through the lens of our Global Total Market Equity Model. Our key finding: Exposure...
Indexes Portfolio Management Analytics
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Research Report
Performance Attribution of Multi-Asset Class Portfolios using BarraOneThis paper focuses on BarraOne’s Performance Analytics solution and describes how we have modified standard performance attribution tools to address several interesting use cases which arise for increasingly popular multi-asset class investment strategies. The paper illustrates, through a practical case study, how the Visualization tool within the BarraOne Performance Analytics solution can be employed to understand the performance due to the allocation of capital both across different...
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Research Report
Foundations of ESG Investing – Part 1: How ESG Affects Equity Valuation, Risk and PerformanceMany studies have focused on the relationship between companies with strong ESG characteristics and corporate financial performance. However, these have often struggled to show that positive correlations — when produced — can in fact explain the behavior. This paper provides a link between ESG information and the valuation and performance of companies, both through their systematic risk profile (lower costs of capital and higher valuations) and their idiosyncratic risk profile...
Indexes ESG Products & Services Portfolio Management Analytics Risk Management Analytics
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Research Report
How ESG Affected Corporate Credit Risk and PerformanceEnvironmental, social and governance (ESG) investing is a very broad field with many different investment approaches addressing various investment objectives across asset classes. While there are many studies relating to ESG in equities, the risk assessment of ESG considerations within fixed income may be equally if not more important. Bonds have limited upside, but in a negative scenario, investors can potentially lose all their invested capital. At a top level, we can break down ESG...
ESG Products & Services ESG Ratings MSCI ESG Indexes
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Research Report
Indexing Change: Understanding MSCI Thematic IndexesThematic investing is a top-down approach that has become increasingly popular with both institutional and retail investors, whether in terms of investment philosophy or product development. In this paper, we review the concept of thematic investing and discuss the differences between it and the factor and ESG investment processes. We then lay out how we model various themes in order to build a rule-based index methodology that represents the performance of companies exposed to a certain trend.
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Research Report
2021 ESG Trends to WatchIndexes ESG Products & Services Portfolio Management Analytics
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Research Report
TCFD-Based Reporting: A Practical Guide for Institutional InvestorsThis guide aims to support institutional investors who intend to follow the Task Force on Climate-related Financial Disclosures’ recommendations for reporting on their climate-related risk management processes. Climate-related risks pose a potential threat to the long-term resilience of portfolios, and there is a growing regulatory focus on investors’ climate risk management practices and disclosures. Approaches for developing a climate change strategy depend on the investor’s objectives,...
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Research Report
A Framework for Attributing Changes in Portfolio Carbon FootprintESG Climate VaR ESG Governance Metrics ESG Sustainable Impact Metrics ESG Climate Solutions
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Research Report
Constructing Low Volatility StrategiesLow volatility is one of the few factors that have historically performed well in turbulent markets. Moreover, over long periods of time, this defensive strategy has produced a premium over the market, contravening one of the most basic theories in finance — that one should not be rewarded with greater returns for taking less than market risk. Since the global financial crisis hit in 2008, low volatility has garnered increased attention from institutional investors. In this paper, we explore...