Extended-lister
Showing 3931 - 3940 of 4,988 entries
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Research Report
MSCI 中国 A50 互联互通指数: 推出一周年回顾
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Research Report
MSCI Foreign Exchange Implied Volatility Factor ModelThe MSCI Foreign Exchange Implied Volatility (FX Vol) Factor Model is the latest addition to the MSCI Multi-Asset Class (MAC) Factor Model. As with other factor model blocks in the MSCI MAC model, the MSCI FX Vol model is built on top of the more granular RiskMetrics’ foreign exchange (FX) option data, specifically FX volatility surface time series. As with the MSCI MAC model writ large, the purpose of the MSCI FX Vol model is to filter market data to its fundamental drivers of risk and return.
Portfolio Management Analytics
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Research Report
How can Factors be Combined?Making allocations to individual factors typically requires strong investment beliefs, as factor returns have been cyclical in nature. When weighing the pros and cons of different multi-factor indexed approaches, institutional investors often evaluate both bottom-up or top-down options. We consider the attractions of both, using a bottom-up approach to build a multi-factor index from stocks that are favorably exposed to the value, size, quality and momentum factors, compared with an...
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Research Report
MSCI Risk Monitor - RiskMetrics Europe - March 2015RiskMetrics Europe report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model; depending on market developments, we select different factors each month (see the Appendix for all possible factors). The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
Global Equity Market Watch - June 2014The Global Equity Market Watch is a monthly publication that looks at global equity markets through the lens of the Barra Global Equity Model (GEM2). In each issue, we examine the various sources of global equity returns and risk - including the World factor, countries, industries, styles, currencies, and stock-specific sources - and monitor returns, volatilities, and correlations for those sources over the trailing 1-12 months. We also examine how the explanatory power and statistical...
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Research Report
Global Equity Market Watch - July 2014The Global Equity Market Watch is a monthly publication that looks at global equity markets through the lens of the Barra Global Equity Model (GEM2). In each issue, we examine the various sources of global equity returns and risk - including the World factor, countries, industries, styles, currencies, and stock-specific sources - and monitor returns, volatilities, and correlations for those sources over the trailing 1-12 months. We also examine how the explanatory power and statistical...
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Research Report
MSCi Risk Monitor - RiskMetrics Europe - November 2014RiskMetrics Europe report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model; depending on market developments, we select different factors each month (see the Appendix for all possible factors). The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
Global Equity Market Watch - February 2015The Global Equity Market Watch is a monthly publication that looks at global equity markets through the lens of the Barra Global Equity Model (GEM2). In each issue, we examine the various sources of global equity returns and risk - including the World factor, countries, industries, styles, currencies, and stock-specific sources - and monitor returns, volatilities, and correlations for those sources over the trailing 1-12 months. We also examine how the explanatory power and statistical...
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Research Report
Global Equity Market Watch - December 2014The Global Equity Market Watch is a monthly publication that looks at global equity markets through the lens of the Barra Global Equity Model (GEM2). In each issue, we examine the various sources of global equity returns and risk - including the World factor, countries, industries, styles, currencies, and stock-specific sources - and monitor returns, volatilities, and correlations for those sources over the trailing 1-12 months. We also examine how the explanatory power and statistical...
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Research Report
Global Equity Market Watch - October 2014The Global Equity Market Watch is a monthly publication that looks at global equity markets through the lens of the Barra Global Equity Model (GEM2). In each issue, we examine the various sources of global equity returns and risk - including the World factor, countries, industries, styles, currencies, and stock-specific sources - and monitor returns, volatilities, and correlations for those sources over the trailing 1-12 months. We also examine how the explanatory power and statistical...