Extended-lister
Showing 3991 - 4000 of 4,984 entries
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Research Report
The MSCI Quality Mix IndexesFactor-based investing has become a widely discussed topic of today's investment canon. In this paper - which is the last delivery of a four-paper series focusing on factor investing - we discuss the combinations of Factor Indexes taking as an example the MSCI Quality Mix Index.The MSCI Quality Mix Index is an equal weighted combination of the MSCI Quality, Value and Minimum Volatility Indexes. Academic research shows that quality, value and low volatility strategies have not only...
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Research Report
Technical Note - Modeling Non-listed Obligors in CreditManager - May 2014In this Technical Note, we present the enhanced Asset-Based Rule and refit the model using the latest available MSCI equity index data. This enhancement offers an improved estimation methodology of the model as well as increasing the coverage to a wider range of markets.
Risk Management Analytics RiskMetrics CreditManager
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Research Report
Global Market Equity Watch - March 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
The Correlated Recovery Model in CreditManagerWe introduce the new Correlated Recovery Model of CreditManager, and present various case studies to show that this model is able to account for the additional risk originating from the dependence of recovery rates on market conditions. We illustrate how risk numbers respond to non-zero Recovery R-squared values by examining homogeneous, small inhomogeneous, and large diversified portfolios mimicking our typical European banking clients’ holdings, and argue that, in light of the 2008...
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Research Report
Global Equity Market Watch - November 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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Methodology
MSCI Fixed Income Data MethodologyPDF
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Research Report
Global Equity Market Watch - January 2013The 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...
Portfolio Management Analytics
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Research Report
MSCI Risk Monitor: RiskMetrics® Europe – February 2017Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.
Portfolio Management Analytics Risk Management Analytics
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Research Report
Global Equity Market Watch - March 2013The 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...
Portfolio Management Analytics
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Research Report
Global Equity Market Watch - April 2013The 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...
Portfolio Management Analytics