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Research Report
MSCI Risk Monitor: RiskMetrics Europe - August 2015Under 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. The report examines changes in volatility and correlation behavior, and identifies days on which factor returns were a surprise relative to the risk forecasts.
Risk Management Analytics RiskMetrics RiskManager
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Research Report
MSCI Risk Monitor: RiskMetrics Europe - October 2015Under 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.
Risk Management Analytics RiskMetrics RiskManager
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Research Report
MSCI Risk Monitor: RiskMetrics Europe - September 2015Under 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.
Risk Management Analytics RiskMetrics RiskManager
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Research Report
Tilting to U.S. Small CapsU.S. cap-weighted, small-cap indexes have produced superior returns historically than their parent indexes. Barra equity factor models demonstrate that passive, small-cap portfolios also have style tilts when compared to the broader U.S. equity market. Some of these tilts can be favorable, such as cheaper valuations. Others can be unfavorable, such as lower earnings quality and weaker profitability. In this Research Insight, we show that by using equity risk models tailored to the investment...
Portfolio Management Analytics
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Press Release
MSCI and Burgiss Enter into Strategic RelationshipPDF
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Press Release
MSCI to advance clarity in carbon markets with acquisition of Trove ResearchPDF
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Press Release
MSCI enables transformation of wealth management offering with acquisition of FabricPDF
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Research Report
The Barra China Equity Model (CNE5) - Supplementary NotesThis document provides additional commentary on the results found in the CNE5 Empirical Notes. Since 2005, the broad A-share universe in China has expanded in the number of issues by nearly 40 percent, which has had profound implications for the design of the CNE5 industry factor structure, allowing a large expansion from 24 industries in CHE2 to 32 industries in CNE5. At the same time, the new model is more responsive to rapidly changing market conditions. And the...
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Research Report
Impact of Yen on Japanese StocksThis paper considers the changing value of the yen and its impact on the Japanese stock market during the last three decades, examining how this currency sensitivity has varied substantially across Japanese firms and during the observed period. In addition, we found the response to a rising or falling yen to be asymmetric. The dispersion of yen sensitivity is also seen to vary over time, which has implications for the passive-active investment debate under volatile exchange rate conditions....
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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.”