Extended-lister
Showing 4401 - 4410 of 4,987 entries
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Research Report
The Role of Real Estate in Objectives Driven Asset AllocationIn this paper, we examine the role of real estate in a multi-asset class institutional portfolio that adopts an objectives-driven asset allocation framework. We show that real estate may serve a variety of functions in an institutional investor's portfolio and should not be treated as a homogeneous asset class. Instead, the appropriate type of investment should be aligned with the total plan goals, with a focus on evaluating different real estate investments for their ability to add value to...
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Research Report
Pitfalls in Risk AttributionWhile performance analysis is typically conducted on a benchmark-relative basis, risk analysis is often presented on an absolute-return basis. This mismatch between sources of risk and return leads to the pitfall that active management decisions cannot be evaluated on a risk-adjusted basis. In particular, usage of absolute return sources in risk attribution may lead to non-intuitive marginal contributions to risk and flagging aggressive positions as risk reducing. These pitfalls can be...
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Research Report
Portfolio Optimization with Trade Paring ConstraintsTrade paring constraints enable portfolio managers to control the number of trades when constructing and rebalancing their portfolios. Allowing users to set trade paring constraints is a new feature in the Barra Optimizer (first available in Aegis 4.4 and also in Barra Open Optimizer 1.2). Portfolio optimization problems involving trade paring constraints are difficult to solve. In this paper, we show that the integrated trade paring approach in the Barra Optimizer, which consists of two...
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Research Report
French Barometer - 25th EditionDans cette 25ème édition du Baromètre MSCI, les plus grosses sociétés de gestion ajustent leurs anticipations pour 2019 et nous donnent leur vision du marché pour 2020. In the 25th edition of the French Barometer, the biggest investment companies adjust their anticipations on the French investment property market for 2019 and provide their vision for 2020.
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Research Report
Deploying Multi-Factor Index AllocationsFactor investing has become a widely discussed part of today’s investment canon. This paper is the second in a three-paper series focusing on factor investing. In the first paper, "Foundations of Factor Investing," we discussed six factors - Value, Low Size, Momentum, Low Volatility, Yield, and Quality - that historically have earned a premium over long periods, represent exposure to systematic sources of risk, and have strong theoretical foundations. We also discussed how...
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Methodology
MSCI US Equity Indexes Methodology BookPDF
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Methodology
MSCI Fixed Income Data MethodologyPDF
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Methodology
MSCI US Equity Indexes MethodologyPDF
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Research Report
Real Estate Market Size 2021/22
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Research Report
Model Insight - Barra Factors in RiskMetrics - April 2013This Model Insight describes the integration of Barra Equity Factor Models into RiskManager’s VaR and stress-testing capabilities. Like the RiskManager pricing models, a Barra factor model explains the return of each asset in terms of the underlying characteristics that drive that return. Factor models extend to equities the many advantages of RiskManager’s pricing models and time-series methodology. After explaining the motivation for using factor models for VaR and...