Extended-lister
Showing 4411 - 4420 of 4,968 entries
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Research Report
Optimization Bias AdjustmentThe Markowitz mean-variance framework is the foundation of modern portfolio theory. One problem with this approach, however, is how sample covariance matrices tend to underestimate risk. Since the biases of optimized portfolios are closely related to eigenfactor portfolios, we present a methodology for estimating biases in eigenfactor volatilities, and for adjusting the covariance matrix to remove such biases. By removing the biases of the eigenfactors, we remove the biases of optimized...
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Research Report
Capturing the Value PremiumMSCI Value Weighted Indices are systematic indices that aim to reflect the value premium by employing an alternative weighting scheme that tilts the index towards stocks with lower valuation ratios. In this paper, we review the theoretical aspects of value weighted indices and through empirical studies we discuss the important facets of index construction that underpin the design of MSCI Value Weighted Indices. They are based on an objective and transparent methodology by which all the...
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Research Report
Minimizing ShortfallThis paper describes an empirical study of shortfall optimization with Barra Extreme Risk. We compare minimum shortfall to minimum variance portfolios in the US, UK, and Japanese equity markets using Barra Style Factors (Value, Growth, Momentum, etc.). We show that minimizing shortfall generally improves performance over minimizing variance, especially during down-markets, over the period 1985-2010. The outperformance of shortfall is due to intuitive tilts towards protective factors like...
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Research Report
Scenarios, Stress Tests and Strategies for Fourth Quarter 2016A year marked by Brexit and Trump is ending with widespread uncertainty.
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Research Report
MSCI Risk Monitor - Asset Owners - October 2012This quarterly Risk Monitor reports on the risk and return behavior of four representative pension plan types (US Public, US Corporate, UK Occupational, Netherlands). We present the performance and risk of assets held by these plans during the past year and past quarter, including liabilities, to examine funding status and surplus risk. We apply stress tests and show the effects of the scenarios on both the asset portfolios and plans’ funding status. Finally, we present the evolution of...
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Research Report
Product Insight: When you cannot trade the UniverseHow would a quantitative portfolio manager replicate the performance of a stock index, knowing it would be impractical to hold every asset in the index, or to trade only a few shares of a stock? One approach might be to apply cardinality and threshold constraints using the Barra Optimizer. While these constraints are valuable tools, they are often difficult to manage, since they render portfolio optimization problems discrete and non-convex. In this paper, we present MSCI’s...
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Research Report
Achieving Commodities Exposure via EquitiesCommodities investing has grown significantly over the last decade given their strong performance and potential benefits in a multi-asset class portfolio. While there are several ways to invest in this asset class, accessing commodities through equities - with a focus on direct commodities producers - is an effective alternative for commodities investors, circumventing many of the challenges associated with purchasing and storing the physical commodities themselves or using derivatives.
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Research Report
"A" Opening to the Great WallThis paper reviews the implications for global institutional investors of the recent developments in the China A-share market, which has expanded tremendously over the last two decades. Today, the Shanghai and Shenzhen stock exchanges have a total market capitalization of about USD 3.9 trillion dollars of which foreign participation accounts for just over 1% percent. Since the end of 2011, Chinese authorities have embarked on a series of efforts to accelerate the opening of the domestic...
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Research Report
MSCI Diversified Multiple-factor IndexesMaximizing Factor Exposure While Controlling Volatility. May 2015 Multi-factor indexes are important tools for investors seeking diversified exposure to factors that have historically generated premia over long horizons. In this Research Insight, we examine the new MSCI Diversified Multiple-Factor (DMF) Index family. These indexes combine four well-researched factors — value, momentum, size and quality — with a control mechanism designed to keep volatility close to the level of the...
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Research Report
Understanding Factor InvestingThe size premium has been widely used in asset allocation and in risk models for decades. However, some academics and practitioners have contested the validity of the size premium. They argue: 1) the size premium has disappeared in the last 20 years and no longer exists; 2) the size premium exists only in the United States and not in other markets; 3) the size premium disappears after filtering out smaller stocks for investability. In this paper, we refute these claims and examine ways of...
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