Extended-lister
Showing 251 - 260 of 327 entries
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Research Report
Anatomy of Active PortfoliosIn constructing portfolios, asset managers expose the portfolio to factor tilts that greatly influence fund performance. Some of these exposures, which can provide sources of excess return, may be intentional but others may not. A manager who makes the wrong bet could be on the wrong side of history. Using MSCI’s Peer Analytics dataset, we examined the composition and performance drivers of active global funds through the lens of our Global Total Market Equity Model. Our key finding: Exposure...
Indexes Portfolio Management Analytics
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Research Report
Research Insight - Tracking the Earnings Yield FactorEarnings yield - typically defined as the inverse of the price-to-earnings ratio - is viewed as a strong value signal. In this paper, we provide examples of portfolios that track the Earnings Yield factor return from the Barra US Equity Model (USE4). We examine different sets of constraints - including long-only, turnover and number of assets and leverage - to see how they affect the performance of tracking portfolios.
Portfolio Management Analytics
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Research Report
Value’s Lost Decade: Learning from Value Strategies’ Behavior over Two Contrasting Decades
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Research Report
Straight Talk on Nonlinearities in Linear Factor ModelsLinear regression models have been the workhorses of finance and economics. However, given increasing attention to nonlinear methods, we investigate the extent to which nonlinearities not captured by standard linear models within equity factor risk models are present. Adding nonlinear factors in simple polynomial functions of their linear counterparts contributed some additional explanatory power to the cross-section of security returns. Furthermore, some generated factor returns and...
Portfolio Management Analytics
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Research Report
Weighing the Evidence: ESG and Equity ReturnsWhy has there been no clear consensus as to whether ESG has improved returns on a risk-adjusted basis? We find that many of the ESG investing methodologies used in studies were designed to meet social or ethical values and not financial objectives. To understand the link between companies’ ESG characteristics and their financial risk and performance, it is important to evaluate only the studies that use ESG methodologies specifically designed to identify financially relevant issues, such as...
ESG Products & Services Portfolio Management Analytics Risk Management Analytics
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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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Fact Sheet
MSCI USA Quality SRI ESG Target Select Index (USD) (NET)PDF
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Fact Sheet
MSCI USA Growth SRI ESG Target Select Index (USD) (NET)PDF
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Fact Sheet
MSCI World Quality SRI ESG Target Select Index (USD) (NET)PDF
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Fact Sheet
MSCI World Value SRI ESG Target Select Index (USD) (NET)PDF