Extended-lister
Showing 281 - 290 of 326 entries
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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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Research Report
Beyond Brinson: Establishing the Link Between Sector and Factor ModelsBrinson sector-based attribution explains active return in terms of intuitive allocation and selection decisions. However, it cannot easily disentangle competing industry and style effects. We introduce a special type of factor model with five defining characteristics that exactly replicates the classic Brinson model. We show that this “Brinson-replicating” factor model easily extends to explain more general types of investment processes. In this extension,...
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Research Report
Factoring in Macro UncertaintiesUnderstanding the Risk and Return Profiles of Asia ex-Japan Factor Strategies.Institutional investors use fundamental factors to create systematic portfolio strategies. To help investors construct better Asia ex-Japan portfolios, this Research Insight evaluates the behavior of factors in the new Barra Asia Pacific Equity Model (ASE2) under five forward-looking macroeconomic scenarios. This paper aims to answer these key questions: 1) What factors provide persistent systematic return in Asia...
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Research Report
Keep it Broad: An Approach to ESG Strategic TiltingHOW CAN UNIVERSAL OWNERS INTEGRATE ESG PRINCIPLES WHILE MAINTAINING A BROAD AND DIVERSIFIED INVESTMENT UNIVERSE? Institutional investors are increasingly looking for ways to integrate ESG considerations into their investment decisions. By doing so, they may aim to mitigate long-term risks, generate higher risk-adjusted performance and/or align investments with broader societal objectives. As ESG investment guidelines become more commonplace among asset owners, and as many continue to build...
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Research Report
MSCI Insights - April 2015MSCI Insights is a monthly publication where we provide commentary on the market using MSCI Barra Equity Models, the MSCI Macroeconomic Model, the RiskMetrics Factor Model and MSCI Indexes.
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Research Report
Introducing MSCI FaCSFactors are important systematic sources of risk and return in equity portfolios. Given the pervasive use of factors via both active and indexed strategies, a standard approach is needed for defining factors and evaluating the factor characteristics of portfolios. We introduce MSCI FaCS, a classification standard and framework for analyzing and reporting of style factors in equity portfolios that is based on the Barra Global Total Market Equity Model for Long-Term Investors. Managers can use...
Indexes Portfolio Management Analytics Risk Management Analytics
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Research Report
The Many Faces of Sentiment
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Research Report
A consumer sentiment factor from web contentThe explosion in alternative data has been a blessing and a curse to investment managers. We have identified one source that provided unique and uncorrelated information when added to analysis of traditional factors and other measures of sentiment. These consumer sentiment metrics may provide investors with additional transparency into sources of risk and return, and could potentially be used to create valuable new factors.
Indexes Portfolio Management Analytics Risk Management Analytics
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Research Report
Empowering Women in the WorkplaceJapan’s government has set goals for increasing women’s participation and promotion in the business world, a policy that research shows could have substantial benefits for Japanese firms and the overall economy. Women are a historically underutilized resource in Japan; their greater participation and advancement in the workforce could have substantial benefits for the Japanese economy and long-term portfolio returns. The Japan Empowering Women Index (WIN) aims to overweight companies whose...
Indexes ESG Products & Services
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Research Report
Integrating ESG into the Investment ProcessIn recent years, many institutional investors have been increasingly recognizing that the long-term sustainability of their investments matters. Environmental, Social and Governance (ESG) factors are becoming important considerations for investors to focus on given their influence on a portfolio's risk and return profile. Some asset owners are starting to embrace the concept of "Universal Ownership", where they see the long-term exposure to the whole economy through their portfolio...