Extended-lister
Showing 291 - 300 of 326 entries
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Research Report
Combining E, S, and G Scores: An Exploration of Alternative Weighting SchemesHow an overall ESG rating is constructed can significantly impact its usefulness. We tested two approaches: equal weighting and backward optimization. Equally weighting E, S, and G pillar scores across sectors showed less financial significance than the stand-alone G pillar score — that is, without E and S scores — over the 13-year study period. Backward optimization showed greater significance than stand-alone G scores but may underestimate the importance of ESG indicators to financial...
ESG Ratings ESG Indexes ESG Products & Services
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Research Report
Innovation Investing and Equity Allocations
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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
Should You Care About Active ShareA Portfolio Construction Study”Active Share” has been widely credited as a predictor of manager skill. Initial academic research has shown that active managers with high Active Share and low Tracking Error enjoyed persistent outperformance. Conversely, managers with low Active Share scores and low Tracking Error were labelled “closet indexers” and have recently become the subject of regulatory scrutiny. But how reliable is Active Share as a single metric? ...
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Research Report
Better Together: Policy Benchmarks, Active Equity and ESGIndexes ESG Products & Services
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Research Report
Integrating Factors in Market Indexes and Active PortfoliosAsset owners use indexes as policy benchmarks and reference portfolios in their asset allocation. Index investors track cap-weighted indexes that seek to capture the market return. Active investors select securities and build portfolios that aim to outperform the market. All these types of investors may be able to benefit from incorporating factors into their process. More importantly, they may also be able to integrate factors without compromising other fundamentally important aspects of...
Indexes Portfolio Management Analytics
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Research Report
Is There a Short Interest Factor?We introduce a new integrated short interest factor that combines multiple dimensions of short interest. The new factor combines information on the amount of shorting activity in the securities-lending market, the available lending supply, the rates investors are paying to short a security (borrow rates) and an adjustment for shorting activity due to dividend arbitrage. We find that dividend-arbitrage strategies can create large biases in short interest factors, particularly in Europe. We...
Portfolio Management Analytics Equity Risk Models
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Research Report
The Road Toward a Seamless Global Real Estate PortfolioReal estate investors can analyze performance of direct real estate in detail. However, listed real estate, which includes public REITs, rarely offers detailed data, making it challenging to monitor a portfolio consisting of both private and public assets. Two developments are focusing issue: 1) real estate will constitute a new GICS® sector as of August 31 and 2) many asset owners seek to globalize their real estate portfolios: adding international listed securities is a simple and...
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Research Report
Harvesting Risk Premia for Large Scale Portfolios
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Research Report
Harvesting Risk Premia for Large Scale PortfoliosAn accumulating body of empirical research has found positive gross excess returns from exposure to risk factors (or risk premia). Our study was commissioned by the Norwegian Ministry of Finance to explore factor strategies, through the lens of risk premia indices, for large funds. The paper examines equity risk premia, such as value, size, low volatility and momentum, focusing on return, risk, and investability. For portfolios of large scale, we construct risk premia indices which have...