Extended-lister
Showing 191 - 200 of 327 entries
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MSCI Blog
Finding the Sentiment Hidden in Regulatory FilingsUsing natural language processing techniques, we constructed a sentiment factor that quantifies changes in the tone and content of company filings, and may be an indicator of future risks facing a company.
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MSCI Blog
Factors in Focus: How Trendy Is Your Style Factor?As markets rallied worldwide, investors took on high-beta exposure and rotated away from stocks with lower risk. The latest edition of Factors in Focus explores the details.
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Research Report
A Roadmap to Personalizing Model Portfolios: Scaling with Purpose
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Research Report
How can Factors be Combined?Making allocations to individual factors typically requires strong investment beliefs, as factor returns have been cyclical in nature. When weighing the pros and cons of different multi-factor indexed approaches, institutional investors often evaluate both bottom-up or top-down options. We consider the attractions of both, using a bottom-up approach to build a multi-factor index from stocks that are favorably exposed to the value, size, quality and momentum factors, compared with an...
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MSCI Blog
Hunting a COVID-19 factorCan we identify a COVID-19 factor and quantify companies’ exposure to it? We explored three ways to do so — from very simple to more complex methods.
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Research Report
Research Insight - Factor Indexes in Perspective: Insights from 40 Years of Data Part I: Study - September 2014Until recently, MSCI had calculated 25 years of simulated history for its factor indexes. In this Research Insight, we extend the simulated history to 40 years, providing new insights into the behavior of factor indexes over various time periods. We look at factor index behavior over various time frames; the changes in the correlation between factor returns over this period; historical variations in valuation of factor indexes and their exposure to GICS sectors. We also use IndexMetrics,...
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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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Methodology
MSCI Diversified Multiple-factor Indexes MethodologyPDF
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Methodology
MSCI Diversified Multiple-Factor Indexes MethodologyPDF
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Methodology
MSCI Diversified Multiple-Factor Indexes MethodologyPDF