Extended-lister
Showing 201 - 210 of 327 entries
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Research Report
Using Systematic Equity Strategies: Managing Active Portfolios in the Global Equity UniverseBoth quantitative managers and fundamental stockpickers need to understand their risk exposures, build efficient portfolios and differentiate themselves from their competitors. Factor models identify country, industry and style factors, which help forecast and explain portfolio risk. A subset of style factors, Systematic Equity Strategy (SES) factors — such as value, momentum and quality — has also earned positive long-term returns historically. In this paper, we review the role of SES...
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Research Report
A Defensive Approach to Factor PortfoliosLow-volatility indexes have been attractive to some investors, mainly due to their defensive and low-risk characteristics. This has been especially true in times of market uncertainty and heightened volatility. In this paper we investigate the possibility of incorporating the defensive characteristics of the MSCI Minimum Volatility Indexes into the construction of other factor indexes with the aim of achieving the highest “factor exposure-to-risk ratio.”
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Methodology
MSCI Diversified Multiple Factor Indexes MethodologyPDF
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Research Report
Bridging the gap: Adding factors to indexed and active allocationsAsset owners face a challenge in determining how the factor allocation fits into the overall equity program, in particular how the factor allocation relates to the existing roster of active managers. This paper uses a risk budgeting framework to investigate how active mandates and factor allocations can be combined. We address three key questions: 1) how does the level of active risk in active management affect the factor allocation decision, 2) what share of the portfolio can be deployed to...
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Research Report
Building Single-Factor PortfoliosIn this study, we focus on some of the issues investors face when constructing long-only non-optimized single-factor portfolios using simple heuristics-based rank-select-weight algorithms. In doing so, investors may ask: Should they start from a universe of securities with a fixed target-market-cap coverage or a fixed number of securities? Should they assess factor exposure based on single or multiple factor descriptors? How broad a subset of securities will they use from the underlying...
Portfolio Management Analytics Risk Management Analytics
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Research Report
The Future of Emerging Markets: 30 Years On from the Launch of the MSCI Emerging Markets IndexFor the past 30 years, emerging markets have provided return enhancement and risk diversification opportunities for global equity investors. The ongoing liberalization of the domestic Chinese capital market has the potential to transform the characteristics of the equity segment and its role in global portfolios. Recently, emerging markets have experienced volatile performance, driven by changes in monetary policy, increasing political uncertainty and deteriorating conditions for...
Indexes Portfolio Management Analytics
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Research Report
MSCI IndexMetrics® An Analytical Framework for Factor, ESG and Thematic InvestingMSCI introduced IndexMetrics® in 2013 as a lingua franca for evaluating and monitoring factor indexes along several dimensions, for a multiperspective analysis. As markets and investment processes continued to evolve, we have enhanced the IndexMetrics framework to keep it relevant. But the foundation remains: a framework designed to provide investors with quantitative measures along four dimensions — key metrics, performance, exposure and investability. Here, we provide an update to the...
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Research Report
Best Practices in Factor Research and Factor ModelsFactors define the sources of portfolio risk and return. In this paper, we review the theoretical and empirical foundations of our factor research and factor models. MSCI factor research is firmly grounded in academic theory and empirical evidence. MSCI factor models are based on robust econometric techniques and reflect best investment practice. MSCI methodologies are transparent and publicly available. This is why the world’s leading institutional investors use MSCI factor models and...
Indexes Portfolio Management Analytics Risk Management Analytics
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Research Report
Breaking Down the Direct Indexing Investment Process
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Research Report
Research Insight - Riding on MomentumMomentum, the tendency of past winners to continue to do well in the near future, is used widely in risk models, quantitative strategies and, more recently, as the basis for factor indexes aiming to replicate the performance of this pervasive factor. But the academic definition of momentum is extremely difficult to implement because it tends to lead to high volatility exposure and excessive portfolio turnover. Our approach involves selecting securities based on risk-adjusted performance and...