Extended-lister
Showing 241 - 250 of 326 entries
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Research Report
Research Insight - Capturing Factor Premia - April 2014Using the lens of the Barra US Equity Model (USE4S), this Research Insight provides a practical guide to constructing investable factor portfolios. This paper begins by discussing the general concept of a factor portfolio. We then explore the role of optimization in making a 'pure factor portfolio' investable. We assess how investability constraints impact the performance of factor-replicating portfolios. Finally, we discuss how MSCI Market Neutral Barra Factor Indexes can be used in an...
Portfolio Management Analytics Equity Risk Models
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Methodology
MSCI World Select 5-Factor ESG Low Carbon Target Index MethodologyPDF
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Methodology
MSCI Momentum Indexes Methodology BookPDF
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Methodology
MSCI Momentum Tilt Indexes Methodology BookPDF
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Research Report
Factors’ active role in portfolio constructionAs important systematic sources of risk and return, factors play a vital role in building, maintaining and measuring actively managed equity portfolios. Investors and technology continue to grow more sophisticated, which has given rise to new ways of gathering, sorting and analyzing information — and new investment approaches. A factor-based approach can provide deeper insight into funds and individual securities. Research by MSCI and others has continued to show that factors have been...
Portfolio Management Analytics Risk Management Analytics
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Research Report
MSCI Monthly Update - December 2014The MSCI Monthly Update is a monthly publication where we provide commentary on the market using MSCI Barra Equity Models, the RiskMetrics Factor Model and MSCI Indexes.
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Research Report
The MSCI Factor ESG Target IndexesInstitutional investors are moving toward integrating ESG criteria into their portfolios and their factor allocations in particular. But they face key challenges in doing so: How can they enhance their strategies’ ESG profiles while achieving the desired exposure to their target factors? Our research shows this can be achieved by simultaneously incorporating ESG integration alongside factor exposure targeting in index construction. The MSCI Factor ESG target indexes’ “one-step” approach...
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Research Report
The MSCI Diversified Multi-Factor IndexesMulti-factor indexes are important tools for institutional investors seeking diversified exposure to factors that have historically generated premia over long horizons. In this Research Spotlight, we examine the new MSCI Diversified Multi-Factor (DMF) Index family, which selects stocks with exposures to the value, momentum, quality and low size factors, while keeping risk at the level of the market.
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Methodology
MSCI Factor ESG Target Series Indexes MethodologyPDF
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Methodology
MSCI World Select Multiple Factor ESG Low Carbon Target Index MethodologyPDF