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Fact Sheet
MSCI ACWI Multiple-Factor ESG Target Index (USD) (NET)PDF
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Fact Sheet
MSCI ACWI Value ESG Target Index (USD) (NET)PDF
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Fact Sheet
MSCI World Quality ESG Target Index (USD) (NET)PDF
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Fact Sheet
MSCI World Value ESG Target Index (USD) (NET)PDF
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Fact Sheet
MSCI Europe Value ESG Target Index (USD) (NET)PDF
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Fact Sheet
MSCI World Multiple-Factor ESG Target Index (USD) (NET)PDF
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Fact Sheet
MSCI Europe Quality ESG Target Index (USD) (NET)PDF
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Fact Sheet
MSCI Europe Multiple-Factor ESG Target Index (USD) (NET)PDF
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Research Report
Value’s Lost Decade: Learning from Value Strategies’ Behavior over Two Contrasting Decades
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Research Report
Straight Talk on Nonlinearities in Linear Factor ModelsLinear regression models have been the workhorses of finance and economics. However, given increasing attention to nonlinear methods, we investigate the extent to which nonlinearities not captured by standard linear models within equity factor risk models are present. Adding nonlinear factors in simple polynomial functions of their linear counterparts contributed some additional explanatory power to the cross-section of security returns. Furthermore, some generated factor returns and...
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