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Newsletter
Headlines 9Online Version HeadlinesFrom MSCI Barra | Issue 9 >> The Rise of the Global Policy Benchmark>> Modeling Value at Risk With Factors>> Using Factor-based Performance Attribution to Talk to Investors>> How Factor Indices Can Help Capture Risk Premia>> Not a Barra Client? Request a Sample Analysis of Your Portfolio>> Asia Pacific Equity Model - Final Prototype Consultations Starting Now>> MSCI Barra Portfolio & Risk Management Conference in...
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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
Research Insight - Lost in the Crowd? Identifying and Measuring Crowded Strategies and TradesAUTHORS: Mehmet K. Bayraktar, Stuart Doole, Altaf Kassam, Stan RadchenkoThe “quant meltdown” of August 2007 and the subsequent unfolding of the global financial crisis highlighted the risks of crowded investment strategies. The rapid growth of smart beta indexes and their use in ETFs has added to the need for scrutiny. In this Research Insight, we propose a set of four key metrics (our “Crowding Scorecard”) for monitoring and detecting the crowding risk of any...
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Research Report
MSCI Integrated Factor Crowding ModelWith the rise of factor investing, institutional investors increasingly have sought to understand whether their factor exposures are crowded. Current MSCI Barra equity factor risk models are designed to provide insight and detail to help institutional investors understand how a portfolio is positioned and what has driven its risk and return. The MSCI Integrated Factor Crowding Model is designed to complement the Barra model by providing investors with insight into how the rest of the market...
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MSCI Blog
Should bank-loan investors worry about liquidity risk?Have bank loans posed more liquidity risk than corporate bonds when the market was stressed? We compared various liquidity metrics for bank loans and high-yield bonds during the December 2018 high-yield sell-off to find the answer.
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MSCI Blog
Lessons from Woodford: Shutting the barn door after the horses have boltedThe suspension of the U.K.’s Woodford Equity Income Fund highlights the value of regularly reviewing a portfolio’s factor exposures and liquidity characteristics for signs of style drift or deteriorating ability to redeem shares.
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MSCI Blog
What Would the SEC’s Liquidity Proposal Mean for Equity Funds?The SEC recently proposed amendments to the liquidity classification of open-end investment funds, aimed at standardizing reporting practices. But under the proposed approach, many large equity funds could exceed regulatory limits.
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MSCI Blog
Are Subprime Auto Loans at a Tipping Point?Investors and the media have lately turned their attention to credit risk in U.S. subprime automotive lending — concerns that increased during the recent market volatility.
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MSCI Blog
Why are Small Caps Different?A lot has been written about the persistence of the global small-cap premium. But what, apart from size, distinguishes small-cap stocks from their large- and mid-cap counterparts, and how can these distinctions help institutional investors?
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MSCI Blog
What if the U.S.-China Trade War Escalates?Markets appear to have priced in the recent tariffs, but the risk of a broader trade war still looms. Market scenarios based on economic studies suggest an all-out trade war could drive global equity prices down another 10%, with U.S. investors receiving the worst of it.