Extended-lister
Showing 1521 - 1530 of 5,442 entries
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Research Report
The Barra Credit Series: Market Implied RatingsIn recent years, the growth of the global credit market has been spectacular. From an investor perspective, this has created many new opportunities for higher returns and diversification, but a careful management of risk is more necessary than ever. In this context, measures of credit quality are becoming an increasingly important reference. Agency ratings are a standard measure of credit quality. The question of capital requirements and the recent collapse of several high-profile large...
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Research Report
Backtesting Risk Methodologies from One Day to One YearMarket risk evaluation is nowadays routinely used, but surprisingly the performances of the various existing methodologies are poorly known. In this paper, we present a systematic backtesting study using 233 time series covering all geographic areas and asset classes, for time horizons ranging from one day to one year. The testing framework uses the probtiles and the relative exceedance fraction in order to compute convenient performance figures. The risk methodologies include historical...
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MSCI Blog
GICS Changes: Risk Depends on How It’s MeasuredAs some very large companies switch sectors because of changes to the Global Industry Classification Standard (GICS®) structure, there will likely be implications for investors. We looked at how these changes may affect the risk profiles of six of the largest reclassified companies.
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MSCI Blog
CDS Hedging: Exploring all the OptionsThe credit-default-swap (CDS) market previously offered a cost-effective means to make short-term hedges or place bets on an individual issuer’s credit.
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MSCI Blog
Investing in Convertible Bonds When Rates RiseIs my convertible bond more like a stock or a bond? How can I identify convertible bonds offering protection from rising rates?
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MSCI Blog
For target-date funds, hindsight was 40/60Recent market volatility has been especially unkind to those closest to and early in retirement, as the sequence of returns matters for retirement income. Would low-volatility and ESG investments have benefited target date funds during volatile periods?
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Research Report
US Market Report - Should I "Like" Facebook's IPO?The Facebook IPO raises questions about both the stock’s valuation and its risk characteristics. In this report, we explore how including or exluding Facebook might affect the risk of style, or size segment portfolios of US equities. We also explain how the USE4 Model estimates factor exposures and specific risk of stocks before and after their IPO. For Facebook, we provide an estimation of those risk numbers, which can be used to create proxy assets in Barra Aegis or Barra...
Portfolio Management Analytics
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Webcast
Managing Ownership Risk in a Global MarketView the recorded webinar featuring legendary governance expert Bob Monks, co-founder of GMI Ratings, (now part of the MSCI ESG Research), to explore how investors are managing their exposure to ownership risk. Agenda Topics: Why engage? How do different ownership structures affect governance risk? Alpha vs. beta strategies for engaged investors Does passive investment mean passive ownership? Speakers: Robert A. G. Monks, Author, Founder, ISS / co-founder, GMI Ratings Claudia...
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Newsletter
Index Update - April 2012Online Version | Contact Us Index UpdateFrom MSCI | April 2012 New Product LaunchesMSCI Economic Exposure IndicesThe MSCI Economic Exposure Indices reflect the performance of companies with significant exposure to specific regions or countries, regardless of their domicile. MSCI introduced the first series in this new index family, the MSCI Indices with EM Exposure, on March 29. The flagship index of the series, the MSCI World with EM Exposure Index,...
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Product Documentation
Practical Applications from the Experts - May 2010Equity Performance Attribution Performance attribution refers to various methods that explain why the return of a portfolio differs from its benchmark. In particular, performance attribution focuses on a portfolio’s active return, or alpha, and decomposes it in a way that gives insight into the portfolio’s return characteristics. The alpha is decomposed into the following effects: Selection – Refers to the manager’s ability to pick securities within a...