Extended-lister
Showing 11 - 20 of 10,000 entries
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Research Report
Understanding Factor InvestingThe size premium has been widely used in asset allocation and in risk models for decades. However, some academics and practitioners have contested the validity of the size premium. They argue: 1) the size premium has disappeared in the last 20 years and no longer exists; 2) the size premium exists only in the United States and not in other markets; 3) the size premium disappears after filtering out smaller stocks for investability. In this paper, we refute these claims and examine ways of...
Indexes Portfolio Management Analytics
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Tune in as we discuss the resurgence of value in 2021 and what economic indicators show for the road ahead.
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Research Report
Factor Investing and ESG IntegrationIntegrating ESG criteria into equity portfolios raises important portfolio construction questions. For example, what is the impact of ESG on portfolio performance and characteristics? How does it alter the risk profile and the factor exposures of portfolios? How does it affect institutional investors’ ability to pursue their investment strategy? Our results show that integrating ESG criteria into passive strategies generally improved risk-adjusted performance over the period 2007 to...
Indexes ESG Products & Services Portfolio Management Analytics
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Learn about the five common factors and the scenarios where you likely experience their principles in your own life.
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MSCI Blog
Finding Value: Understanding Factor InvestingDespite agreement on the principles of value investing, the investment community uses a number of different metrics to describe the value factor. Each metric (or descriptor) has its own advantages and pitfalls.
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MSCI Blog
Exploring Factor Investing in Emerging MarketsFollowing up on a recent MSCI survey that revealed uncertainty among investors about the comparative risk-and-return benefits of EM and DM factor investing, we simulated the performance of six common EM factor indexes over the last two decades.
Emerging Markets Indexes BarraOne
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MSCI Blog
Creating a common language for factor investingInvestors need a clear and consistent way to talk about factors. For more than 40 years, MSCI has defined how investors use factors to analyze risk and return, from individual stocks to entire portfolios. Factors are important drivers of portfolio performance and are well documented in academic research. They are used to quantify how much risk and return is attributable to different countries, sectors and styles.
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Research Report
Finding Value: Understanding Factor Investing
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Research Report
Quality Time: Understanding Factor Investing
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Research Report
Finding Value: Understanding Factor InvestingThe perennial appeal of value investing is based on the excellent long-term performance of global value stocks. Investors today use various approaches to identify the exposure of stocks with “value” characteristics that help explain risk and return. In this Research Insight, we create a common definition of “value” and examine how value strategies can be implemented, in both active and passive portfolios, using three generations of value indexes as examples.
Indexes Factor Indexes Value Weighted