Extended-lister
Showing 71 - 80 of 10,000 entries
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Research Report
Research Insight - Employing Systematic Equity Strategies - June 2013In this Research Insight, we introduce “Systematic Equity Strategies” (SES), which refers to a rules-based implementation of investment strategies and anomalies. Our research finds that SES, when used as factors in risk models, can help predict both expected and abnormal stock returns, thus improving forecast accuracy. Some Systematic Equity Strategies may lead to crowding risk as large pools of capital pursue shared strategies; by using SES factors, investors can monitor...
Portfolio Management Analytics Equity Risk Models
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Press Release
David Zhang Joins MSCI as Head of Securitized Products ResearchPDF
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Press Release
MSCI to advance clarity in carbon markets with acquisition of Trove ResearchPDF
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Research Report
Research Insight - Constructing Quality Risk Models - June 2013In this Research Insight, we outline the building blocks essential to constructing an effective standard risk model. We then turn to how risk models are used in the investment process — that is, constructing efficient portfolios and attributing their risk and return. Finally, we describe the best practices of proprietary model construction, including an empirical investigation of the economic impact of using proprietary models in portfolio optimization.
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Research Report
Research Insight - Identifying the Drivers of Predicted Beta - February 2014In this Research Insight, we present a methodology for attributing the predicted beta of an asset or portfolio to an underlying set of factors. This provides investors with important insights into the drivers of predicted beta for a particular portfolio. We also present a technique for decomposing the cross-sectional dispersion of stock-level predicted betas. This analysis provides useful insight into how changing factor volatilities and correlations affect cross-sectional differences in the...
Portfolio Management Analytics Equity Risk Models
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Research Report
Research Insight - Evaluating the Accuracy of Beta Forecasts - September 2014In this Research Insight, we present a framework for evaluating the relative accuracy of beta forecasts. We consider naive betas, historical betas, and predicted betas. Our technique relies on observing the residual returns of a large universe of stocks over various time periods. We find that the expected residual volatility decreases as the beta estimates become more accurate. We also demonstrate residual volatilities can be translated into beta estimation errors. We find that across the...
Portfolio Management Analytics
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Case Study
A History Of Ground-Breaking Research And Investment: Denali Advisors & MSCIPortfolio Management Analytics
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Press Release
Everence Selects MSCI ESG Research for ESG Integration StrategyPDF
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Press Release
MSCI ESG Research Analysis and Ratings now integrated on FactSetPDF
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Press Release
AEGON Asset Management Chooses MSCI ESG Research and RatingsPDF