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MSCI improves factor risk modelling for equities

The most recent Barra US Equity Model, USE4, contains some important innovations in factor risk modelling, including the introduction of country risk factors, volatility regime adjustments, and eigenfactor risk adjustments. Amanda White spoke to executive director and head of equity factor model research at MSCI, Jose Menchero, about what that means.
Amanda WhiteSeptember 28, 2011
Research

Integrating ESG into the investment process

This MSCI paper provides a framework for integrating ESG considerations into the investment process of mainstream institutional asset managers. In particular, it introduces a portfolio analytical framework that aims to measure how well ESG factors are integrated across the entire portfolio and that can be used to set quantifiable objectives for improvement.
Amanda WhiteAugust 24, 2011
Research

Industry vs country factors in global equity markets

The relative strengths of industry versus country factors can be of major importance for global equity portfolio managers. If country effects dominate, then primary consideration can be given to the country allocation decision. On the other hand, if global economic integration is reducing the distinctions between countries, then an industry-first investment process may be more […]
 May 4, 2011
Research

Allocating assets in climates of extreme risk

This research by MSCI provides “material extensions” of the standard stress testing methodology of portfolios. It provides a quantitative method to modify asset allocation weights in a stress scenario, and a new paradigm for translating extreme events into asset class scenarios.
 April 20, 2011
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