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Research - Custodians

Research

  • MSCI research: Revisiting Global Small Caps - Jul 2010

    The small cap as a source of equity risk premia has been well documented in finance literature. The Fama and French study concluded that three empirically determined variables, i.e., market, size, and value, did a good job of explaining the bulk of the cross-sectional average return of the NYSE, AMEX, and NASDAQ equity exchanges between 1963 -1990. While small-cap stocks have earned higher returns than large-cap stocks, they also carry a higher risk of market fluctuations. Subsequent studies extended to other equity markets found a similar conclusion.

  • LDI Evolution: Implementing Dynamic Asset Allocation Strategies that Respond to Changes in Funded Status

    Gone are the days when the majority of pension fiduciaries believed that a significant surplus in the pension plan represented an opportunity to increase risk taking. After experiencing two sharp market declines in the last decade, many pension fiduciaries have come to recognize that a fully-funded pension plan, and especially one that is in surplus, represents an opportunity to reduce allocations to risky asset classes and decrease the plan’s exposure to future adverse market conditions. Rather than investing to achieve a large surplus, today’s pension fiduciaries invest to avoid a deep deficit.

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