MSCI continues to believe that global market benchmarks, such as the MSCI Global Investable Market Indexes, should aim to represent the broadest investment opportunity set
available to international institutional investors based solely on the investability of the underlying markets.
Also, traditional benchmarks can distort the true investment opportunity set
by favoring larger state general obligation bond issuers at the expense of revenue-backed bonds, since their constituents are typically weighted based on indebtedness.
We increased our capital allocation to Agency fixed-rate RMBS during the quarter which continue to offer the best risk-adjusted return in our investment opportunity set
. Our leverage at the end of the quarter was temporarily reduced by sales of certain Agency hybrid ARMs and U.S.
The MSCI Global Investable Indexes (GIMI) methodology was described as a comprehensive and consistent approach to index construction that allows for 'meaningful global views and cross regional comparisons across all market capitalization size, sector and style segments and combinations.' This methodology aims to provide exhaustive coverage of the relevant investment opportunity set
with a strong emphasis on index liquidity, investability and replicability.
Further, expanding the investment opportunity set
to include, for example, high-yield debt and a greater allocation to emerging market equity could help enhance expected return.
Although the investment opportunity set
of the plan is limited to the available menu choices, participants can freely allocate their contributions among these options.
MSCI states that it expects this development to contribute to the further expansion of the global investment opportunity set
available to institutional investors.
This aims to provide exhaustible coverage of the relevant investment opportunity set
with a string emphasis on index liquidity, inevitability and replicability.
"If you know anyone in the market for a fabulous flat or amazing investment opportunity set
in a lovely gated complex with a gym, pool and gardens in the heart of Fulham..."
Srinidhi, 2000, The effect of investment opportunity set
and debt level on earnings-returns relationship and the Pricing of discretionary accruals, department of accountancy city university of Hong Kong, http://papers.ssrn.com /paper.taf?
However, the Sharpe-Lintner-Mossin version of the CAPM is a single period model, and does not account for the possibility of changes in the investment opportunity set
, represented by all possible combinations along the capital market line, that is, the risk free asset and the risky asset portfolio with the maximum Sharpe ratio.
Gaver, 1993, "Additional Evidence on the Association between the Investment Opportunity Set
and Corporate Financing, Dividend and Compensation Policies," Journal of Accounting and Economics, 16, 125-140.