MSCI Insights

Case Study: Global Asset Manager Selects RiskMetrics RiskManager 4 and Managed Services

Wed, 16 May 2012 18:27:20 +0100

A global asset manager was looking for an enterprise risk management system to provide analytics across a wide range of complex asset classes. They process approximately 50,000 instruments, ranging from equity fixed income to structured credit to exchange traded and OTC derivatives. The scope and volume of their investment book made their requirements particularly complex. Different groups within the firm needed absolute and relative reports to be generated interactively and in batch. After careful consideration, they selected RiskMetrics RiskManager 4 and Managed Services. To hear more about the services we offered this asset manager.

Making Risk Additive: The Alpha and Beta of Risk Attribution and Risk Delta

Wed, 16 May 2012 18:02:47 +0100

Institutional investors face the challenge of understanding changes in risk. Did a recent increase in risk come from a shift into more aggressive positions, a spike in market volatility, or a loss of diversification? Which of the institutional investor's positions or managers drove the change? Which parts of the market became more risky?

Enhanced Mortgage and Securitized Products Coverage on RiskManager

Wed, 16 May 2012 16:55:10 +0100

A new securitized instruments model, based on INTEX cashflows, has been integrated into RiskManager. This new capability provides improved coverage and modeling of structured securities, as well as updated analytics for this asset class.

BarraOne 3.6

Wed, 16 May 2012 16:49:39 +0100

Two new risk model enhancements, a new cash flow report, and additional datasets highlight June's upcoming BarraOne release. Highlights of this new release include:

RiskMetrics HedgePlatform

Wed, 16 May 2012 16:42:11 +0100

MSCI's combined hedge fund transparency business, including Measurisk, is now RiskMetrics HedgePlatform.

MSCI acquired RiskMetrics in June 2010 and Measurisk in July 2010. Separately, each organization invested over ten years in its hedge fund transparency service. Together, we are integrating the best of both. Integration continues, but the combined offering delivers to our clients:

The business case for ESG in institutional investment - The RI/MSCI round table debate

Wed, 02 May 2012 16:38:51 +0100

The RI/MSCI round table debate evaluated the ESG business case for Institutional Investment. On December 12, 2012, MSCI’s own Martina Macpherson and Hugh Wheelan from Responsible Investor brought together a panel of noted thinkers, practitioners and academics in sustainable finance for a debate based broadly around the following questions:

ESG Leadership Forum - A Success

Mon, 30 Apr 2012 21:44:58 +0100

On April 27, 2012, MSCI ESG Research, Konrad Adenauer Foundation (KAS), University of St Andrews (RBF), UKSIF and Responsible-Investor.com hosted the ESG Leadership Forum in London and online via a global video livestream.

The event included an ESG Leaders panel discussion and was followed by a set of thematic workstreams, where experts from the industry, academia and policy making discussed the future of sustainable investing - from a macro and micro socio-economic perspective.

Agreement with the Saudi Stock Exchange

Mon, 30 Apr 2012 15:01:08 +0100

MSCI will reintroduce coverage of the Saudi Arabia equity market with the release of standalone country indices, after reaching agreement with the Saudi Stock Exchange (Tadawul) for the provision of market data.

The reintroduced MSCI Saudi Arabia Domestic Indices, including large cap, mid cap and small cap indices, are designed for institutional investors wishing to invest in Saudi Arabia, and who are not constrained by foreign ownership limits. Read more.

Sun Hung Kai - Falling from Grace

Tue, 03 Apr 2012 09:25:45 +0100

The arrest of eight individuals related to Sun Hung Kai Properties Limited (SHK), including co-chairmen Raymond and Thomas Kwok, by Hong Kong’s Independent Commission Against Corruption (ICAC) has led to widespread concern over the company’s outlook. Investors reacted badly to the news, with a steep fall of over 15% in the company’s share price on the morning of 30 March 2012, wiping approximately USD 5 billion off SHK’s market capitalization, marking a “Black Friday” in the company’s history.

MSCI ESG Research flagged concerns over the company’s governance practices prior to the allegations. We classify the company’s operations in Hong Kong and mainland China as facing high exposure to corruption risks and assessed SHK as having inadequate anti-corruption programs in place to mitigate those risks. Click here for the complete discussion of the Chinese regulatory and political context surrounding the investigations, which also have implications for the outlook of other companies in this industry.

Environmental Finance Interviews MSCI about Integrating ESG into the Investment Process

Thu, 29 Mar 2012 14:57:28 +0100

With our acquisition of RiskMetrics in 2010, MSCI instantly became a major force in ESG indices and research and is aiming to take ESG integration to the next level. MSCI's Remy Briand and Marc Brammer talked to Mark Nicholls from Environmental Finance. Read the interview.

Thomas Kuh Talks to Responsible Investor about ESG Integration

Fri, 16 Mar 2012 13:04:59 +0100

Analysis shows that ESG is poised to go mainstream: Thomas Kuh, Business Director of MSCI ESG Indices, takes a historical perspective on the interest in, and awareness of, investing in ESG-oriented companies over the past several decades. Prior to the 1990s there was a scarcity of information about companies and their ESG engagement, says Kuh; furthermore no one really had a framework for analyzing that information. Courtesy of FS Insight and Holland Financial Centre. Watch the video.

The Volatility Factor and Risk Aversion

Fri, 16 Mar 2012 10:50:21 +0100

This article examines how Barra factors can be used to better understand the market environment. We analyze the 2011 equity markets and observe the performance of some Barra factors during market events. We also investigate relationships between the returns to the Barra Volatility1 factor and the levels of implied volatility, as measured by the CBOE Volatility Index (VIX). The factors that we focus on are defined in the Barra Global Equity Model (GEM2), a global multi-factor risk model used by fund managers to help construct and manage global equity portfolios. Read more.

First Passive Mandate on MSCI ESG Indices in Japan

Thu, 15 Mar 2012 11:32:18 +0100

The National Federation of Mutual Aid Associations for Municipal Personnel, one of the largest public pension plans in Japan with over JPY 8 trillion in AUM*, has selected the MSCI Japan ESG Index as the benchmark for a passive mandate. A range of 7-17% of the total AUM is targeted for investment in domestic equities, and part of this allocation will be used for the ESG mandate. Read more

Does Risk-Based Strategy Diversification Work?

Wed, 07 Mar 2012 17:06:17 +0100

With the unprecedented volatility seen in global equity markets recently, many investors are exploring risk-based strategies - not only to cushion and diversify extreme risk, but for their potential to capture the "low volatility effect."

The paper Turbulent Times Ahead analyzes and compares two risk-based index strategies, minimum variance and risk-weighted, examining the MSCI Minimum Volatility and Risk Weighted Indices. Read the paper

MSCI GDP Weighted Indices - Methodology Change

Wed, 29 Feb 2012 10:34:23 +0100

The MSCI GDP Weighted Indices are designed to reflect the size of a country’s economy, or gross domestic product (GDP), rather than the size of its equity market.

The country weights for each MSCI GDP Weighted Index are reset each year in May, and are based on the previous year's GDP figures. Between each annual review, country weights will fluctuate with changes in the performance of their constituents.

Effective in May 2012, MSCI is enhancing its GDP Weighted Index methodology. Formerly, index additions and deletions made between annual reviews impacted the weight of their respective countries. With the enhanced methodology, index additions and deletions will no longer affect current country weights.

More news in the latest Index Update.