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  1. BLOG

    Is US Equity Overvalued? A Macro View 

    Oct 19, 2020 Chenlu Zhou

    Equity Themes , Risk Management

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    Headed into what some see as “the second wave” of COVID-19, U.S. equity investors may ask: Is this a sustainable market recovery, or a bubble that may burst? We examine the question with our model for market-implied U.S. equity risk premium.

  2. BLOG

    How Portfolio-Weighting Schemes Affected Factor Exposures 

    Oct 15, 2020 Abhishek Gupta , Ashish Lodh , Subhajit Barman

    Factor Investing , Factor Indexes , Factors , Risk Management

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    Single-factor portfolios seek high exposure to a target factor and limited exposure to non-target ones. We assess the impact that common portfolio weighting schemes have on these exposures, as well as on portfolio efficiency, concentration and investability.

  3. BLOG

    Using Factors As a Magnifying Glass for Equities 

    Oct 14, 2020 Donald Sze

    Factor Indexes , Factor Investing , Factors

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    Factors have been shown to be important systematic sources of risk and return. We examine how factor analysis can help identify investment characteristics that lie beneath the surface of seemingly similar stocks and equity portfolios.

  4. BLOG

    Factors in Focus: Impact of Inflation on Style Factors 

    Oct 2, 2020 Hitendra D Varsani , Waman Virgaonkar

    Factor Investing , Global Investing , Risk Management

    Learn More

    Global equities continued to rally in Q3, brushing aside fear of a second wave of COVID-19 and a large economic slump. We review what it meant from an equity and fixed-income factor perspective and look at what our models showed headed into Q4

  5. BLOG

    Hertz So Good? 

    Sep 30, 2020 Hamed Faquiryan , Manuel Rueda

    Fixed Income , Risk Management

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    We look at the unusual bankruptcy of Hertz Global Holdings Inc. — whose equity rallied in early June, when holders of Hertz bonds were expecting losses as high as 90% in default — to discuss the importance and subtleties of firms’ capital structures.

  6. BLOG

    Can MBS Duration Turn Negative? 

    Sep 29, 2020 Yihai Yu

    Fixed Income , Risk Management

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    As mortgage rates have hit record-breaking lows, prepayment speeds have doubled. With the combination of a high price premium and elevated prepayment speed, could duration of mortgage-backed securities stray into negative territory?

  7. BLOG

    Stress Testing Inflation Scenarios 

    Sep 24, 2020 Thomas Verbraken , Daniel Szabo

    Fixed Income , Risk Management

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    Market-implied expectations indicate modest inflation. But some observers are concerned inflation may significantly rise, while others fear deflation. We discuss four inflation scenarios — and their potential implications for stocks and bonds.

  8. BLOG

    Bond Liquidity: How Bad Was COVID? 

    Sep 16, 2020 László Arany

    Risk Management

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    Was bond liquidity worse during the COVID-19 outbreak or the 2008 global financial crisis? We analyzed transaction costs from the forced selling of USD 10 million of U.S. corporate bonds, throughout the two crises.

  9. BLOG

    Assessing Company Alignment with UN SDGs 

    Sep 14, 2020 Olga Emelianova

    ESG Research , Global Investing

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    Five years ago, the United Nations adopted 17 UN Sustainable Development Goals (SDGs) in an effort to end extreme poverty, reduce inequity and protect the planet by 2030. Using a new tool, we examine whether companies are walking the walk.

  10. BLOG

    Missed Rents’ Impact on Real Estate 

    Sep 11, 2020 Bryan Reid , Niel Harmse

    Real Estate Investing , Fixed Income

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    Some commercial tenants have stopped paying rent amid COVID-19. Without rental income, property funds are not able to pay distributions to shareholders and borrowers cannot service their debt. We analyzed property-fund data to assess the impact on investors.

  11. BLOG

    How to Describe a Factor 

    Sep 10, 2020 Abhishek Gupta , Ashish Lodh , Subhajit Barman

    Factor Indexes , Factor Investing , Factors

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    How to define a factor? It’s a challenge for asset owners and wealth managers in evaluating how well factor products meet investment objectives. We found an improved and more robust measure can be formed by combining multiple descriptors. 

  12. BLOG

    Are Securitized Products Ready for the LIBOR-SOFR Transition? 

    Sep 2, 2020 Joy Zhang , Yihai Yu

    Fixed Income , Integrated Risk Management

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    Will the securitization industry be ready for the transition from LIBOR to the secured overnight financing rate (SOFR), as it faces the fact that LIBOR can no longer be guaranteed beyond the end of 2021? As the industry mobilizes, significant challenges remain.

  13. BLOG

    ESG in Mexico: At a Fork in the Road? 

    Aug 27, 2020 Mario López-Alcalá

    ESG Research , Emerging Markets , Global Investing

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    Mexican companies’ ESG risk-mitigation practices have come a long way over the past decade, but there has been some slippage over the past two years. We examine the current status and why investors may want to pay attention.

  14. BLOG

    Alternative Views of Equity-Market Liquidity During COVID-19 

    Aug 26, 2020 Saurabh Katiyar , Reil Abucay , Chirag Gosar

    Emerging Markets , Global Investing , Risk Management

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    Institutional investors have typically used traded volume as a way to assess market liquidity. Adding alternative measures that gauge market impact and trading costs can provide a more comprehensive view for portfolio managers and traders.

  15. Aggressive actions by central banks and soaring government budget deficits have raised concerns among some investors that inflation may significantly rise. We examine whether an inflation hedge was worth the cost over the past 13 years.

  16. BLOG

    Understanding the Industry-Momentum Factor 

    Aug 19, 2020 Alex Johnson , Simon Minovitsky

    Factor Investing , Risk Management , Global Investing

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    When COVID-19 first swept through global equity markets, many factors exhibited unprecedented performance swings. How could institutional investors interpret the industry-momentum factor’s moves in the context of the underlying market dynamics?

  17. BLOG

    Growth Without the Side Effects 

    Aug 17, 2020 Mehdi Alighanbari

    Factor Indexes , Factor Investing , Factors

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    Growth has sometimes been viewed as the opposite of value. By extending the concept of growth at a reasonable price, we were able to capture the growth premium without it being lost to unintended factor exposures.

  18. BLOG

    The Risk of Risk Limits 

    Aug 5, 2020 Reka Janosik , Thomas Verbraken

    Risk Management

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    In times of heightened volatility, risk limits can protect against equity-market drawdowns. While such measures can dampen portfolio losses, they may also have an impact on long-term returns, particularly in case of a sharp V-shaped market recovery.

  19. BLOG

    Index Futures and the Expansion of Equity Markets in EM and Asia 

    Aug 4, 2020 Zhen Wei

    Global Investing , Emerging Markets

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    Given equity market growth in the emerging markets and Asia, and the dispersion of returns across individual subregions and countries, some have looked beyond traditional long-only approaches, to others, such as futures. We explore those options.

  20. BLOG

    Did Bonds Deliver? Leveraging Fixed Income During the COVID Crisis 

    Jul 29, 2020 Juan Sampieri , Andy Sparks

    Fixed Income , Risk Management

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    Investors may employ leverage with lower-risk asset classes such as bonds to seek higher risk and returns. We assessed the effects of leverage on the returns of three hypothetical multi-asset-class portfolios during the COVID-19 crisis.

  21. BLOG

    Corporate Bonds Through a Factor and ESG Lens 

    Jul 20, 2020 Rohit Mendiratta , Hitendra D Varsani

    ESG Research , Factor Indexes , Factor Investing , Factors , Fixed Income , Risk Management

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    COVID-19 has had a profound impact on how companies manage cash flows and liquidity. Bond investors face the possibility of increased leverage, rating downgrades and defaults. Can factors and ESG metrics shed light on these risks?

  22. BLOG

    Managing Climate Risk in Equity Portfolios: A Case Study 

    Jul 15, 2020 Bruno Rauis , Zoltán Nagy

    ESG Research , Global Investing

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    Institutional investors are increasingly focused on mitigating their climate-related risks. How could a “typical” active global equity manager have managed these exposures without disturbing the portfolio’s risk and return characteristics?

  23. BLOG

    Measuring Firms’ Remote-Workforce Abilities 

    Jul 14, 2020 Howard Zhang , Daniel R. Barrera , Manuel Rueda

    Factor Investing , Factors

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    It’s clear that some companies were better positioned to take advantage of a remote work environment than others. We built a hypothetical “remote-operation capacity” factor to seek to measure the effect on different firms.

  24. BLOG

    Up in Smoke? Brazil’s Wildfires May Affect Bond Spreads 

    Jul 10, 2020 Hamed Faquiryan , Mario López-Alcalá

    ESG Research , Fixed Income , Risk Management

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    Clearing Brazilian forests to make way for agriculture may spur a backlash to soy and beef producers if purchasers impose deforestation-free rules. What are the potential implications for debt of affected companies and for Brazilian sovereign debt?

  25. BLOG

    Would Integrating ESG in Chinese Equities Have Worked? 

    Jul 7, 2020 Naoya Nishimura , Shuo Xu

    ESG Research , Emerging Markets , Global Investing

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    ESG ratings have reflected financial risk and returns in developed-market and emerging-market equities. But was this true in China, where ESG considerations are still in their infancy?

  26. BLOG

    将 ESG 融入到中国股票的成效如何? 

    Jul 7, 2020 Naoya Nishimura , Shuo Xu

    ESG Research , Emerging Markets , Global Investing

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    过去两年,中国企业的 ESG 评级大幅提升。通过回测,剔除一些 ESG 评级低的股票,能够有助于一批聚焦中国的主动型基金在过去五年半时间内降低风险和提高投资回报。

  27. BLOG

    Factors in Focus: How Trendy Is Your Style Factor? 

    Jul 6, 2020 Hitendra D Varsani , Waman Virgaonkar , Rohit Mendiratta

    Factor Investing , Risk Management

    Learn More

    As markets rallied worldwide, investors took on high-beta exposure and rotated away from stocks with lower risk. The latest edition of Factors in Focus explores the details.

  28. BLOG

    Surging Corporate-Bond Supply: Reason to Worry? 

    Jul 1, 2020 Andy Sparks , Gergely Szalka

    Fixed Income , Risk Management

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    In the months since the onset of the COVID-19 pandemic, companies issued a large amount of corporate bonds. As a result of this surge, corporate debt has grown substantially — a burden that institutional credit investors may wish to monitor closely.

  29. BLOG

    Did Value-Factor Exposure Deliver for Value Funds? 

    Jun 29, 2020 Saurabh Katiyar , Ashish Lodh , Vishad Bhalodia

    Factor Investing , Global Investing

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    Building on previous MSCI research into the nuanced performance of the value factor, including the impact of sectors and other style factors, we look at how exposure to value drove the performance of actively managed value funds.

  30. BLOG

    ESG Ratings: How the Weighting Scheme Affected Performance 

    Jun 29, 2020 Zoltán Nagy , Linda-Eling Lee , Guido Giese

    Global Investing , ESG Research

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    Our recent research suggests that environmental and social issues were more industry specific and tended to show up in financial measures over a longer time frame compared to governance issues. How can E, S and G issues be combined?

  31. BLOG

    Short Interest Factor Performance in Times of Crisis 

    Jun 24, 2020 Vipul Jain , Roman Kouzmenko

    Factors , Factor Investing

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    Given recent short interest factor performance, we asked: What has been the relationship between this factor and large market drawdowns? Were there changes in short selling during COVID-19? Did short-selling bans affect short interest factor performance?

  32. BLOG

    COVID-19 and Real Estate: The Devil Is in the Dispersion 

    Jun 23, 2020 Fritz Louw , Niel Harmse

    Real Estate Investing , Risk Management

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    Many real estate markets were showing signs of a slowdown even before COVID-19’s negative impact on property portfolios. Has this correction been similar to previous ones? We looked at dispersion of returns, within and across real estate sectors, for the answer.

  33. BLOG

    Which ESG Issues Mattered Most? Defining Event and Erosion Risks 

    Jun 22, 2020 Guido Giese , Zoltán Nagy , Linda-Eling Lee

    Global Investing , ESG Research

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    Very different ESG issues can be material for different industries. Our research suggests that risks can be divided into two main types: “event” risks and “erosion” risks to companies’ long-term competitiveness. Which ones mattered most for E, S and G?

  34. BLOG

    Is ESG All About the ‘G’? That Depends on Your Time Horizon. 

    Jun 15, 2020 Linda-Eling Lee , Guido Giese , Zoltán Nagy

    Global Investing , ESG Research

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    The conventional wisdom has it that governance is the most dominant of the three E, S and G pillars. But our analysis finds different results when looking at contribution to performance over different time horizons.

  35. BLOG

    Consumer ABS: Recovering from Coronavirus? 

    Jun 11, 2020 Yini Yang , Jian Chen , Joy Zhang

    Risk Management , Fixed Income

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    After the U.S. COVID-19 lockdown, new monthly remittance reports for asset-backed securities indicated performance deterioration and signaled potential challenges ahead. Meanwhile, in China, ABS showed signs of recovery.

  36. BLOG

    Equity-Market Dislocation and Index-Based Investing 

    Jun 3, 2020 Zhen Wei , Shuo Xu

    Emerging Markets , Global Investing

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    Market turbulence amid COVID-19 presented risks and opportunities. We explore how indexes , combined with the use of fundamental data, provided a wealth of information to help identify potential market dislocations.

  37. BLOG

    Outcome-Oriented Factor Investing with a ‘Barbell’ Approach 

    Jun 1, 2020 Zhen Wei , Shuo Xu

    Factor Indexes , Factor Investing , Global Investing

    Learn More

    Though relatively new to wealth investors, index-based factor investing has some similarity to a high-conviction, outcome-oriented approach. We explore combining the two when seeking outcomes such as equity growth, yield enhancement and risk mitigation.

  38. BLOG

    Can AI Model the Complexities of MBS Prepayment? 

    May 29, 2020 Joy Zhang , Yini Yang

    Fixed Income , Risk Management

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    Machine learning using neural networks has been successfully applied to fields in which extremely complex patterns can prove challenging for other algorithms. Are neural networks suited for modeling prepayment risk in agency mortgage-backed securities?

  39. BLOG

    Building Better ESG Indexes: 30 Years On 

    May 27, 2020 Stuart Doole

    Global Investing , ESG Research

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    How ESG indexes have evolved over the past 30 years: A Q&A with Stuart Doole, head of new index development at MSCI, about his conversations with investors since the COVID19 crisis started, the growth of ESG investing and how MSCI Research uses AI and machine learning in developing its ESG indexes.

  40. BLOG

    Robust Selection Paid Dividends 

    May 22, 2020 Neeraj Dabake , Ankit Shah

    Global Investing

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    Dividend cuts following the COVID-19 slowdown led to approximately USD 194 billion of lost dividends between February and April 2020. An approach that looked beyond dividend-yield ranking would have avoided some affected companies, based on our analysis.

  41. BLOG

    Four COVID-19 Scenarios: What Might Happen Next? 

    May 21, 2020 Thomas Verbraken , Juan Sampieri

    Fixed Income , Risk Management

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    Our latest COVID-19 stress test looks at four potential financial-market outcomes ranging from a swift V-shaped recovery to a pessimistic L-shaped scenario, in which outbreaks recur and lockdowns return well into 2021.

  42. BLOG

    Five lessons for investors from the COVID-19 crisis 

    May 19, 2020 Dimitris Melas

    ESG Research , Factors , Global Investing

    Learn More

    COVID-19 unleashed a torrent of sharp movements across global financial markets. We highlight five key lessons for investors regarding global investing, managing factors, active management, indexed investing and ESG investing.

  43. BLOG

    Using Risk Analytics to Highlight Opportunities in Volatile Markets 

    May 18, 2020 Michael Hayes

    Risk Management , Fixed Income

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    Risk analytics can serve many functions for an institutional investor, including compliance, risk management, portfolio management and trading and strategy development. They may also highlight new opportunities that may be unique to volatile markets.

  44. BLOG

    Index Rebalancing During High Volatility: A Balancing Act 

    May 13, 2020 Abhishek Gupta , Pavlo Taranenko , Sebastien Lieblich

    Global Investing , Emerging Markets

    Learn More

    Significant volatility during COVID-19 highlights a need for index reconstitution, but some may worry about trading costs and excess turnover. We investigate the balance between appropriate market representation and avoiding high index turnover.

  45. BLOG

    Consumer ABS Under Coronavirus in the US and China 

    May 11, 2020 Yini Yang , Jian Chen , Joy Zhang

    Emerging Markets , Fixed Income , Global Investing , Risk Management

    Learn More

    Beyond COVID-19’s steep human toll, the pandemic’s disruption of economic life has led to widespread loss of income and impaired some borrowers’ ability to repay loans. What could the impact be for investors in consumer asset-backed securities in the U.S. and China?

  46. BLOG

    How Hedge Funds Navigated the Start of COVID-19 Volatility 

    May 8, 2020 Donald Sze , Navneet Kumar

    Factor Investing , Factors , Risk Management

    Learn More

    How did hedge funds navigate the initial volatility amid COVID-19? Though holdings information is limited, and delayed, we gained insights into their reaction by examining the change in hedge-fund portfolios between the end of January and end of February.

  47. BLOG

    Credit in the COVID Crisis: Contagion, Valuation, Default 

    May 6, 2020 Hamed Faquiryan , Reka Janosik , Andras Rokob

    Fixed Income , Risk Management

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    As the COVID-19 crisis unfolded, credit markets deteriorated under the stress of a sharply diminished economic outlook. We analyze three indicators of credit-market conditions: default risk, relative value and contagion risk.

  48. BLOG

    Was the Treasury Price Right? Yield Dispersion Amid COVID-19 

    May 5, 2020 Alfredo Bequillard , Greg Recine

    Fixed Income , Risk Management

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    Despite appearances, Treasury yield curves are statistically estimated using price data from hundreds of Treasurys. We compared recent yield dispersion — or the degree to which individual bond yields fall away from the curve — to historical levels.

  49. BLOG

    Using Derivatives to Manage Volatile Markets 

    May 4, 2020 Hitendra D Varsani , Rohit Mendiratta

    Emerging Markets , Global Investing , Risk Management

    Learn More

    We’ve previously noted growth in derivatives contracts to manage emerging-markets exposure in normal and stressed times. Now, facing a real-world stress test, how did investors use these tools? How have implied volatilities and option premium changed?

  50. BLOG

    Hunting a COVID-19 factor 

    Apr 29, 2020 George Bonne , Jun Wang

    Factor Indexes , Factor Investing , Factors

    Learn More

    Can we identify a COVID-19 factor and quantify companies’ exposure to it? We explored three ways to do so — from very simple to more complex methods.

  51. BLOG

    Did hedging tail risk pay off? 

    Apr 27, 2020 Peter Shepard , John Burke

    Risk Management

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    Investors taking stock of the coronavirus fallout and recent market volatility have begun exploring tail-risk-hedging strategies as a way to protect against further drawdowns. What are the potential costs and benefits of hedging against tail risk?

  52. BLOG

    MSCI ESG Indexes during the coronavirus crisis 

    Apr 22, 2020 Zoltán Nagy , Guido Giese

    ESG Research , Emerging Markets , Global Investing

    Learn More

    The COVID-19 outbreak is the first real-world test since the 2008 global financial crisis of the resilience of companies with high MSCI ESG Ratings. We analyze the performance of four standard MSCI ESG Indexes over Q1 2020 and longer periods.

  53. BLOG

    新冠疫情期间的 MSCI ESG 指数 

    Apr 22, 2020 Zoltán Nagy , Guido Giese

    ESG Research , Emerging Markets , Global Investing

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    在新冠疫情的恐慌抛售期间以及更长时期内,我们将四个全球 MSCI ESG 指数与其母指数进行了比较。

  54. BLOG

    US inflation: The market’s implied view 

    Apr 21, 2020 Andy Sparks , Greg Scheuer

    Fixed Income , Risk Management

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    Dramatic declines in oil prices, the Federal Reserve’s aggressive monetary policy and higher fiscal deficits may create a confusing outlook for U.S. inflation. We examine what the market is telling us about where inflation may be heading.

  55. BLOG

    Resilient stocks during the dog days of March 

    Apr 17, 2020 Mehdi Alighanbari

    Factor Investing , Factor Indexes , Factors

    Learn More

    While many stocks were in the red in mid-March, as COVID-19 and oil-market shocks took hold, some were “redder” than others. We examine global markets to better understand the characteristics of the more resilient stocks during this period.

  56. BLOG

    Can diversification help weather the coronavirus storm? 

    Apr 16, 2020 Raina Oberoi , Abhishek Gupta , Jean-Maurice Ladure

    Emerging Markets , Factor Indexes , Factor Investing , Factors , Global Investing

    Learn More

    Whether investors include a tactical approach or invest strategically for the long term, diversifying across factors, sectors and geographies has historically played an important role in portfolio construction. 

  57. BLOG

    Could coronavirus depress US housing prices? 

    Apr 15, 2020 Yihai Yu , Joy Zhang

    Risk Management , Fixed Income

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    The large economic shocks unleashed by the coronavirus pandemic could be comparable to or even exceed those of the 2008 global financial crisis (GFC). We used our models to assess whether these shocks could hurt U.S. housing prices as much as the GFC did.

  58. BLOG

    Green bonds: Growing bigger and broader 

    Apr 14, 2020 Meghna Mehta

    ESG Research , Fixed Income , Global Investing

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    As the green-bond market matures, it is developing offshoots. The types of projects financed, as well as the emergence of innovative types of bonds and loans linked to the ESG targets, is growing. These initiatives may broaden the market for green investment options.

  59. BLOG

    Corporate-bond performance by factors and ESG 

    Apr 14, 2020 Hitendra D Varsani , Rohit Mendiratta

    ESG Research , Factor Indexes , Fixed Income , Risk Management

    Learn More

    The volatility seen in equity markets was also present among investment-grade corporate bonds,. We use factors and ESG ratings to dissect these bonds’ performance over Q1 2020.

  60. BLOG

    For target-date funds, hindsight was 40/60 

    Apr 9, 2020 Anil Rao

    ESG Research , Factor Indexes , Fixed Income , Risk Management

    Learn More

    Recent market volatility has been especially unkind to those closest to and early in retirement, as the sequence of returns matters for retirement income. Would low-volatility and ESG investments have benefited target date funds during volatile periods?

  61. BLOG

    Bond ETFs and underlying price uncertainty 

    Apr 8, 2020 Reka Janosik , András Bohák

    Risk Management , Fixed Income

    Learn More

    In the recent market meltdown, some fixed-income ETFs traded at discounts as high as 6% to net asset values, a level not seen since 2008. Could ETF prices deviate from the value of the underlying portfolio during market stress and leave investors exposed to losses on top of the falling bond prices?

  62. BLOG

    Quantifying ESG fund performance 

    Apr 6, 2020 Raina Oberoi , Guillermo Cano

    ESG Research , Factors

    Learn More

    One challenge facing investors is how to quantify the impact ESG has had on their investment process. We analyzed top ESG funds to better understand the contribution of the ESG factor to their performance.

  63. BLOG

    Will coronavirus reduce emissions long term? 

    Apr 3, 2020 Oliver Marchand , Nathan Faigle

    ESG Research , Global Investing

    Learn More

    Has COVID-19 affected carbon emissions? Using satellite imagery from NASA and the European Space Agency, we examined the empirical data so far to understand the potential impact, and if there may be a decline in global greenhouse-gas emissions in 2020.

  64. BLOG

    Factors in Focus: Risk sentiment and factor dynamics in a crisis 

    Apr 2, 2020 Hitendra D Varsani , Waman Virgaonkar , Rohit Mendiratta

    Factor Indexes , Factor Investing , Factors , Fixed Income

    Learn More

    We analyzed the market effects from COVID-19 and a Saudi Arabia/Russia oil-price war. We also examined – for the first time – credit factor performance. How did the quarter play out? What did our adaptive multi-factor model show as it ended?

  65. BLOG

    Could coronavirus lead to default contagion in CLOs? 

    Apr 1, 2020 Joy Zhang , Yini Yang

    Risk Management , Fixed Income

    Learn More

    The market for collateralized loan obligations is under severe stress during the COVID-19 pandemic. We used MSCI’s loan and CLO models to assess a sample CLO’s loan-default risk characteristics. Could a wave of defaults harm CLOs?

  66. BLOG

    The end of an era for the bond-equity relationship? 

    Mar 31, 2020 Chenlu Zhou , Peter Shepard

    Risk Management , Fixed Income

    Learn More

    Stock and bond prices dropped together during the recent coronavirus sell-off, leading to fears that U.S. Treasurys were no longer the safe haven they had been in previous crises. Did it mark the end of an era of flight to quality?

  67. BLOG

    Managing risk-model uncertainty through a crisis 

    Mar 27, 2020 Michael Hayes

    Risk Management

    Learn More

    The impact on risk policy has been similar across market crises, as investors consider how to use their models in the new regime. We describe adaptive modeling for internal and external risk policy, and long-view backtesting to support decision-making.

  68. BLOG

    ‘Nowcasting’ private equity in the coronavirus crisis 

    Mar 26, 2020 Peter Shepard , Yang Liu

    Risk Management

    Learn More

    What may be happening to the value of portfolios of private assets during the COVID-19 crisis? We used MSCI’s private-equity model, which integrates data on private assets from our partner Burgiss, to try to shed some light.

  69. BLOG

    How could coronavirus impact credit markets? 

    Mar 25, 2020 Juan Sampieri , Andy Sparks , Thomas Verbraken

    Risk Management , Fixed Income

    Learn More

    While newspaper headlines are focused on volatile stock markets stemming from the COVID-19 pandemic, credit markets are not immune. Our latest stress test asks, “What would it mean for portfolios if losses reached 2008 levels?”

  70. BLOG

    市场危机中的资产配置与指数期货 

    Mar 25, 2020 Zhen Wei , Shuo Xu , Wei Xu

    Emerging Markets , Global Investing , Risk Management

    Learn More

    机构投资者通常利用期货、期权等衍生品合约对冲市场风险,或在某些特定市场环境中表达投资观点。

  71. BLOG

    Asset allocation and index futures during market crises 

    Mar 25, 2020 Zhen Wei , Shuo Xu , Wei Xu

    Emerging Markets , Global Investing , Risk Management

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    During market crises, institutional investors have employed derivatives contracts to hedge market risks or express views on certain performance/risk characteristics. We explore prior use of futures for exposure management and tactical asset allocation.

  72. BLOG

    Updating the MSCI Agency MBS model for the COVID-19 crisis 

    Mar 24, 2020 Yihai Yu

    Fixed Income , Risk Management

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    The COVID-19 pandemic has severely strained U.S. housing finance, distorting near-term prepayment speeds for mortgage-backed securities. With MBS in uncharted territory, we updated the MSCI Agency MBS Model to help investors during the crisis.

  73. BLOG

    How coronavirus could hurt Chinese consumer ABS 

    Mar 20, 2020 Jian Chen , Yini Yang

    Risk Management , Global Investing , Fixed Income , Emerging Markets

    Learn More

    The slowing Chinese economy and trade uncertainty had already put strains on the performance of Chinese consumer asset-backed securities. The COVID-19 pandemic could further harm the performance of these securities. Investors may wish to gauge the risks.

  74. BLOG

    Integrating ESG in emerging markets and Asia 

    Mar 18, 2020 Zhen Wei

    ESG Research , Emerging Markets , Global Investing

    Learn More

    Previously, we have examined the relationship between ESG characteristics and financial performance in developed markets. In this blog post, we explore whether ESG characteristics  have had financially significant effects in emerging markets and Asia.

  75. BLOG

    将ESG融入新兴市场和亚洲市场 

    Mar 18, 2020 Zhen Wei

    ESG Research , Emerging Markets , Global Investing

    Learn More

    在我们研究的时间区间内,ESG 评级较高的股票在新兴市场和亚洲(日本除外)地区表现较好,整合ESG 提高了这些地区的回报。

  76. BLOG

    What scenarios has the US equity market priced in? 

    Mar 13, 2020 Peter Shepard , Andrea Amato , Chenlu Zhou

    Risk Management

    Learn More

    With the outbreak of the COVID-19 pandemic, the U.S. equity market turned sharply downward. We performed a reverse stress test considering various scenarios that potentially explain current valuations.

  77. BLOG

    Coronavirus and oil hit equities — how low can we go? 

    Mar 12, 2020 Dimitris Melas

    Risk Management , Global Investing

    Learn More

    We compare the market turmoil sparked by the coronavirus pandemic with levels of volatility, drawdown and recovery after 9/11 and the global financial crisis (the two other similarly severe economic and market shocks of the last 20 years).

  78. BLOG

    Have corporate green bonds offered lower yields? 

    Mar 10, 2020 Zach Tokura

    ESG Research , Risk Management , Fixed Income

    Learn More

    Green bonds tended to offer lower yields than comparable non-green corporate bonds. What could explain green bonds’ lower yields? And is there any relationship between green-bond issuers’ environmental scores and bond yields?

  79. BLOG

    Coronavirus and a potential MBS convexity whipsaw 

    Mar 6, 2020 Yihai Yu

    Risk Management

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    Amid rising fears that the human toll of coronavirus will have a significant impact on the global economy, investors have sought safety in Treasurys and driven yields to all-time lows. This rate rally has posed a hedging challenge for investors in mortgage-backed securities.

  80. BLOG

    The coronavirus market impact spreads globally 

    Mar 5, 2020 Jun Wang , Jay Yao , George Bonne

    Factor Investing , Global Investing

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    Fear of a coronavirus pandemic and ensuing economic impacts caused sharp drops in global markets after an initially mild response. We look at recent performance from a factor perspective and how quickly factor returns and volatility reverted in past crises.

  81. BLOG

    A coronavirus stress test for global markets 

    Mar 4, 2020 Thomas Verbraken , Chenlu Zhou , Juan Sampieri

    Fixed Income , Global Investing , Risk Management

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    After the coronavirus spread to multiple continents, markets recorded the worst week since the crisis. How much further could markets drop if epidemic turns into pandemic? Our stress test indicates room for further losses.

  82. BLOG

    Navigating market volatility with agency MBS models 

    Feb 26, 2020 David Zhang

    Fixed Income , Risk Management

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    We performed our annual review of MSCI’s model for managing prepayment and interest-rate risk in agency mortgage-backed securities. How closely did the model’s forecasts anticipate what we observed in the market?

  83. BLOG

    ESG and the cost of capital 

    Feb 25, 2020 Ashish Lodh

    ESG Research , Global Investing , Emerging Markets

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    We know a lot about the relationship between companies’ ESG characteristics and financial performance. But was there a correlation between ESG scores and cost of capital?

  84. BLOG

    The coronavirus epidemic: Implications for markets 

    Feb 12, 2020 Zhen Wei , Jun Wang , Thomas Verbraken

    Economic Exposure , Emerging Markets , Factor Investing , Fixed Income , Global Investing , Risk Management

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    The toll from the coronavirus has been felt throughout societies, leading to repercussions on the global economy and financial markets. We examine investor impact through markets’ economic exposures to China and factors and by stress testing portfolios.

  85. BLOG

    How climate change may ‘flood’ global equities 

    Feb 5, 2020 David Lunsford , Boris Prahl

    ESG Research , Emerging Markets

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    Of all the threats to the environment from climate change, sea-level rise may be one of the most devastating and permanent. The question for global equity investors is how coastal-flooding risks may affect their portfolios.

  86. BLOG

    Aramco IPO shows importance of timely index inclusion 

    Feb 4, 2020 Saurabh Katiyar

    Emerging Markets , Global Investing

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    Saudi Aramco’s IPO showed why single-country index providers may sometimes need to include companies (especially larger ones) outside of scheduled reviews, as they work to bridge gaps between a country’s equity index exposure and economic drivers.

  87. BLOG

    Did private capital deliver? 

    Jan 30, 2020 Yang Liu , Oleg Ruban

    Global Investing

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    Private-capital funds enjoyed record inflows from 2014 to 2018, as asset owners sought high-returning assets that had low correlations to traditional public asset classes. Did private capital deliver?

  88. BLOG

    Trade deal broadened access to China’s nonperforming loans 

    Jan 29, 2020 Jian Chen , Yini Yang

    Risk Management , Fixed Income , Global Investing , Emerging Markets

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    The phase-one U.S.-China trade deal lets U.S. asset managers acquire nonperforming loans directly from Chinese banks. We assess the market’s characteristics, as investors face challenges estimating recovery rates and liquidation timing of these loans.

  89. BLOG

    Did corporate-credit factors offer a risk-return edge? 

    Jan 24, 2020 Hitendra D Varsani , Rohit Mendiratta

    Factor Indexes , Factor Investing , Factors , Fixed Income , Risk Management

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    Factors have gained popularity in equity investing for providing insight into the key drivers of portfolio risk and returns. Did tilting hypothetical fixed-income portfolios toward some bond-specific factors benefit investors?

  90. BLOG

    Counterparty credit risk and the initial-margin big bang 

    Jan 22, 2020 Benedek Skublics

    Risk Management

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    A forthcoming global regulatory standard will require derivatives users to estimate mandatory initial margin on their portfolios. The choice of model methodology may have a significant impact on this calculation.

  91. BLOG

    MBS prepayment in 2020: Looking back, looking ahead 

    Jan 21, 2020 Yihai Yu

    Fixed Income , Risk Management

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    Drawing on two decades of U.S. data on MBS prepayment and borrower incentives to refinance, we used our model to look at three potential prepayment themes for 2020.

  92. BLOG

    Factors in Focus: Will 2020 vision sharpen exposures? 

    Jan 6, 2020 Waman Virgaonkar , Hitendra D Varsani

    Factor Indexes , Factor Investing , Factors

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    Some global equity markets reached all-time highs and experienced limited bouts of volatility over the course of 2019. But underneath the calm surface, we saw a high degree of dispersion among factors and sectors.

  93. BLOG

    Synthetic CDOs: Back in vogue but not without risk 

    Dec 13, 2019 Gabor Almasi

    Fixed Income , Risk Management

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    As credit spreads have gradually declined, investors have increasingly been focusing their attention on more complex instruments including synthetic Collateralized Debt Obligations in the search for yield. However, the risks of these investments — including the senior tranches — should not be overlooked.

  94. BLOG

    Looking to the futures of emerging markets 

    Dec 11, 2019 Hitendra D Varsani

    Global Investing , Risk Management , Economic Exposure , Emerging Markets

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    Emerging-market (EM) equities have delivered unique risk and return characteristics over the last 30 years. Are futures on EM stocks a liquid enough means to gain exposure during normal and stressed conditions?

  95. BLOG

    Has global sovereign rates momentum headed in reverse? 

    Dec 6, 2019 Andrew DeMond

    Risk Management , Fixed Income

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    Momentum can be an important factor in sovereign-rates markets. But investors concerned with exposures to short-term rate movements in global bond markets may wish to ask themselves whether the trend is indeed their friend.

  96. BLOG

    Emerging markets since China A shares’ inclusion 

    Dec 5, 2019 Zhen Wei

    Global Investing

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    The emerging-market (EM) equity segment has evolved substantially during the two and a half years since MSCI announced the inclusion of China A shares in the MSCI Emerging Markets Index.

  97. BLOG

    The value of standards in the investment process 

    Dec 2, 2019 Guillermo Cano

    Global Investing

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    Standards can establish a common language and provide clarity among market participants. We examine three to see how they can help evaluate returns, quantify factor exposures and measure the impact of changes in sector and industry trends.

  98. BLOG

    Are EU corporate bonds all alike? 

    Nov 27, 2019 Hamed Faquiryan

    Economic Exposure , Fixed Income , Risk Management

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    The integration of the eurozone’s economy may tempt investors to view corporate debt issued by European companies as undifferentiated. On average, this view has seemed correct — but not always durings times of market stress.

  99. BLOG

    Factors behind value’s underperformance 

    Nov 22, 2019 Leon Roisenberg

    Factor Indexes , Factor Investing , Factors

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    As the relationship between U.S. value factors’ exposures and returns deteriorated over the last decade, U.S. momentum’s return patterns improved. We examine the value-momentum relationship and contributions of other style factors to value’s performance.

  100. BLOG

    Something for nothing? Increasing bond duration may not increase portfolio risk 

    Nov 20, 2019 Andy Sparks , Juan Sampieri

    Fixed Income , Risk Management

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    Asset allocators may consider lengthening the duration of their bond portfolios to prepare for a potential recession in the U.S. But could duration extension push risk above target thresholds? Maybe not.

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