Extended-lister
-
经过数十年的快速经济增长,中国开始将发展重点从出口和固定资产投资转移到国内消费和技术创新。
-
The universe of stocks represented by the MSCI USA Index comprises over 600 securities. U.S. investors might assume there are ample opportunities for diversification and potential risk reduction in the domestic market. Is this assumption correct?
-
Since the global financial crisis, many have expressed concern about the health and future of credit-default swaps. Could institutional investors find the liquidity they need to hedge credit risk in subsequent periods? We examine CDS liquidity during the COVID-19 crisis.
-
BLOG
Stress Testing Multiperiod Inflation Scenarios
Nov 19, 2020 Monika Szikszai , Thomas VerbrakenFixed Income , Risk Management
Learn MoreWill inflation rear its ugly head in the U.S.? Although the outcome of the U.S. elections might have lowered inflation expectations, investors can prepare for scenarios where inflation goes up. In this stress test, we examine three scenarios for inflation over varying time horizons.
-
BLOG
Investor Reaction to US Elections and COVID-Vaccine Progress
Nov 18, 2020 Dimitris Melas , David Lunsford , Andy SparksFactor Investing , Risk Management , ESG Research
Learn MoreTo gauge investor expectations after Joe Biden was declared winner of the U.S. election and good news broke about COVID vaccines, we surveyed 151 U.S.-based financial advisers. We examine the advisers’ views on the next 12 months and markets’ reaction since Election Day.
-
BLOG
Did Size Matter for Small-Cap Outperformance?
Nov 16, 2020 Roman KouzmenkoFactor Indexes , Factor Investing , Factors
Learn MoreGood vaccine news on Nov. 9 drove unusual equity-index and factor returns, including in small caps. The MSCI USA Small Cap Index returned 3.03% that day vs. 0.82% for the MSCI USA Index. Was this due to the size factor, or was there a bigger story?
-
Positive vaccine news on Nov. 9 caused big moves in industry and style factors. Those hit hardest this year jumped, while previous high performers slumped. Did this mark new factors leadership and a long-awaited rotation from momentum to value?
-
BLOG
Chinese Government Bonds: Higher Yield, Less Risk?
Nov 12, 2020 Greg Recine , Juan Sampieri , Andy SparksGlobal Investing , Risk Management
Learn MoreGlobal investors’ interest in Chinese government bonds has risen, as these bonds offer higher yields than developed-market sovereign debt. For investors thinking about adding Chinese bonds to their portfolios, what could be the impact on portfolio risk?
-
BLOG
What ESG Ratings Tell Us About Corporate Bonds
Nov 11, 2020 Rohit Mendiratta , Hitendra D Varsani , Guido GieseESG Research , Risk Management
Learn MoreHow did incorporating ESG factors affect the performance of corporate-bond portfolios? Did ESG add insights beyond credit ratings? How did ESG impact risk and performance of investment-grade and high-yield bonds? Short-dated versus long-dated bonds?
-
BLOG
ESG 评级告诉我们有关公司债券的哪些信息?
Nov 11, 2020 Rohit Mendiratta , Hitendra D Varsani , Guido GieseESG Research , Risk Management
Learn More我们探讨了将环境、社会和治理相关(ESG)因素纳入考量,对公司债券投资组合风险和表现的影响。
-
BLOG
Will Interest Rates Surge? Evidence from Options Markets
Nov 3, 2020 Greg Scheuer , Andy SparksFixed Income , Risk Management
Learn MoreWith long-term interest rates near record lows, conventional wisdom suggests that they can only go up. But the interest-rate option markets seem to be telling a different story — that rate decreases are also a distinct possibility.
-
BLOG
China A Shares: What Have We Learned?
Oct 30, 2020 Zhen WeiEmerging Markets , Global Investing
Learn MoreIn this first of a series of blogs covering specific index-inclusion stories, we explore China A shares’ inclusion in the MSCI Emerging Markets Index by looking back at how it occurred and what’s happened since with market and investor reaction.
-
BLOG
Was Infrastructure Solid During COVID-19?
Oct 27, 2020 Will Robson , Niel HarmseReal Estate Investing , Risk Management
Learn MoreInfrastructure investments have not been spared the effects of the pandemic. A closer look across investment types, subsectors and risk levels over time may provide useful perspective as private-capital firms and their investors manage through.
-
BLOG
Aligning with the Paris Agreement: An Index Approach
Oct 22, 2020 Stuart Doole , Véronique Menou , Kumar NeerajESG Research , Global Investing
Learn MoreInstitutional investors are under pressure to align their strategies with a maximum global temperature increase of 1.5oC as targeted by the Paris Agreement. We examine how they can approach this while respecting other investment constraints.
-
BLOG
Is US Equity Overvalued? A Macro View
Oct 19, 2020 Chenlu ZhouEquity Themes , Risk Management
Learn MoreHeaded 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.
-
BLOG
How Portfolio-Weighting Schemes Affected Factor Exposures
Oct 15, 2020 Abhishek Gupta , Ashish Lodh , Subhajit BarmanFactor Investing , Factor Indexes , Factors , Risk Management
Learn MoreSingle-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.
-
BLOG
Using Factors As a Magnifying Glass for Equities
Oct 14, 2020 Donald SzeFactor Indexes , Factor Investing , Factors
Learn MoreFactors 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.
-
BLOG
Factors in Focus: Impact of Inflation on Style Factors
Oct 2, 2020 Hitendra D Varsani , Waman VirgaonkarFactor Investing , Global Investing , Risk Management
Learn MoreGlobal 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
-
BLOG
Hertz So Good?
Sep 30, 2020 Hamed Faquiryan , Manuel RuedaFixed Income , Risk Management
Learn MoreWe 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.
-
BLOG
Can MBS Duration Turn Negative?
Sep 29, 2020 Yihai YuFixed Income , Risk Management
Learn MoreAs 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?
-
BLOG
Stress Testing Inflation Scenarios
Sep 24, 2020 Thomas Verbraken , Daniel SzaboFixed Income , Risk Management
Learn MoreMarket-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.
-
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.
-
BLOG
Assessing Company Alignment with UN SDGs
Sep 14, 2020 Olga EmelianovaESG Research , Global Investing
Learn MoreFive 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.
-
BLOG
Missed Rents’ Impact on Real Estate
Sep 11, 2020 Bryan Reid , Niel HarmseReal Estate Investing , Fixed Income
Learn MoreSome 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.
-
BLOG
How to Describe a Factor
Sep 10, 2020 Abhishek Gupta , Ashish Lodh , Subhajit BarmanFactor Indexes , Factor Investing , Factors
Learn MoreHow 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.
-
BLOG
Are Securitized Products Ready for the LIBOR-SOFR Transition?
Sep 2, 2020 Joy Zhang , Yihai YuFixed Income , Integrated Risk Management
Learn MoreWill 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.
-
BLOG
ESG in Mexico: At a Fork in the Road?
Aug 27, 2020 Mario López-AlcaláESG Research , Emerging Markets , Global Investing
Learn MoreMexican 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.
-
BLOG
Alternative Views of Equity-Market Liquidity During COVID-19
Aug 26, 2020 Saurabh Katiyar , Reil Abucay , Chirag GosarEmerging Markets , Global Investing , Risk Management
Learn MoreInstitutional 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.
-
BLOG
Hedging Inflation: A Scorecard
Aug 26, 2020 Juan Sampieri , Andy SparksIntegrated Risk Management , Fixed Income , Global Investing , Risk Management
Learn MoreAggressive 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.
-
BLOG
Understanding the Industry-Momentum Factor
Aug 19, 2020 Alex Johnson , Simon MinovitskyFactor Investing , Risk Management , Global Investing
Learn MoreWhen 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?
-
BLOG
Growth Without the Side Effects
Aug 17, 2020 Mehdi AlighanbariFactor Indexes , Factor Investing , Factors
Learn MoreGrowth 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.
-
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.
-
BLOG
Index Futures and the Expansion of Equity Markets in EM and Asia
Aug 4, 2020 Zhen WeiGlobal Investing , Emerging Markets
Learn MoreGiven 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.
-
BLOG
Did Bonds Deliver? Leveraging Fixed Income During the COVID Crisis
Jul 29, 2020 Juan Sampieri , Andy SparksFixed Income , Risk Management
Learn MoreInvestors 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.
-
BLOG
Corporate Bonds Through a Factor and ESG Lens
Jul 20, 2020 Rohit Mendiratta , Hitendra D VarsaniESG Research , Factor Indexes , Factor Investing , Factors , Fixed Income , Risk Management
Learn MoreCOVID-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?
-
BLOG
Managing Climate Risk in Equity Portfolios: A Case Study
Jul 15, 2020 Bruno Rauis , Zoltán NagyESG Research , Global Investing
Learn MoreInstitutional 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?
-
BLOG
Measuring Firms’ Remote-Workforce Abilities
Jul 14, 2020 Howard Zhang , Daniel R. Barrera , Manuel Rueda Learn MoreIt’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.
-
BLOG
Up in Smoke? Brazil’s Wildfires May Affect Bond Spreads
Jul 10, 2020 Mario López-Alcalá , Hamed FaquiryanESG Research , Fixed Income , Risk Management
Learn MoreClearing 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?
-
BLOG
Would Integrating ESG in Chinese Equities Have Worked?
Jul 7, 2020 Naoya Nishimura , Shuo XuESG Research , Emerging Markets , Global Investing
Learn MoreESG 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?
-
BLOG
将 ESG 融入到中国股票的成效如何?
Jul 7, 2020 Naoya Nishimura , Shuo XuESG Research , Emerging Markets , Global Investing
Learn More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。
-
BLOG
Factors in Focus: How Trendy Is Your Style Factor?
Jul 6, 2020 Hitendra D Varsani , Waman Virgaonkar , Rohit MendirattaFactor Investing , Risk Management
Learn MoreAs 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.
-
BLOG
Surging Corporate-Bond Supply: Reason to Worry?
Jul 1, 2020 Andy Sparks , Gergely SzalkaFixed Income , Risk Management
Learn MoreIn 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.
-
BLOG
Did Value-Factor Exposure Deliver for Value Funds?
Jun 29, 2020 Saurabh Katiyar , Ashish Lodh , Vishad BhalodiaFactor Investing , Global Investing
Learn MoreBuilding 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.
-
BLOG
ESG Ratings: How the Weighting Scheme Affected Performance
Jun 29, 2020 Zoltán Nagy , Linda-Eling Lee , Guido GieseGlobal Investing , ESG Research
Learn MoreOur 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?
-
BLOG
Short Interest Factor Performance in Times of Crisis
Jun 24, 2020 Vipul Jain , Roman Kouzmenko Learn MoreGiven 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?
-
BLOG
COVID-19 and Real Estate: The Devil Is in the Dispersion
Jun 23, 2020 Fritz Louw , Niel HarmseReal Estate Investing , Risk Management
Learn MoreMany 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.
-
BLOG
Which ESG Issues Mattered Most? Defining Event and Erosion Risks
Jun 22, 2020 Guido Giese , Zoltán Nagy , Linda-Eling LeeGlobal Investing , ESG Research
Learn MoreVery 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?
-
BLOG
Is ESG All About the ‘G’? That Depends on Your Time Horizon.
Jun 15, 2020 Linda-Eling Lee , Guido Giese , Zoltán NagyGlobal Investing , ESG Research
Learn MoreThe 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.
-
BLOG
Consumer ABS: Recovering from Coronavirus?
Jun 11, 2020 Yini Yang , Jian Chen , Joy ZhangRisk Management , Fixed Income
Learn MoreAfter 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.
-
BLOG
Equity-Market Dislocation and Index-Based Investing
Jun 3, 2020 Shuo Xu , Zhen WeiEmerging Markets , Global Investing
Learn MoreMarket 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.
-
BLOG
Outcome-Oriented Factor Investing with a ‘Barbell’ Approach
Jun 1, 2020 Zhen Wei , Shuo XuFactor Indexes , Factor Investing , Global Investing
Learn MoreThough 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.
-
BLOG
Can AI Model the Complexities of MBS Prepayment?
May 29, 2020 Joy Zhang , Yini YangFixed Income , Risk Management
Learn MoreMachine 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?
-
BLOG
Building Better ESG Indexes: 30 Years On
May 27, 2020 Stuart DooleGlobal Investing , ESG Research
Learn MoreHow 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.
-
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.
-
BLOG
Four COVID-19 Scenarios: What Might Happen Next?
May 21, 2020 Thomas Verbraken , Juan SampieriFixed Income , Risk Management
Learn MoreOur 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.
-
BLOG
Five lessons for investors from the COVID-19 crisis
May 19, 2020 Dimitris MelasESG Research , Factors , Global Investing
Learn MoreCOVID-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.
-
BLOG
Using Risk Analytics to Highlight Opportunities in Volatile Markets
May 18, 2020 Michael HayesRisk Management , Fixed Income
Learn MoreRisk 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.
-
BLOG
Index Rebalancing During High Volatility: A Balancing Act
May 13, 2020 Abhishek Gupta , Pavlo Taranenko , Sebastien LieblichGlobal Investing , Emerging Markets
Learn MoreSignificant 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.
-
BLOG
Consumer ABS Under Coronavirus in the US and China
May 11, 2020 Yini Yang , Jian Chen , Joy ZhangEmerging Markets , Fixed Income , Global Investing , Risk Management
Learn MoreBeyond 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?
-
BLOG
How Hedge Funds Navigated the Start of COVID-19 Volatility
May 8, 2020 Donald Sze , Navneet KumarFactor Investing , Factors , Risk Management
Learn MoreHow 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.
-
BLOG
Credit in the COVID Crisis: Contagion, Valuation, Default
May 6, 2020 Hamed Faquiryan , Reka Janosik , Andras RokobFixed Income , Risk Management
Learn MoreAs 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.
-
BLOG
Was the Treasury Price Right? Yield Dispersion Amid COVID-19
May 5, 2020 Alfredo Bequillard , Greg RecineFixed Income , Risk Management
Learn MoreDespite 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.
-
BLOG
Using Derivatives to Manage Volatile Markets
May 4, 2020 Hitendra D Varsani , Rohit MendirattaEmerging Markets , Global Investing , Risk Management
Learn MoreWe’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?
-
BLOG
Hunting a COVID-19 factor
Apr 29, 2020 George Bonne , Jun WangFactor Indexes , Factor Investing , Factors
Learn MoreCan 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.
-
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?
-
BLOG
MSCI ESG Indexes during the coronavirus crisis
Apr 22, 2020 Zoltán Nagy , Guido GieseESG Research , Emerging Markets , Global Investing
Learn MoreThe 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.
-
BLOG
新冠疫情期间的 MSCI ESG 指数
Apr 22, 2020 Zoltán Nagy , Guido GieseESG Research , Emerging Markets , Global Investing
Learn More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。
-
BLOG
US inflation: The market’s implied view
Apr 21, 2020 Greg Scheuer , Andy SparksFixed Income , Risk Management
Learn MoreDramatic 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.
-
BLOG
Resilient stocks during the dog days of March
Apr 17, 2020 Mehdi AlighanbariFactor Investing , Factor Indexes , Factors
Learn MoreWhile 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.
-
BLOG
Can diversification help weather the coronavirus storm?
Apr 16, 2020 Raina Oberoi , Abhishek Gupta , Jean-Maurice LadureEmerging Markets , Factor Indexes , Factor Investing , Factors , Global Investing
Learn MoreWhether 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.
-
BLOG
Could coronavirus depress US housing prices?
Apr 15, 2020 Yihai Yu , Joy ZhangRisk Management , Fixed Income
Learn MoreThe 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.
-
BLOG
Green bonds: Growing bigger and broader
Apr 14, 2020 Meghna MehtaESG Research , Fixed Income , Global Investing
Learn MoreAs 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.
-
BLOG
Corporate-bond performance by factors and ESG
Apr 14, 2020 Rohit Mendiratta , Hitendra D VarsaniESG Research , Factor Indexes , Fixed Income , Risk Management
Learn MoreThe 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.
-
BLOG
For target-date funds, hindsight was 40/60
Apr 9, 2020 Anil RaoESG Research , Factor Indexes , Fixed Income , Risk Management
Learn MoreRecent 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?
-
BLOG
Bond ETFs and underlying price uncertainty
Apr 8, 2020 András Bohák , Reka JanosikRisk Management , Fixed Income
Learn MoreIn 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?
-
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.
-
BLOG
Will coronavirus reduce emissions long term?
Apr 3, 2020 Oliver Marchand , Nathan FaigleESG Research , Global Investing
Learn MoreHas 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.
-
BLOG
Factors in Focus: Risk sentiment and factor dynamics in a crisis
Apr 2, 2020 Waman Virgaonkar , Rohit Mendiratta , Hitendra D VarsaniFactor Indexes , Factor Investing , Factors , Fixed Income
Learn MoreWe 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?
-
BLOG
Could coronavirus lead to default contagion in CLOs?
Apr 1, 2020 Joy Zhang , Yini YangRisk Management , Fixed Income
Learn MoreThe 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?
-
BLOG
The end of an era for the bond-equity relationship?
Mar 31, 2020 Peter Shepard , Chenlu ZhouRisk Management , Fixed Income
Learn MoreStock 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?
-
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.
-
BLOG
‘Nowcasting’ private equity in the coronavirus crisis
Mar 26, 2020 Yang Liu , Peter Shepard Learn MoreWhat 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.
-
BLOG
How could coronavirus impact credit markets?
Mar 25, 2020 Juan Sampieri , Andy Sparks , Thomas VerbrakenRisk Management , Fixed Income
Learn MoreWhile 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?”
-
BLOG
Asset allocation and index futures during market crises
Mar 25, 2020 Shuo Xu , Wei Xu , Zhen WeiEmerging Markets , Global Investing , Risk Management
Learn MoreDuring 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.
-
BLOG
市场危机中的资产配置与指数期货
Mar 25, 2020 Shuo Xu , Wei Xu , Zhen WeiEmerging 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。
-
BLOG
Updating the MSCI Agency MBS model for the COVID-19 crisis
Mar 24, 2020 Yihai YuFixed Income , Risk Management
Learn MoreThe 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.
-
BLOG
How coronavirus could hurt Chinese consumer ABS
Mar 20, 2020 Yini Yang , Jian ChenRisk Management , Global Investing , Fixed Income , Emerging Markets
Learn MoreThe 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.
-
BLOG
Integrating ESG in emerging markets and Asia
Mar 18, 2020 Zhen WeiESG Research , Emerging Markets , Global Investing
Learn MorePreviously, 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.
-
BLOG
将ESG融入新兴市场和亚洲市场
Mar 18, 2020 Zhen WeiESG 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。
-
BLOG
What scenarios has the US equity market priced in?
Mar 13, 2020 Peter Shepard , Andrea Amato , Chenlu Zhou Learn MoreWith 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.
-
BLOG
Coronavirus and oil hit equities — how low can we go?
Mar 12, 2020 Dimitris MelasRisk Management , Global Investing
Learn MoreWe 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).
-
BLOG
Have corporate green bonds offered lower yields?
Mar 10, 2020 Zach TokuraESG Research , Risk Management , Fixed Income
Learn MoreGreen 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?
-
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.
-
BLOG
The coronavirus market impact spreads globally
Mar 5, 2020 Jun Wang , Jay Yao , George BonneFactor Investing , Global Investing
Learn MoreFear 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.
-
BLOG
A coronavirus stress test for global markets
Mar 4, 2020 Juan Sampieri , Thomas Verbraken , Chenlu ZhouFixed Income , Global Investing , Risk Management
Learn MoreAfter 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.
-
BLOG
Navigating market volatility with agency MBS models
Feb 26, 2020 David ZhangFixed Income , Risk Management
Learn MoreWe 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?
-
BLOG
ESG and the cost of capital
Feb 25, 2020 Ashish LodhESG Research , Global Investing , Emerging Markets
Learn MoreWe 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?
-
BLOG
The coronavirus epidemic: Implications for markets
Feb 12, 2020 Jun Wang , Zhen Wei , Thomas VerbrakenEconomic Exposure , Emerging Markets , Factor Investing , Fixed Income , Global Investing , Risk Management
Learn MoreThe 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.
-
BLOG
How climate change may ‘flood’ global equities
Feb 5, 2020 Boris Prahl , David LunsfordESG Research , Emerging Markets
Learn MoreOf 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.
-
BLOG
Aramco IPO shows importance of timely index inclusion
Feb 4, 2020 Saurabh KatiyarEmerging Markets , Global Investing
Learn MoreSaudi 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.