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Showing 11 - 18 of 18 entries

  1. BLOG

    Considerations for Dedicated China Equity Allocations 

    Mar 18, 2021 Zhen Wei , Wei Zhen

    Emerging Markets , Global Investing

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    China provides global equity investors a unique set of opportunities and challenges as they evaluate a potential dedicated investment program and how to approach asset allocation from policy configuration to portfolio implementation.

  2. BLOG

    Managing the Risks of LIBOR Replacement 

    Mar 17, 2021 Greg Scheuer , Maks Oks

    Fixed Income , Risk Management , Global Investing

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    Investors now have clarity on the process of transitioning away from LIBOR and falling back on replacement benchmark rates. We used stress tests to show that fallback modeling may be necessary to measure and manage the risks of LIBOR instruments.

  3. How much does ESG contribute to portfolio risk and return? We looked at whether ESG performance was influenced by other factors or helped explain returns as a factor in its own right, using the MSCI Global Equity Factor Model + ESG.

  4. BLOG

    Finding the Sentiment Hidden in Regulatory Filings 

    Feb 24, 2021 Vipul Jain , Kunal Jha

    Factor Investing

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    Using natural language processing techniques, we constructed a sentiment factor that quantifies changes in the tone and content of company filings, and may be an indicator of future risks facing a company.

  5. BLOG

    Currency-Risk Hedging in Real Estate Benchmarks 

    Feb 22, 2021 Bert Teuben , Lionel Ebener , Chirag Gosar

    Real Estate Investing , Risk Management , Global Investing

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    Global real estate investors can expose themselves to currency risk. Using a hedged index, they may better align their benchmark and investment approach and ensure currency risk is accurately treated in allocation modeling and performance attribution.

  6. BLOG

    A New COVID-19 Regime for MBS? 

    Feb 17, 2021 Yihai Yu , Miklós Vörös

    Fixed Income , Integrated Risk Management

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    In 2020, the Federal Reserve’s purchases of mortgage-backed securities, low interest rates, mortgage-underwriting policy changes and technology advancements led to a historic refinance frenzy and posed an unprecedented challenge for MBS risk management.

  7. BLOG

    Cross-Currency Credit Spreads: Mind the Gap 

    Feb 8, 2021 Michael Hayes , Zach Tokura

    Fixed Income , Risk Management

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    An issuer’s credit spread should be consistent when measured in the USD- or EUR-denominated markets, because both are measuring the same credit risk. Yet divergence can occur as a result of liquidity or supply-demand imbalances, such as those in the COVID crisis.

  8. BLOG

    Carrying on Through a Crisis, with Factors 

    Jan 13, 2021 Andrew DeMond , Manuel Rueda

    Factor Investing , Risk Management , Fixed Income

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    Factors have long had a place in constructing equity portfolios, but investors increasingly use factors in sovereign and corporate bonds, commodities and currencies. Which non-equity factors have been the best performers coming out of recent crises, and why?

Showing 11 - 18 of 18 entries