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Showing 11 - 20 of 23 entries

  1. 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.

  2. BLOG

    Is There a Hedge-Fund-Crowding Factor? 

    Mar 10, 2021 Howard Zhang , George Bonne

    Factor Investing

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    Hedge funds held heavy, relatively illiquid short positions in crowded stocks before the January 2021 short squeeze. We created a risk factor that added explanatory power and may provide insights into potential short squeezes and other risks.

  3. BLOG

    Are Growth and Value Indexes Still in Style? 

    Mar 9, 2021 Guillermo Cano , Abhishek Gupta

    Factor Investing , Risk Management , Global Investing

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    Growth and value indexes were created in the 1980s as finer tools than market-cap indexes to measure the performance of growth and value funds. Are style-specific indexes still a relevant choice to use as benchmarks for these funds?

  4. 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.

  5. 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.

  6. 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.

  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

    An ‘ESG-First’ Approach to Portfolio Construction 

    Jan 19, 2021 Jean-Maurice Ladure , Ashish Lodh

    ESG Research

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    A new administration in the U.S. and ESG-related regulations in Europe may further increase investors’ sustainability focus. We examine an “ESG-first” approach to integrating measurable ESG and climate considerations into portfolios.

  9. 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?

  10. BLOG

    Factors in Focus: Val-come Back! Shifting Factors as the Cycle Turns 

    Jan 6, 2021 Waman Virgaonkar , Hitendra D Varsani , Hitendra Varsani

    Factor Investing

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    In this two-year-anniversary edition of Factors in Focus, we reflect on the historical relationships between factor returns and macro cycles, which have provided useful information for investors looking to take an active stance on factor exposures based on their outlook.

Showing 11 - 20 of 23 entries