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  1. 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?

  2. BLOG

    ‘Nowcasting’ private equity in the coronavirus crisis 

    Mar 26, 2020 Peter Shepard , Yang Liu

    Risk Management

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    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.

  3. BLOG

    What scenarios has the US equity market priced in? 

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

    Risk Management

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    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.

  4. BLOG

    Are rates and equities losing their balance? 

    Sep 16, 2019 Peter Shepard

    Fixed Income , Models/Client Cases

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    For most of the past two decades, a benevolent relationship between bonds and equity has prevailed as a central pillar of asset allocation. Falling equity markets consistently coincided with falling interest rates, providing an effective hedge between bond and equity allocations. Now, talk of weaker central-bank policy or a risk of deflation has many asset allocators focused on the future of the rates-equity correlation. 

  5. BLOG

    Factor investing goes multi-asset class 

    Dec 11, 2018 Peter Shepard

    Factor Indexes , Factors , Factor Investing

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    Factor investing is now going multi-asset class: to factor-based asset allocation and systematic strategy factors that push beyond equity selection.