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Housing-Bubble Déjà Vu 

Risk Management

The U.S. in the past year recorded the highest national house-price appreciation in recent decades. Does the run-up in home prices represent housing-bubble déjà vu? And what can MBS investors do to assess their mortgage credit risk?

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Assessing Private Infrastructure in a Multi-Asset-Class Portfolio 

Real Estate Investing , Risk Management

Private infrastructure is a popular element of institutional capital allocations, and increased focus on renewable or carbon-neutral infrastructure may mean significant new investment opportunities. What role could it play in a multi-asset-class portfolio?

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Managing Against MBS Indexes: A Duration Perspective 

Fixed Income , Risk Management

Mortgage-backed securities constitute a significant portion of fixed-income indexes. Managing MBS portfolios against these indexes depends heavily on an understanding of the dynamics of MBS duration, especially in volatile markets.

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Credit Strategies During the COVID-19 Crisis 

Fixed Income , Risk Management

Short-term credit spreads widened to a greater extent than long-term spreads during the March 2020 COVID-19 crisis. As a result, many U.S. corporate-issuer spread curves flattened or even inverted. What were the implications for corporate-bond investors?

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What Could a Rate Hike Mean for Portfolios? 

Fixed Income , Risk Management

Although the Federal Reserve may not begin raising rates anytime soon, U.S. and global markets are scrutinizing the Fed’s communications about the likely course of policy actions. We consider three scenarios for the timing of policy responses.

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How Might Inflation Impact Funding Ratios? 

Risk Management

We analyzed two multiperiod inflation scenarios to understand how the funding ratios of defined-benefit pension funds could evolve in each and what they could mean for a pension fund in terms of special contributions over the next 10 years.

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What Can Liquidity Tell Us About ETF Prices? 

Integrated Risk Management , Risk Management

As thematic equity ETFs have grown in popularity, concerns have been raised about their liquidity — especially when an ETF holds a large fraction of a constituent’s shares. How can ETF investors get a handle on this risk? 

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What Can Loan-Level Data Reveal About US Auto-Loan ABS? 

Fixed Income , Risk Management

U.S. regulators required issuers by Nov. 23, 2016, to disclose data on individual loans bundled into auto-loan asset-backed securities. We looked at whether incorporating loan-level data into our model could sharpen our analysis of this ABS segment.

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Bitcoin: Good as Gold? 

Factors , Risk Management

During inflationary periods, equity investors, historically, have turned to gold as a hedge and diversifier. As the issue of inflation becomes more pressing, we ask whether cryptocurrencies, such as Bitcoin, could have played a similar role.

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Real Estate’s Climate-Transition Risk: The Path to Net-Zero 

Real Estate Investing , Risk Management , Global Investing

The 2015 Paris Agreement seeks to keep the rise in global temperature to well below 2 degrees Celsius above pre-industrial levels, and many governments are aiming for 1.5°C through nationally determined contributions. What are the implications for real estate markets?