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Managing risk-model uncertainty through a crisis 

Risk Management

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.

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‘Nowcasting’ private equity in the coronavirus crisis 

Risk Management

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.

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How could coronavirus impact credit markets? 

Risk Management , Fixed Income

While 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?”

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Asset allocation and index futures during market crises 

Emerging Markets , Global Investing , Risk Management

During 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.

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Updating the MSCI Agency MBS model for the COVID-19 crisis 

Fixed Income , Risk Management

The 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.

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How coronavirus could hurt Chinese consumer ABS 

Risk Management , Global Investing , Fixed Income , Emerging Markets

The 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.

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Real estate is about more than location during uncertain times 

Real Estate Investing

With real estate now occupying a greater slice of multi-asset-class portfolios, factors such as lease length, may be more systematic drivers of return than previously thought. 

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What scenarios has the US equity market priced in? 

Risk Management

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.

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Coronavirus and a potential MBS convexity whipsaw 

Risk Management

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.

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The coronavirus market impact spreads globally 

Factor Investing , Global Investing

Fear 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.