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Showing 1 - 50 of 316 entries

  1. BLOG

    A reality check for MBS duration risk 

    Aug 15, 2019 Yihai Yu

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    Empirical duration data can be used to check whether models for mortgage-backed securities are accurately measuring interest-rate risk.

  2. BLOG

    The changing face of real estate portfolios 

    Aug 14, 2019 Bryan Reid

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    Office and retail investments’ historic dominance of commercial real estate portfolios is decreasing, with other property types — including logistics centers, student housing, and data centers — increasing. This evolution highlights how technology and the search for yield have led investors to diversify and seek exposure to other property types.

  3. BLOG

    Liquidity risk under stress: Beyond bid-ask spreads 

    Aug 7, 2019 Diana Knipl

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    Risk managers at investment funds are more and more focused on liquidity risk, as regulators have recently issued guidance that increases demands for liquidity stress testing.1 Although markets are currently considered fairly calm, the 2008 financial crisis showed how liquidity can deteriorate quickly under stressed conditions, resulting in widened bid-ask spreads. But by focusing solely on the change in bid-ask spreads, could investors underestimate their liquidity risk? The often-overlooked market impact2 — or the additional cost on top of the bid-ask cost3 for large trades — could also increase significantly, driving transaction costs still higher.

  4. BLOG

    Same target, different destinations 

    Jul 31, 2019 Anil Rao

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    Target-date funds (TDFs) have gained wide adoption in U.S. defined-contribution plans over the last decade, aided by the proliferation of auto-enrollment features and the funds’ presentation as a “set it and forget it” approach.

  5. BLOG

    Have appraisers been too bullish on retail real estate? 

    Jul 30, 2019 Will Robson

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    Appraisers of retail real estate have come in for criticism for excessive bullishness. Media commentary has fixated on the shuttering of shops, while retail-focused real estate investment trusts (REITs) are priced at substantial discounts to the value of their assets.1 Against this backdrop, many question whether appraisers are overvaluing retail properties. But MSCI data on transacted assets suggests that appraisers haven’t been over-optimistic on the retail sector; and, if anything, they appear to have appraised retail assets more accurately than other property sectors — industrial real estate, in particular.

  6. BLOG

    Home bias in fixed income: Has it helped or hurt? 

    Jul 29, 2019 Anikó Maráz , Andy Sparks

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    Has global diversification historically helped reduce risk in the fixed-income portfolios of U.S. defined-benefit (DB) pension plans? Our backtests show that globalizing bond allocations would have increased risk measured relative to a liability benchmark. For such plans, home bias in bond portfolios would have reduced active risk over the period of our study.

  7. BLOG

    Three scenarios for Fed rate cuts 

    Jul 23, 2019 Andy Sparks , Thomas Verbraken

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    A consensus has emerged that the Federal Reserve will lower rates in the coming months, but investors remain uncertain over the timing and magnitude of the cuts. What impact could three rate-cut scenarios have on markets?

  8. BLOG

    Where there’s smoke: Cannabis for investors 

    Jul 22, 2019 Aurélie Ratte

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    Exposure to companies with ties to the cannabis industry raises challenges for investors. Some have sought to keep their portfolios cannabis-free while others have focused on long-term risks and opportunities.

  9. BLOG

    More than a feeling: Quantifying consumer sentiment 

    Jul 17, 2019 George Bonne , Rohit Mendiratta

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    Among a flood of alternative data sources, consumer sentiment based on citations online stood out.

  10. BLOG

    Is there another Woodford waiting to happen? 

    Jul 11, 2019 Laszlo Hollo

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    When the Woodford Equity Income Fund suspended redemptions on June 3, 2019, it showed how, when a fund’s liquidity profile is misaligned with its shareholder profile and redemption constraints, a single large redemption request can trigger gating. 

  11. BLOG

    Under the hood: Rating ESG funds 

    Jul 10, 2019 Michael Disabato

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    Nearly $31 trillion in assets under management were invested in funds that consider ESG issues in their investing process as of January 2018, a 34% increase from two years previously. Transparency is key to understanding what this expansion means.

  12. BLOG

    Liquidity and correlation in the Chinese credit market 

    Jul 9, 2019 Manuel Rueda

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    China’s stock market has drawn huge attention from global investors, especially as China A shares have been added to leading equity indexes. But the same cannot be said for the country’s 38 trillion CNY (USD 5.5 trillion) credit market, now the second-largest in the world. Despite the market’s overall size, foreign investor participation remains miniscule, with overseas bondholders accounting for less than 1% of the total holdings.

  13. BLOG

    Asian retail resilience: Have store hours affected performance? 

    Jul 9, 2019 Bryan Reid

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    Industrial real estate has outperformed retail assets in recent years, but the trend has been less pronounced in Asia, where store hours, among other reasons, might have led to more resilient retail performance.

  14. BLOG

    Reverse convertibles: Worth the risk? 

    Jul 5, 2019 Gyorgy Kocsis , István Varga-Haszonits

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    Do reverse convertibles offer any obvious risk-return benefits over high-yield bonds?

  15. BLOG

    Factors in Focus: Dynamic short term, strategic long term 

    Jul 2, 2019 Waman Virgaonkar , Hitendra D Varsani

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    We review factor performance over the second quarter, provide the perspective of a long-term view and look to indications from our adaptive multi-factor model heading into Q3.

  16. BLOG

    Bank loans: Will crisis follow the search for yield? 

    Jun 27, 2019 Hamed Faquiryan

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    In the post-2008 search for yield, investors have taken on considerable exposure to leveraged bank loans. We assess whether these loans pose systemic risk in the way subprime mortgages did during the last crisis.

  17. BLOG

    Beware of FRTB cliff effects. Sharp curvatures ahead. 

    Jun 20, 2019 Andras Rokob

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    The Basel committee’s revised market-risk capital requirements contain a small surprise with potentially big implications. Cliff effects remain in the framework.

  18. BLOG

    Resilient carbon-transition portfolios: a road map 

    Jun 19, 2019 Dana Sasarean

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    Is your portfolio ready for the transition to a low-carbon economy? Which companies, industries and sectors are positioned to benefit? Which ones entail greater risks? The answers are a lot more complicated than alternative energy is in and coal is out. 

  19. BLOG

    Uber vs. Lyft: Who’s at the wheel? 

    Jun 18, 2019 Ric Marshall

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    Two companies, one highly disruptive business model, multiple big challenges looming. Few IPOs in recent memory have attracted more attention – or disappointed more decisively, initially – than the IPOs of ride-sharing groups Uber and Lyft. At the end of June 7, 2019, two months following its IPO, Lyft’s share price traded at 17.7% below its IPO price, while Uber’s ended that same day 1.9% lower. Could ESG considerations have played into investors’ thinking?

  20. BLOG

    European securitization at the regulatory crossroads 

    Jun 17, 2019 Miklós Vörös

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    Have new European Union reforms clouded the future of the securitization market in Europe?

  21. BLOG

    Lessons from Woodford: Shutting the barn door after the horses have bolted 

    Jun 14, 2019 András Bohák , Roman Kouzmenko , Dimitris Melas

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    The suspension of the U.K.’s Woodford Equity Income Fund highlights the value of regularly reviewing a portfolio’s factor exposures and liquidity characteristics for signs of style drift or deteriorating ability to redeem shares.

  22. BLOG

    Using alternative data to spot ESG risks 

    Jun 7, 2019 Samuel Block

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    The amount of ESG-related information disclosed by corporations is on the rise, but investors still often lack a full understanding of financially relevant risks. How can they gain a better sense of where their investments are most vulnerable to ESG-related disasters?

  23. BLOG

    The rise of fundamental factors in China A shares 

    Jun 6, 2019 Oleg Ruban

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    Commonly held perceptions about China A shares have influenced investors to think factor strategies may not work in the Chinese equity markets. Our research suggests this may be changing.

  24. BLOG

    Fed policy, the credit cycle and real estate 

    May 28, 2019 Yihai Yu , David Zhang

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    Amid the uncertainty over Federal Reserve policy, investors in commercial real estate (CRE) are confronting asset-allocation challenges and growing concerns about CRE valuation and debt levels, after an extended period of easy credit.

  25. BLOG

    What could stress emerging markets? 

    May 24, 2019 Thomas Verbraken

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    Emerging-market equities and USD-denominated EM sovereign bonds started 2019 with a bang, but recent market turbulence caused by the U.S.-China trade standoff raises a pressing question: What could trigger the next EM downturn?

  26. BLOG

    Beyond headlines: How markets responded to US-China trade talks 

    May 9, 2019 Zhen Wei

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    Our analysis suggests that changes in equity-market valuations, analysts’ consensus earnings estimates and data on companies’ revenue exposure are metrics that provided insight into recent market and sector performances.

  27. BLOG

    Factor investing in Saudi Arabia: size matters 

    May 7, 2019 Saurabh Katiyar , Neeraj Dabake

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    Foreign interest has risen in Saudi Arabia following the easing of foreign-ownership limits. Our analysis shows investors would have benefited by controlling for exposure to small-cap companies.

  28. BLOG

    Game of Homes: Is winter coming for the domestic-equity bias? 

    Apr 30, 2019 Anil Rao , Raman Aylur Subramanian

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    Can we quantify home-bias risk in an allocation? And, what has happened when U.S. stocks ended previous multiyear runs of outperformance?

  29. BLOG

    Are you ready for uniform MBS? (Part 2) 

    Apr 26, 2019 Yihai Yu

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    Aligning prepayment speeds of Fannie Mae and Freddie Mac securities presents a major challenge to the success of uniform mortgage-backed securities (UMBS), which the two government-sponsored enterprises will launch on June 3.

  30. BLOG

    A more politicized Fed? The market yawns 

    Apr 16, 2019 Andy Sparks

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    Could the Federal Reserve Board (the Fed) become less independent, with political forces exerting more influence?

  31. BLOG

    The Right Tool: How Suitable is Your Real Estate Benchmark? 

    Apr 11, 2019 Amit Nihalani

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    You don’t have to be a master craftsman to appreciate the benefits of using the right tool for the job. Even the most casual do-it-yourselfer has experienced the frustration of using the wrong screwdriver for a particular job — one that doesn’t quite fit the screw properly and shreds the head, leaving it uselessly stuck in the wood without fixing anything.

  32. BLOG

    Need a Lyft? Why the IPO blew a tire 

    Apr 10, 2019 Alan Brett , Matt Moscardi

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    A week into the highly publicized IPO for Lyft Inc., the ride-sharing company, it’s hard to say it went exactly as planned.

  33. BLOG

    Are You Ready For Uniform MBS? (Part 1) 

    Apr 8, 2019 Yihai Yu

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    Fannie & Freddie will conclude Single Security Initiative (SSI) June 3, 2019, creating a single to-be-announced (TBA) market & a new TBA security: the uniform mortgage-backed security (UMBS)

  34. BLOG

    What Yield-Curve Inversions Have Meant For Markets 

    Apr 5, 2019 Alfredo Bequillard

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    Inversion of the yield curve has historically been a reliable indicator that a recession is coming. But what has it implied for stock prices and Treasury rates?

  35. BLOG

    Evaluating the impact of LIBOR fallback 

    Apr 3, 2019 Maks Oks

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    The planned discontinuation of LIBOR and other interbank offer rates sometime in 2022 will affect a large number of existing financial contracts based on these benchmarks.

  36. BLOG

    Factors in Focus: Risky start. Quality finish. 

    Apr 2, 2019 Hitendra D Varsani , Waman Virgaonkar

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    We highlight the fast-moving rotation among factors that continued during Q1 2019. As we move into Q2 2019, this framework showed allocation changes in different factors.

  37. BLOG

    Saudi Arabia inclusion and emerging markets 

    Mar 28, 2019 Saurabh Katiyar

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    Saudi Arabian stocks will be included in the MSCI Emerging Markets Index and the MSCI ACWI Index in a two-step process starting in June this year. With the first step of inclusion of the MSCI Saudi Arabian Index coming shortly, we ask how inclusion of this Middle Eastern market would have affected the MSCI EM Indexes.

  38. BLOG

    Have High-Yield ETFs Created Liquidity Risk? 

    Mar 27, 2019 Reka Janosik

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    In the fourth quarter of 2018, redemptions of high-yield ETFs soared to approximately 25% of these funds’ assets under management (AUM), according to data provider IHS Markit.

  39. BLOG

    A new day for monetary policy? 

    Mar 22, 2019 Andy Sparks

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    Listen as MSCI’s Andy Sparks discusses potential implications of the US Federal Reserve’s sharply softening monetary policy, and whether the role of central banks has changed.

  40. BLOG

    Don't Confuse Capex and Asset-Value Growth 

    Mar 21, 2019 Niel Harmse

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    Measuring real estate growth is not a simple exercise; we run through it highlighting some common confusions

  41. BLOG

    Factors and ESG: the truth behind three myths 

    Mar 20, 2019 Guillermo Cano

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    There are misconceptions of the relationship between factors and ESG issues. We debunked three common myths about ESG, momentum, quality and smaller-cap stocks.

  42. BLOG

    Santander’s coco extension: The new market norm? 

    Mar 18, 2019 Imre Vörös , Gergely Szalka

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    Banco Santander announced it would extend — i.e., not call — its additional-tier-one contingent-convertible (coco) bond. Was the market caught off guard?

  43. BLOG

    The risk in risk-parity strategies 

    Mar 13, 2019 Thomas Verbraken

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    The relationship between bonds and equities may be especially important to investors who employ a risk-parity approach. In our analysis, as the bond-equity correlation turned strongly positive, the effect on risk-parity portfolios was much greater than that on traditional 60/40 equity/bond portfolios.

  44. BLOG

    Watching beta in volatile equity markets 

    Mar 12, 2019 Anil Rao

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    The U.S. equity market ended last year with a historic drawdown, and beta stood out as a driver of the market decline. But what happened when those losses starting reversing in early 2019?

  45. BLOG

    What innovative companies and women on boards have in common 

    Mar 8, 2019 Meggin Thwing Eastman

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    We examined constituents of the MSCI ACWI Index that had been recognized as innovators on one or more annual lists produced by Forbes, Fast Company, MIT Sloan and the Boston Consulting Group between 2015 and 2018.

  46. BLOG

    Are Subprime Auto Loans at a Tipping Point? 

    Mar 4, 2019 Joy Zhang , Yini Yang

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    Investors and the media have lately turned their attention to credit risk in U.S. subprime automotive lending — concerns that increased during the recent market volatility.

  47. BLOG

    Brexit, Black Wednesday and Real Estate's Currency Risk 

    Feb 25, 2019 Niel Harmse

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    When investors buy overseas real estate, they inevitably take on foreign-exchange exposure. The resulting currency-market dislocations resulted in near-term losses for some investors, but also created attractive opportunities for investors to buy real estate exposure in the U.K.

  48. BLOG

    Evaluating Emerging-Market Stocks through a Governance Lens 

    Feb 21, 2019 Raina Oberoi , Anil Rao

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    Emerging-market stocks generally are perceived to have lower governance standards than their developed-market counterparts. Less transparency is one factor behind this view. Some emerging-market companies may also disadvantage minority shareholders. How can active and index-based investors address these issues?

  49. BLOG

    Venezuela and the Specter of Recovery Risk 

    Feb 14, 2019 Hamed Faquiryan , Manuel Rueda

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    Venezuela unfortunately finds itself on the verge of political and economic collapse. From the perspective of investors in the country’s sovereign and corporate bonds, recovery risk is now likely a bigger consideration than default risk.

  50. BLOG

    What market volatility has meant for factors 

    Feb 13, 2019 Guillermo Cano

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    As investors continue to focus on factor investing in periods of heightened volatility, we ask how volatility has affected factor performance.

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Showing 1 - 50 of 316 entries

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