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Showing 1 - 50 of 421 entries

  1. BLOG

    Can AI Model the Complexities of MBS Prepayment? 

    May 29, 2020 Joy Zhang , Yini Yang

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    Machine learning using neural networks has been successfully applied to fields in which extremely complex patterns can prove challenging for other algorithms. Are neural networks suited for modeling prepayment risk in agency mortgage-backed securities?

  2. BLOG

    Building Better ESG Indexes: 30 Years On 

    May 27, 2020 Stuart Doole

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    How ESG indexes have evolved over the past 30 years: A Q&A with Stuart Doole, head of new index development at MSCI, about his conversations with investors since the COVID19 crisis started, the growth of ESG investing and how MSCI Research uses AI and machine learning in developing its ESG indexes.

  3. BLOG

    Robust Selection Paid Dividends 

    May 22, 2020 Neeraj Dabake , Ankit Shah

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    Dividend cuts following the COVID-19 slowdown led to approximately USD 194 billion of lost dividends between February and April 2020. An approach that looked beyond dividend-yield ranking would have avoided some affected companies, based on our analysis.

  4. BLOG

    Four COVID-19 Scenarios: What Might Happen Next? 

    May 21, 2020 Thomas Verbraken , Juan Sampieri

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    Our latest COVID-19 stress test looks at four potential financial-market outcomes ranging from a swift V-shaped recovery to a pessimistic L-shaped scenario, in which outbreaks recur and lockdowns return well into 2021.

  5. BLOG

    Five lessons for investors from the COVID-19 crisis 

    May 19, 2020 Dimitris Melas

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    COVID-19 unleashed a torrent of sharp movements across global financial markets. We highlight five key lessons for investors regarding global investing, managing factors, active management, indexed investing and ESG investing.

  6. BLOG

    Using Risk Analytics to Highlight Opportunities in Volatile Markets 

    May 18, 2020 Michael Hayes

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    Risk analytics can serve many functions for an institutional investor, including compliance, risk management, portfolio management and trading and strategy development. They may also highlight new opportunities that may be unique to volatile markets.

  7. BLOG

    Real Estate Asset Selection Mattered — Especially in a Crisis 

    May 14, 2020 Bryan Reid

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    As real estate strategies become more complex and market disruption continues, attribution analysis may prove a valuable tool. We looked at asset selection’s role in driving portfolios’ relative returns during relatively calm and disruptive periods.

  8. BLOG

    Index Rebalancing During High Volatility: A Balancing Act 

    May 13, 2020 Abhishek Gupta , Pavlo Taranenko , Sebastien Lieblich

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    Significant volatility during COVID-19 highlights a need for index reconstitution, but some may worry about trading costs and excess turnover. We investigate the balance between appropriate market representation and avoiding high index turnover.

  9. BLOG

    Consumer ABS Under Coronavirus in the US and China 

    May 11, 2020 Yini Yang , Jian Chen , Joy Zhang

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    Beyond COVID-19’s steep human toll, the pandemic’s disruption of economic life has led to widespread loss of income and impaired some borrowers’ ability to repay loans. What could the impact be for investors in consumer asset-backed securities in the U.S. and China?

  10. BLOG

    How Hedge Funds Navigated the Start of COVID-19 Volatility 

    May 8, 2020 Donald Sze , Navneet Kumar

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    How did hedge funds navigate the initial volatility amid COVID-19? Though holdings information is limited, and delayed, we gained insights into their reaction by examining the change in hedge-fund portfolios between the end of January and end of February.

  11. BLOG

    Credit in the COVID Crisis: Contagion, Valuation, Default 

    May 6, 2020 Hamed Faquiryan , Reka Janosik , Andras Rokob

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    As the COVID-19 crisis unfolded, credit markets deteriorated under the stress of a sharply diminished economic outlook. We analyze three indicators of credit-market conditions: default risk, relative value and contagion risk.

  12. BLOG

    Using Derivatives to Manage Volatile Markets 

    May 4, 2020 Hitendra D Varsani , Rohit Mendiratta

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    We’ve previously noted growth in derivatives contracts to manage emerging-markets exposure in normal and stressed times. Now, facing a real-world stress test, how did investors use these tools? How have implied volatilities and option premium changed?

  13. BLOG

    Hunting a COVID-19 factor 

    Apr 29, 2020 George Bonne , Jun Wang

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    Can we identify a COVID-19 factor and quantify companies’ exposure to it? We explored three ways to do so — from very simple to more complex methods.

  14. BLOG

    Best practices for Japanese equity indexes 

    Apr 28, 2020 Naoya Nishimura

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    Planned reforms in the stock exchange of Japan sparked a debate on investability and market representativeness of the country’s domestic benchmark index. We investigated three approaches to market-cap-weighted equity indexes.

  15. BLOG

    Did hedging tail risk pay off? 

    Apr 27, 2020 Peter Shepard , John Burke

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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?

  16. BLOG

    US inflation: The market’s implied view 

    Apr 21, 2020 Andy Sparks , Greg Scheuer

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    Dramatic declines in oil prices, the Federal Reserve’s aggressive monetary policy and higher fiscal deficits may create a confusing outlook for U.S. inflation. We examine what the market is telling us about where inflation may be heading.

  17. BLOG

    How COVID-19 could impact private real estate values 

    Apr 20, 2020 Bryan Reid , Yang Liu

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    Real estate has not historically been immune to growth shocks, but the impact of COVID-19 has been harder to establish than it has for public equities. Discounted-cash-flow scenarios may help investors understand the potential sensitivity of their portfolios.

  18. BLOG

    Resilient stocks during the dog days of March 

    Apr 17, 2020 Mehdi Alighanbari

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    While many stocks were in the red in mid-March, as COVID-19 and oil-market shocks took hold, some were “redder” than others. We examine global markets to better understand the characteristics of the more resilient stocks during this period.

  19. BLOG

    Can diversification help weather the coronavirus storm? 

    Apr 16, 2020 Raina Oberoi , Abhishek Gupta , Jean-Maurice Ladure

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    Whether investors include a tactical approach or invest strategically for the long term, diversifying across factors, sectors and geographies has historically played an important role in portfolio construction. 

  20. BLOG

    Could coronavirus depress US housing prices? 

    Apr 15, 2020 Yihai Yu , Joy Zhang

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    The large economic shocks unleashed by the coronavirus pandemic could be comparable to or even exceed those of the 2008 global financial crisis (GFC). We used our models to assess whether these shocks could hurt U.S. housing prices as much as the GFC did.

  21. BLOG

    Green bonds: Growing bigger and broader 

    Apr 14, 2020 Meghna Mehta

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    As the green-bond market matures, it is developing offshoots. The types of projects financed, as well as the emergence of innovative types of bonds and loans linked to the ESG targets, is growing. These initiatives may broaden the market for green investment options.

  22. BLOG

    Corporate-bond performance by factors and ESG 

    Apr 14, 2020 Hitendra D Varsani , Rohit Mendiratta

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    The volatility seen in equity markets was also present among investment-grade corporate bonds,. We use factors and ESG ratings to dissect these bonds’ performance over Q1 2020.

  23. BLOG

    For target-date funds, hindsight was 40/60 

    Apr 9, 2020 Anil Rao

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    Recent market volatility has been especially unkind to those closest to and early in retirement, as the sequence of returns matters for retirement income. Would low-volatility and ESG investments have benefited target date funds during volatile periods?

  24. BLOG

    Quantifying ESG fund performance 

    Apr 6, 2020 Raina Oberoi , Guillermo Cano

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    One challenge facing investors is how to quantify the impact ESG has had on their investment process. We analyzed top ESG funds to better understand the contribution of the ESG factor to their performance.

  25. BLOG

    What out-of-cycle write-downs may mean for real estate yields 

    Apr 3, 2020 Bryan Reid

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    As real estate investors seek to understand how the COVID-19 crisis could affect their portfolios, several large Australian pension funds recently wrote down their property portfolios by up to 10%. What could a 10% write-down imply for yields?

  26. BLOG

    Will coronavirus reduce emissions long term? 

    Apr 3, 2020 Oliver Marchand , Nathan Faigle

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    Has COVID-19 affected carbon emissions? Using satellite imagery from NASA and the European Space Agency, we examined the empirical data so far to understand the potential impact, and if there may be a decline in global greenhouse-gas emissions in 2020.

  27. BLOG

    Factors in Focus: Risk sentiment and factor dynamics in a crisis 

    Apr 2, 2020 Hitendra D Varsani , Waman Virgaonkar , Rohit Mendiratta

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    We analyzed the market effects from COVID-19 and a Saudi Arabia/Russia oil-price war. We also examined – for the first time – credit factor performance. How did the quarter play out? What did our adaptive multi-factor model show as it ended?

  28. BLOG

    Managing risk-model uncertainty through a crisis 

    Mar 27, 2020 Michael Hayes

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    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.

  29. BLOG

    ‘Nowcasting’ private equity in the coronavirus crisis 

    Mar 26, 2020 Peter Shepard , Yang Liu

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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.

  30. BLOG

    How could coronavirus impact credit markets? 

    Mar 25, 2020 Juan Sampieri , Andy Sparks , Thomas Verbraken

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    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?”

  31. BLOG

    Asset allocation and index futures during market crises 

    Mar 25, 2020 Zhen Wei , Shuo Xu , Wei Xu

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    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.

  32. BLOG

    Real estate is about more than location during uncertain times 

    Mar 18, 2020 Niel Harmse

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    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. 

  33. BLOG

    Integrating ESG in emerging markets and Asia 

    Mar 18, 2020 Zhen Wei

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    Previously, we have examined the relationship between ESG characteristics and financial performance in developed markets. In this blog post, we explore whether ESG characteristics  have had financially significant effects in emerging markets and Asia.

  34. BLOG

    What scenarios has the US equity market priced in? 

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

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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.

  35. BLOG

    Coronavirus and oil hit equities — how low can we go? 

    Mar 12, 2020 Dimitris Melas

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    We compare the market turmoil sparked by the coronavirus pandemic with levels of volatility, drawdown and recovery after 9/11 and the global financial crisis (the two other similarly severe economic and market shocks of the last 20 years).

  36. BLOG

    Have corporate green bonds offered lower yields? 

    Mar 10, 2020 Zach Tokura

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  37. BLOG

    Coronavirus and a potential MBS convexity whipsaw 

    Mar 6, 2020 Yihai Yu

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    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.

  38. BLOG

    The coronavirus market impact spreads globally 

    Mar 5, 2020 Jun Wang , Jay Yao , George Bonne

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    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.

  39. BLOG

    A coronavirus stress test for global markets 

    Mar 4, 2020 Thomas Verbraken , Chenlu Zhou , Juan Sampieri

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    After the coronavirus spread to multiple continents, markets recorded the worst week since the crisis. How much further could markets drop if epidemic turns into pandemic? Our stress test indicates room for further losses.

  40. BLOG

    SEC’s proxy proposal: Who would benefit? 

    Mar 3, 2020 Ric Marshall

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    The SEC has proposed reforms to the proxy process that would curb the number of proposals submitted by small shareholders. But such a change may disadvantage all shareholders, who have provided significant levels of support for these initiatives.

  41. BLOG

    Navigating market volatility with agency MBS models 

    Feb 26, 2020 David Zhang

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    We performed our annual review of MSCI’s model for managing prepayment and interest-rate risk in agency mortgage-backed securities. How closely did the model’s forecasts anticipate what we observed in the market?

  42. BLOG

    ESG and the cost of capital 

    Feb 25, 2020 Ashish Lodh

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    We know a lot about the relationship between companies’ ESG characteristics and financial performance. But was there a correlation between ESG scores and cost of capital?

  43. BLOG

    The coronavirus epidemic: Implications for markets 

    Feb 12, 2020 Zhen Wei , Jun Wang , Thomas Verbraken

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    The toll from the coronavirus has been felt throughout societies, leading to repercussions on the global economy and financial markets. We examine investor impact through markets’ economic exposures to China and factors and by stress testing portfolios.

Showing 1 - 50 of 421 entries

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