Daily Fixed-Income Insights
Fixed Income 2021: Climate, Credit & Inflation
Cross-Currency Credit Spreads: Mind the Gap
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Our Latest Research
Long-Horizon Risk: The Past 50 YearsApr 13, 2021
For long-horizon investors that aim to ride out volatility, short-term risk measures may be insufficient. We used multiperiod stress testing to evaluate one- and five-year returns of hypothetical multi-asset-class portfolios using 50 years of history.
Factors in Focus: Value Springs into ActionApr 6, 2021
Value has historically outperformed in economic recoveries. With the reopening of the global economy we examined value’s performance against other factors, and exposures from our adaptive multi-factor model at the end of Q1.
MSCI Liquidity Risk MonitorApr 6, 2021
The MSCI Liquidity Risk Monitor is a quarterly publication that shows the development of several liquidity risk indicators over the previous 12 months.
Machine Learning Factors Capturing Non Linearities in Linear Factor ModelsMar 26, 2021
It is not etched in stone that relationships between factor exposures and returns must be linear. We found machine-learning algorithms could identify nonlinear relationships and be used to construct a factor showing significant explanatory power.
Managing the Risks of LIBOR ReplacementMar 17, 2021
Investors now have clarity on the process of transitioning away from LIBOR and falling back on replacement benchmark rates. We used stress tests to show that fallback modeling may be necessary to measure and manage the risks of LIBOR instruments.
How Inflation Could Affect Multi-Asset-Class PortfoliosMar 3, 2021
Market participants are hotly debating whether U.S. monetary and fiscal policy may cause inflation. We consider four scenarios — reflation, disinflation, an overheated economy and stagflation — and their potential impact on multi-asset-class portfolios.
Climate Transition and Bonds: Risk or Opportunity?Feb 23, 2021
The transition to a low-carbon economy could significantly redirect the flow of investments toward greener companies and technologies that limit carbon emissions. We consider the potential risk — and opportunity — for bond investors.
A New COVID-19 Regime for MBS?Feb 17, 2021
In 2020, the Federal Reserve’s purchases of mortgage-backed securities, low interest rates, mortgage-underwriting policy changes and technology advancements led to a historic refinance frenzy and posed an unprecedented challenge for MBS risk management.