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Our Latest Research


Factors in Focus: Value Springs into Action

Apr 6, 2021 Hitendra D Varsani, Waman Virgaonkar

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. 

Research Paper

MSCI Liquidity Risk Monitor

Apr 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.

Research Paper

Machine Learning Factors Capturing Non Linearities in Linear Factor Models

Mar 26, 2021 WANG Jun, BONNE George, ZHANG Howard

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. 


How Inflation Could Affect Multi-Asset-Class Portfolios

Mar 3, 2021 Thomas Verbraken, Daniel Szabo

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 Bruno Rauis, Juan Sampieri, Andy Sparks

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 Yihai Yu, Miklós Vörös

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.

Fixed Income Related Content