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.

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. 

The MSCI Liquidity Risk Monitor is a quarterly publication that shows the development of several liquidity risk indicators over the previous 12 months.

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. 

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.

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.

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.

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.