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Research Paper

MSCI Liquidity Risk Monitor

Jun 1, 2021

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

MSCI Blog

Why Is Climate-Transition Risk High in High Yield?

May 6, 2021 Bruno Rauis, Juan Sampieri, Andy Sparks

Investors increasingly focus on building greener portfolios. Some might expect bonds to be less exposed to climate-transition risk compared to equities, due to the seniority of bonds in the capital structure. But does that logic hold at the portfolio level?

Research Paper

US House Price Projections from the Impact of the Coronavirus

Apr 30, 2021

Could coronavirus-induced economic shocks hurt U.S. house prices as much as the 2008 global financial crisis did? This article identifies four drivers that could produce much milder house-price depreciation this time. 

Research Paper

MSCI Foreign Exchange Implied Volatility Factor Model

Apr 27, 2021 FAQUIRYAN Hamed
Research Paper

MSCI Agency Fixed Rate MBS Prepayment Model Version 2.0

Apr 20, 2021 YU Yihai
MSCI Blog

Could Investment Grade Be as Risky as High Yield?

Apr 16, 2021 András Bohák, Andras Rokob

Do high-yield and investment-grade bonds carry the same level of risk? For investors using common measures like value-at-risk models, IG- and HY-bond portfolios’ risk levels appear to have converged. But traditional models may miss important aspects of HY risk.

MSCI Blog

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. 

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