Extended-lister
Showing 81 - 90 of 500 entries
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Research Report
Backtesting Year in Review: A Look at 2018In this semi-annual MSCI Model Backtesting Review publication, we evaluate the 2018 performance of the key risk methodologies available in RiskMetrics RiskManager. These models are tested on a broad set of fixed-income and equity portfolios, representing global equity and bond markets. We review the major market events of 2018 in the context of risk-model performance and include a deeper analysis of the ramifications of oil price dynamics and high-yield credit markets.
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Research Report
The MSCI Multi-Asset Class Factor ModelPortfolio Management Analytics Risk Management Analytics BarraOne
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Research Report
Best Practices in Factor Research and Factor ModelsFactors define the sources of portfolio risk and return. In this paper, we review the theoretical and empirical foundations of our factor research and factor models. MSCI factor research is firmly grounded in academic theory and empirical evidence. MSCI factor models are based on robust econometric techniques and reflect best investment practice. MSCI methodologies are transparent and publicly available. This is why the world’s leading institutional investors use MSCI factor models and...
Indexes Portfolio Management Analytics Risk Management Analytics
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Research Report
MSCI Primary - Secondary Mortgage Spread ModelThis paper describes the MSCI Primary/Secondary Mortgage Spread Model. Home purchases in US are mostly funded by the capital market. Borrowers get mortgages from lenders, paying interest at a primary mortgage rate. These loans are usually securitized into agency mortgage-backed securities (MBS) in the secondary market, in which the daily current coupon yield can be computed. The spread between the primary mortgage rate and the MBS yield is called the primary/secondary (P/S) spread. The P/S...
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Research Report
An Integrated View of Risk and ReturnThere are two widely used paradigms for analyzing risk and return: one where each security is modeled with the highest level of specificity possible, and another where a small number of common, fundamental factors are extracted from the security-level returns. The two approaches are complementary and it is important that they coexist within a unified underlying framework. For example, it is common that a risk manager will use the security-level approach to monitor position-level limits, while...
BarraOne RiskMetrics HedgePlatform Measurisk RiskMetrics RiskManager
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Research Report
MSCI US Auto Loan Collateral Model InsightThe MSCI U.S. Auto Loan ABS Collateral models are used to project collateral loan performance, including prepayment, default, and loss severity rates. These are used for measuring the risk and return of these securities.
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Research Report
MSCI Agency Fixed Rate Base Prepayment ModelTwo types of prepayment risk challenge the MBS investor: contraction and extension. Contraction risk arises as prepayment increases, and extension risk occurs when prepayment decreases. Contraction risk had been the dominating concern as the global fixed income market experienced a secular rally for 35 years. Now, as mortgages rates are rising, extension is now on the investor’s radar, and this requires a solid understanding of base prepayment speeds. We present a detailed decomposition of...
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Research Report
MSCI Agency Fixed Rate Refinance Prepayment ModelThe greatest MBS prepayment risk is driven by borrowers’ economic incentive to lower their monthly payments, i.e., to refinance their existing mortgage to lower mortgage rates. For the past 20 years, the shape of the refinance S-curve has changed numerous times due to prepayment regime shifts driven by new government policies/programs, changing underwriting standards, the housing price cycle, consumer behavior adjustments, and technology advancements. An accurately calibrated and well-behaved...
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Research Report
MSCI Fund Model Research NotesThis note describes a new method for estimating the risk exposures of hedge funds and mutual funds when complete holdings are unavailable. Like MSCI’s previous fund models, the Fund Model enables returns-based analysis of funds together with holdings-based analysis of other portfolio components. The new methodology extends traditional returns-based style analysis to incorporate other holdings-based information, reduce noise, and overcome distortions from turnover and the smoothing of illiquid...
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Research Report
Backtesting Risk Models - August 2018In this semi-annual update of the MSCI Model Backtesting Review, we evaluate the performance of three risk methodologies available in RiskMetrics RiskManager: Standard Normal Monte Carlo, Historical, and a new Fat-Tailed Monte Carlo methodology. The backtest was performed over the 12-month period ending June 30, 2018. Compared to previous studies, these models are tested on an extended scope of fixed income and equity portfolios, representing different segments of the U.S. and global equity...
Portfolio Management Analytics Risk Management Analytics