Extended-lister
Showing 4211 - 4220 of 5,745 entries
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Research Report
MSCI Risk Monitor: RiskMetrics® Global - May 2015
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Research Report
Market Insight - The End of Quantitative Easing: Tapering and its Effect on Bonds and Equities - November 2013The Federal Reserve recently kept its quantitative easing policy in place for now, but as the economy improves, the Fed will likely taper its stimulus program. When this tapering begins, how will investors prepare for this unprecedented event? In this paper, we demonstrate the MSCI Macroeconomic Model, exploring how economic conditions might change enough to motivate the Fed to commence tapering; we combine this analysis with the Barra Integrated Model to explore how economic...
Portfolio Management Analytics Risk Management Analytics
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Research Report
MSCI Risk Monitor - RiskMetrics Europe - February 2014The monthly MSCI Risk Monitor: RiskMetrics Europe report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model; depending on market developments, we select different factors each month (see the Appendix for all possible factors). The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
MSCI Risk Monitor - RiskMetrics Global - February 2014The monthly MSCI Risk Monitor: RiskMetrics Global report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The report provides a broad view of changes in global market risks, and assists...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
Market Insight - Introducing Macroeconomic-Based Stress Testing - December 2013From quantitative easing to talk of tapering, a recurrent theme of 2013 among investors has been concern over rising interest rates. There are many ways to design a rising interest rate stress test,though basing this on history alone is a challenge. Historically, interest rates have risen for numerous reasons: central bank actions, inflation, flight to quality, and so on. The commonality between past regimes of rising interest rates is not obvious. In order to simplify and use a direct link...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
US Market Report - Should I "Like" Facebook's IPO?The Facebook IPO raises questions about both the stock’s valuation and its risk characteristics. In this report, we explore how including or exluding Facebook might affect the risk of style, or size segment portfolios of US equities. We also explain how the USE4 Model estimates factor exposures and specific risk of stocks before and after their IPO. For Facebook, we provide an estimation of those risk numbers, which can be used to create proxy assets in Barra Aegis or Barra...
Portfolio Management Analytics
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Research Report
MSCI Risk Monitor: RiskMetrics® Global - May 2016Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key global risk factors.
Portfolio Management Analytics Risk Management Analytics
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Research Report
MSCI Current Coupon ModelsThis paper describes the MSCI Current Coupon Model. The future cashflow of mortgage-backed securities (MBS) is uncertain due to the embedded prepayment option. The prepayment decisions of borrowers are largely driven by the prevailing mortgage rates in the future. Mortgage rates are derived from current coupon rates. Near-term current coupon yield can be derived from the secondary TBA passthrough market, but the liquidity does not go beyond 3 months. To evaluate a typical MBS with a 30-year...
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Research Report
MSCI Risk Monitor - RiskMetrics Europe - May 2013The monthly MSCI Risk Monitor: RiskMetrics Europe report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model; depending on market developments, we select different factors each month (see the Appendix for all possible factors). The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large...
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Research Report
Are Small Caps Truly Domestic?With increasing globalization many companies, both large and small, are expanding their global footprint in the quest for growth. The global profile of large multinational companies is well documented in investment research1. While small cap firms have traditionally been viewed as being domestically oriented, we are also witnessing the emergence of many small cap companies that are venturing outside their domestic markets. At the same time, the global universe of small cap companies has grown...