Research Report

Global equity portfolios expose investors to currency risk. Those wishing to minimize currency effects often hedge that currency exposure without touching their underlying international equity portfolios. However, currency fluctuations may also increase the investment returns and those movements can be sharp. We describe how the MSCI Adaptive Hedge Indexes use versions of four well-known currency indicators – Value, Momentum, Carry, and Volatility – to systematically determine a level of...

Indexes

Research Report

Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.

Risk Management Analytics RiskMetrics RiskManager

Research Report

 Volatility and Correlation for Key Risk Drivers in EuropeUnder a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.The report examines changes in volatility and correlation behavior, and identifies days on which factor returns were a surprise relative to the risk forecasts.

Risk Management Analytics

Research Report

The monthly Europe Risk Monitor reports on the evolution of risk forecasts, using a common RiskMetrics risk forecasting model, for 12 key risk factors chosen for their relevance to European investments. The factors are selected each month depending on market developments (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

Research Report

Risk Management Analytics

Research Report

Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.

Portfolio Management Analytics Risk Management Analytics

Research Report

Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.

Risk Management Analytics RiskMetrics RiskManager

Research Report

Two 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...

Risk Management Analytics

Research Report

Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments. The report examines changes in volatility and correlation behavior, and identifies days on which factor returns were a surprise relative to the risk forecasts.

Risk Management Analytics RiskMetrics RiskManager

Research Report

Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key risk factors chosen for their relevance to European investments.

Risk Management Analytics RiskMetrics RiskManager