Research Report

The 2008 financial crisis put global markets into a volatile “risk-on / risk-off” swing.  When investors worry about recession or deflation, their risk aversion goes up and they shift to low-risk assets, thus hurting risky assets like equities. In contrast, when investors expect a recovery or inflation, their risk aversion goes down and they shift into high-risk assets.  This binary attitude results in a high degree of correlation among global markets and may point to a...

Research Report

This article examines how stock exposures to the Volatility factor, as defined in the Barra Global Equity Model 2 (GEM2), can be used to understand how a portfolio is positioned for changes in risk aversion. In a previous note “The Volatility Factor and Risk Aversion,” presented in the Q1 2012 newsletter, we explained how returns to the Volatility factor can provide a measure of investors’ risk appetite. Now we extend this analysis and show how specific groups of stocks,...

Equity Risk Models

Research Report

MSCI have collaborated with Ulster University for the last six years to produce the Northern Ireland Commercial Property report. This unique report provides the only performance measurement analytics on the Northern Ireland market, and provides comparison with its European and Global peers.

Real Assets

Research Report

In this Research Insight, we present the results of MSCI’s IPD® Global Annual Property Index 2017, identifying current asset-level real estate performance trends globally and by national market.  The analysis focuses particularly on the latest performance year, 2017.  Global -level real estate delivered a total return of 7.9% in 2017, up from 7.4% in 2016 and marking the eighth consecutive year of positive performance since the global financial crisis. Spain was the best performing...

Real Assets

Methodology

Indexes

Research Report

The enhancements introduced in the new Barra US Equity Model (USE4) are designed to improve risk forecasts for optimized portfolios. In this paper, we investigate the turnover and forecasting accuracy of optimized portfolios generated using USE4S, and compare them with those generated using the model's predecessor, USE3S. By testing various investment strategies, rebalancing on a daily or weekly basis, during the period 2007-2012, we found no systematic difference in turnover, and, in fact,...

Research Report

In this paper, we investigate whether the new Barra Europe Stochastic Factor Model (EURS1) performs differently in portfolio construction when compared to other statistical models commonly used by investors.  In order to explore this, we built a typical principal component analysis (PCA) model and used both the PCA and EURS1 models to track two popular benchmarks using the Barra Open Optimizer.  In all cases, we found EURS1 to have the lowest tracking error, and the EURS1 slow model...

Portfolio Management Analytics

Research Report

This stress test report uses CreditManager to examine the relative stability of sample credit portfolios. In a buy-and-hold context, our analysis suggests that 'book mode' generally produces lower risk figures that are more sensitive to ratings changes and correlation moves; conversely, in a mark-to-market context, 'migration mode' results produce larger risk figures that are less sensitive to ratings. In both test cases, the stresses demonstrate significant increases in capital, in the range...

Risk Management Analytics

Research Report

BarraOne Equity Risk Models

Research Report

Oil prices have risen sharply during the last two years.  Investors concerned about further increases will want to guard against adverse effects on their portfolios.  In this Market Report, we investigate appropriate hedging strategies using the Barra Integrated Model, looking at how asset classes interact in different historical periods (and not simply relying on looking at previous periods of similar oil-price behavior).  The Barra Integrated Model allows investors to...