Methodology

Hedging & Currency Indexes

Methodology

Indexes

Methodology

Indexes

Research Report

The MSCI Monthly Update is a monthly publication where we provide commentary on the market using MSCI Barra Equity Models, the MSCI Macroeconomic Model, the RiskMetrics Factor Model and MSCI Indexes.

Research Report

This quarterly publication reports on the risk and return behavior of major global pension systems: U.S. public and corporate, Canadian, UK and Dutch funds are examined.During the third quarter, North American pension funds on average declined in value while European pension funds increased in value, largely because of currency depreciation. The Q3 2014 edition also explores funding status and surplus risk, and applies stress tests and the effects of several scenarios on assets and funding...

Research Report

This quarterly Risk Monitor for Asset Owners reports on the risk and return behavior of five model pension plan types. This edition reports on Q2 2014. We represent the performance and risk of their assets over the past year and past quarter, adding in liabilities to examine funding status and surplus risk. We apply stress tests and show the effects of the scenarios on both the asset portfolios and plans' funding status. Finally, we present the evolution of risk and return of the asset...

Research Report

Focused on US Buyouts and Ventures, the new Barra Private Equity Model (PEQ1) attributes risk to intuitive public equity and private equity investment type factors, reflects changes in risk in a more timely fashion than traditional methods, and captures the relationship between public and private equity. 

Research Report

Benchmarks are practical tools used by investors at every stage of the investment process, including policy portfolio creation, asset allocation, fund selection, performance evaluation, and product creation. But despite their central role in the investment process, a comprehensive discussion of benchmarking standards or best practices has not been addressed in recent industry literature.This paper aims to provide a framework for benchmark assessment. The framework is drawn primarily from...

Indexes

Research Report

This Research Insight introduces MSCI’s LiquidityMetrics, a suite of multi-asset class risk analytics for measuring and managing portfolio liquidity. The LiquidityMetrics framework is based on comprehensive descriptions of the liquidity of single assets, called Liquidity Surfaces, encompassing bid-ask spreads, market impact, trading immediacy, market depth and trading activity. In addition to position level liquidity profiling, LiquidityMetrics allows users to analyze portfolio liquidity in...

Risk Management Analytics LiquidityMetrics

Research Report