Research Report

Scenario propagation is the second stage of predictive stress testing practices, following scenario definition. This paper illustrates common pitfalls and suggests best practices for a robust propagation of the shockwave of a prospective scenario onto all relevant risk factors of a financial portfolio. The central observation: Risk managers must guard against “noise” in the predictions. Diagnostic statistics can reduce noise and ensure meaningful predictions. Key best practices include: the...

Research Report

In constructing portfolios, asset managers expose the portfolio to factor tilts that greatly influence fund performance. Some of these exposures, which can provide sources of excess return, may be intentional but others may not. A manager who makes the wrong bet could be on the wrong side of history. Using MSCI’s Peer Analytics dataset, we examined the composition and performance drivers of active global funds through the lens of our Global Total Market Equity Model. Our key finding: Exposure...

Indexes Portfolio Management Analytics

Research Report

Risk Management Analytics

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

Systematic risk premia such as value, size or momentum can account for a substantial part of long-term institutional portfolio performance. Over the last few years, we have seen the development of many new indices that reflect systematic risk premia, opening up the possibility to capture risk premia through indexation. Yet, the institutional asset allocation process continues to focus more heavily on the selection of active managers rather than the selection and combination of risk premia,...

Research Report

Systematic risk premia such as value, size or momentum can account for a substantial part of long-term institutional portfolio performance. Over the last few years, we have seen the development of many new indices that reflect systematic risk premia, opening up the possibility to capture risk premia through indexation. Yet, the institutional asset allocation process continues to focus more heavily on the selection of active managers rather than the selection and combination of risk premia,...

Research Report

Systematic risk premia such as value, size or momentum can account for a substantial part of long-term institutional portfolio performance. Over the last few years, we have seen the development of many new indices that reflect systematic risk premia, opening up the possibility to capture risk premia through indexation. Yet, the institutional asset allocation process continues to focus more heavily on the selection of active managers rather than the selection and combination of risk premia,...

Methodology

Indexes

Methodology

Fact Sheet