MSCI Event

Oct 23, 2019

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Research Paper

Introducing the MSCI Liquidity Risk Monitor, a new quarterly report that demonstrates the development of several liquidity risk indicators over the previous 12 months. This report helps you discuss and determine better strategies for your liquidity risk management, by providing information on recent indicators and trends, involving US and non-US corporate bonds and bank loans liquidity.

Oct 11, 2019

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Research Paper

The Credit Risk Transfer (CRT) programs from Fannie Mae and Freddie Mac aim to shift mortgage credit risk from the Enterprises to private investors, with cumulatively $2.8 trillion loans covered so far. To facilitate these capital market transactions since 2013, the Enterprises have disclosed about 20 years of monthly credit performance data on almost 50 million loans, with a detailed voluntary prepayment history, delinquency and foreclosure status data, as well as an actual loss breakdown....

Sep 30, 2019

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Research Paper

Mortgage-backed securities make up a huge portion of the U.S. financial system. Mortgage prepayment modeling is essential in MBS investment and risk analysis. It is also among the most complex areas of financial modeling, because of the vast data volume and large number of risk factors. Does an AI-based model using neural networks have an advantage over traditional models in taking on the complexities of MBS prepayment risk?

Sep 27, 2019

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Research Paper

The explosion in alternative data has been a blessing and a curse to investment managers. We have identified one source that provided unique and uncorrelated information when added to analysis of traditional factors and other measures of sentiment. These consumer sentiment metrics may provide investors with additional transparency into sources of risk and return, and could potentially be used to create valuable new factors.

Sep 18, 2019

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Research Paper

As important systematic sources of risk and return, factors play a vital role in building, maintaining and measuring actively managed equity portfolios. Investors and technology continue to grow more sophisticated, which has given rise to new ways of gathering, sorting and analyzing information — and new investment approaches. A factor-based approach can provide deeper insight into funds and individual securities. Research by MSCI and others has continued to show that factors have been...

Aug 27, 2019

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Press Release

Jun 3, 2019

Open the PDF  |  Related Products: Indexes , Risk Management Analytics , Real Estate Products & Services , ESG Products & Services

Research Paper

Why has there been no clear consensus as to whether ESG has improved returns on a risk-adjusted basis? We find that many of the ESG investing methodologies used in studies were designed to meet social or ethical values and not financial objectives. To understand the link between companies’ ESG characteristics and their financial risk and performance, it is important to evaluate only the studies that use ESG methodologies specifically designed to identify financially relevant issues, such as...

Apr 12, 2019

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Research Paper

This 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...

Mar 18, 2019

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Research Paper

In this semi-annual MSCI Model Backtesting Review publication, we evaluate the 2018 performance of the key risk methodologies available in RiskMetrics RiskManager. These models are tested on a broad set of fixed-income and equity portfolios, representing global equity and bond markets. We review the major market events of 2018 in the context of risk-model performance and include a deeper analysis of the ramifications of oil price dynamics and high-yield credit markets.

Feb 19, 2019

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