MSCI Event

ESG Products & Services Indexes Portfolio Management Analytics Risk Management Analytics Real Estate Products & Services

Research Paper

MSCI Liquidity Risk Monitor is MSCI’s quarterly report that presents liquidity risk indicators over the previous 12 months. This report facilitates discussion and determination of better strategies for liquidity risk management, by providing information on recent indicators and trends, involving U.S. and non-U.S. corporate bonds and bank loans liquidity.

Risk Management Analytics LiquidityMetrics

Research Paper

Investors have increasingly turned to equity factors as building blocks for their stock portfolios as a way to measure performance, analyze risk exposures or seek enhanced returns. In recent years, some investors have sought to extend a factor framework to fixed income. But these efforts by and large have not been successful, as equity and fixed-income investors have not been speaking a common language. We simulated the performance of six fixed-income factors — value, low size, quality,...

Indexes Portfolio Management Analytics Risk Management Analytics

MSCI Event

RiskMetrics RiskManager Equity Risk Models

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....

Risk Management Analytics

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?

Portfolio Management Analytics Risk Management Analytics

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.

Indexes Portfolio Management Analytics Risk Management Analytics

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...

Portfolio Management Analytics Risk Management Analytics

Press Release

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...

ESG Products & Services Portfolio Management Analytics Risk Management Analytics