Executive Director, MSCI Research
About the Contributor
Michael Hayes leads Model Validation and Best Practices Research, a team dedicated to developing the most effective modeling approaches for the full spectrum of clients’ investment problems. In addition, the team defines standards for model validation for all MSCI analytics and produces validation content to help inform clients’ modeling decisions. Previously, Michael held roles in quantitative portfolio management, multi-asset-class risk management and regulatory solutions. He holds a Bachelor of Arts in chemistry from Princeton University and a doctorate in chemical physics from the University of Colorado Boulder.
HTML Displayer Portlet
Blog posts by Michael Hayes
Assessing Private Infrastructure in a Multi-Asset-Class PortfolioAug 4, 2021 Michael Hayes , Yang Liu
Private infrastructure is a popular element of institutional capital allocations, and increased focus on renewable or carbon-neutral infrastructure may mean significant new investment opportunities. What role could it play in a multi-asset-class portfolio?
An issuer’s credit spread should be consistent when measured in the USD- or EUR-denominated markets, because both are measuring the same credit risk. Yet divergence can occur as a result of liquidity or supply-demand imbalances, such as those in the COVID crisis.
Using Risk Analytics to Highlight Opportunities in Volatile MarketsMay 18, 2020 Michael Hayes
Risk analytics can serve many functions for an institutional investor, including compliance, risk management, portfolio management and trading and strategy development. They may also highlight new opportunities that may be unique to volatile markets.
The impact on risk policy has been similar across market crises, as investors consider how to use their models in the new regime. We describe adaptive modeling for internal and external risk policy, and long-view backtesting to support decision-making.
Investors and the media have begun to worry that the secured overnight financing rate (SOFR) — the U.S. interest-rate benchmark meant to address issues with and replace USD LIBOR — may introduce a new set of problems. Are the concerns justified?
Is the bond-equity hedge slipping away?Nov 1, 2018 Michael Hayes , Thomas Verbraken
In October, the 10-year U.S. Treasury yield hit a 7-year high in response to strong economic news, contributing to the second major equity sell-off this year.1 If positive moves in yield continue to drive down equities, this would mean an end to the hedge between stocks and bonds that has been in effect since around 2002. Investors may seek alternative means of diversification, with potentially deep ramifications for strategic asset allocation decisions and multi-asset class strategies.