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Peter Shepard
Head of Fixed Income, MAC and Alternatives Factor Research
About the Contributor
Peter Shepard is Managing Director and Head of Fixed Income, Multi-Asset Class and Alternatives Risk Factor Research at MSCI. His team is responsible for the risk factors in MSCI’s multi-asset class RiskManager and BarraOne platforms. Peter holds a PhD in theoretical physics from the University of California at Berkeley, where he researched string theory and the quantum theory of gravity. He has publications in theoretical physics and finance. Peter also holds a Bachelor’s degree in physics and mathematics from Brown University.
Blog posts by Peter Shepard
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Fixed-income markets have weathered a series of financial crises since 2008, forcing institutional investors to discard old assumptions and seek a risk management framework suited to the new, ever changing environment.
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The low interest rate environment continues to send institutional investors on a search for yield. But with the Federal Reserve signaling an increased pace of tightening in 2017, many are reducing interest rate exposure and seeking higher yields in credit instruments.
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As investors shift toward global, multi-asset class strategies from narrower mandates, the number of dimensions to manage is rapidly increasing. This complexity requires seeing both the forest and the trees. Investors need a multi-asset class view of the markets, but they also need to understand the unique drivers of risk and return within each market.
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Private real estate and other real assets have become a major component of many institutional investors’ portfolios in recent years, but risk management has lagged. A wide range of proxies and assumptions have stood in place of a solid risk management framework, with perhaps the most common risk model being … nothing.
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Private equity is both “private” and “equity.” The valuations look smooth from quarter to quarter, but in the long run, private equity shows a strong relationship with equity and is exposed to many of the same systematic factors that drive traditional assets.
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Many institutional investors have been favoring private real estate over bonds, drawn by its steady income stream and higher yields. While the short-term income may be bond-like, the long-run behavior of the asset class is much more cyclical and growth-sensitive.