This document provides validation results for MSCI’s new fixed-income factor model (henceforth FI400S). Historical performance of FI400S is informed vis-à-vis quantitative and qualitative backtesting results. One feature of the analyses presented herein is that they were conducted with an emphasis on utilizing procedures that clients may replicate. To this end, underlying data for backtesting were sourced via client-accessible methods. To test the various components of FI400S, portfolios...

In this paper, we present a daily factor model that forecasts daily volatility of variance for VIX Futures Contracts.

Systematic model bias has been implicated in the global recession that began in 2007, and this bias can be traced back to assumptions about the normality of data. Nonetheless, the normal distribution continues to play a foundational role in quantitative finance. One reason for this is that the normal often emerges, without prompting, as the distribution of sums or averages of large collections of random variables. Precise statements of this miracle are known as Central Limit Theorems, and...