Altaf Kassam is Managing Director and Head of Equity Applied Research, Americas and EMEAI for MSCI, with responsibility for research to support new and existing indexes and risk models, including factor and economic exposure indexes, as well as performance and risk attribution. Altaf received a first-class joint honors degree in engineering and computing science from St. John’s College, Oxford University and an MSc. in Finance from London Business School. He received his CFA charter in 2005. He has published articles on the relationship between equity volatility and credit spreads, the “optimal” use of protective equity derivative strategies from a risk/return point of view, “how to” guides on call overwriting and analyses of dividend futures markets. Altaf left MSCI in September 2015.
Research and Insights
Articles by Altaf Kassam
Should You Care About Active ShareResearch Report | Jul 14, 2015 |
A Portfolio Construction Study”Active Share” has been widely credited as a predictor of manager skill. Initial academic research has shown that active managers with high Active Share and low Tracking Error enjoyed persistent outperformance. Conversely, managers with low Active Share scores and low Tracking Error were labelled “closet indexers” and have recently become the subject of regulatory scrutiny. But how reliable is Active Share as a single metric? ...
Research Spotlight - Finding Value: Understanding Factor InvestingResearch Report | Jul 9, 2015 |
The perennial appeal of value investing is based on the excellent long-term performance of global value stocks. Investors today use various approaches to identify and compare the exposure of stocks with "value" characteristics that help explain risk and return. In this Research Spotlight, we create a common definition of “value” and examine how value strategies can be implemented, in both active and passive portfolios, using three generations of value indexes as examples.
Finding Value: Understanding Factor InvestingResearch Report | Jul 9, 2015 |
The perennial appeal of value investing is based on the excellent long-term performance of global value stocks. Investors today use various approaches to identify the exposure of stocks with “value” characteristics that help explain risk and return. In this Research Insight, we create a common definition of “value” and examine how value strategies can be implemented, in both active and passive portfolios, using three generations of value indexes as examples.
Research Spotlight - Lost in the Crowd? Identifying and Measuring Crowded Strategies and TradesResearch Report | Jun 26, 2015 |
The “quant meltdown” of 2007 and the subsequent global financial crisis highlighted the risks of crowded investment strategies. The recent growth of “smart beta” indexes and their use in ETFs has added to concerns about crowding. In this Research Spotlight, we explore the risks posed by crowded strategies and explain how the MSCI Crowding Scorecard enables asset managers to assess these risks as they exist in today’s markets. The Scorecard employs four metrics...
Research Insight - Lost in the Crowd? Identifying and Measuring Crowded Strategies and TradesResearch Report | Jun 22, 2015 |
AUTHORS: Mehmet K. Bayraktar, Stuart Doole, Altaf Kassam, Stan RadchenkoThe “quant meltdown” of August 2007 and the subsequent unfolding of the global financial crisis highlighted the risks of crowded investment strategies. The rapid growth of smart beta indexes and their use in ETFs has added to the need for scrutiny. In this Research Insight, we propose a set of four key metrics (our “Crowding Scorecard”) for monitoring and detecting the crowding risk of any...
Can ESG Add Alpha?Research Report | Jun 17, 2015 |
Do institutional investors sacrifice risk-adjusted returns by incorporating ESG considerations?
Research Spotlight - Understanding Macroeconomic Risk and its Impact on Asset Allocation - October 2014Research Report | Oct 2, 2014 |
Starting in 2012, MSCI Research began exploring the impact of macroeconomic events on asset valuation and strategic asset allocation. The white papers summarized in this Research Spotlight provide the core findings in a continuing series, and are the basis of our growing suite of ‘macro models.’ For each paper you will find the full title, the credited authors, a short abstract, and a quick hyperlink to the full publication in our Research Library.
Analyzing Index performance During Economic Regimes Classified Using CLI and CPIBlog | Apr 18, 2014 |
Institutional investors are trying to better understand how their portfolios benchmarked to factor indexes may behave in different economic regimes. In previous posts, we tried to answer the question: "I think economic activity/inflation is going to increase/decrease over the near term...
Index Performance in Changing Economic EnvironmentsResearch Report | Apr 11, 2014 |
Over the recent years, the impact of the macroeconomic regime on their investments has grown in importance for institutional investors. As a result, institutional investors have started explicitly accounting for macroeconomic conditions in their asset allocation decisions.This paper attempts to provide a framework for designing macro-sensitive portfolios, building on historical analysis using our 40+ years' history of MSCI Factor and Sector Indexes, and a long-term analysis based on the...