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Andrew DeMond

Andrew DeMond

Head of MAC Factor Research

Andrew DeMond is an Executive Director in the Fixed Income and Multi-Asset Class Research group and the head of MAC factor research. His responsibilities include risk model integration, fixed income and credit, alternatives, macroeconomic and MAC systematic strategy factor research. He holds a PhD in Biophysics from the University of California-Berkeley and a B.A. in physics from Reed College.

Research and Insights

Articles by Andrew DeMond

    Carrying on Through a Crisis, with Factors

    4 mins read Blog | Jan 13, 2021 | Andrew DeMond , Manuel Rueda

    Factors have long had a place in constructing equity portfolios, but investors increasingly use factors in sovereign and corporate bonds, commodities and currencies. Which non-equity factors have been the best performers coming out of recent crises, and why?

    Has global sovereign rates momentum headed in reverse?

    Blog | Dec 6, 2019 | Andrew DeMond

    Momentum can be an important factor in sovereign-rates markets. But investors concerned with exposures to short-term rate movements in global bond markets may wish to ask themselves whether the trend is indeed their friend.

    The Barra Integrated Model (BIM 303)

    Report | Sep 24, 2015 | Andrew DeMond , Peter Shepard

    This paper describes BIM303, a new version of the Barra Integrated Model (BIM). This new version incorporates the latest Barra equity models, includes several new and updated Barra fixed income models, and completes the history of the private equity and private real estate components. Other local models that form the complete BIM are the same as those in BIM301, the previous integrated model. BIM303, like BIM301, comes in versions for multiple horizons: Short, Long, and Extra Long.

    Tailoring Bond Recovery Rates: Recommendations and Analytical Impact

    Report | Jun 18, 2015 | Andrew DeMond , Carl Gold , Chenlu Zhou

    Bond recovery rates after default vary considerably across seniorities, industries, regions and macroeconomic environments. In this RiskMetrics Technical Note, we update our recommendations for bond recovery rates to reflect this diversity and discuss their impact on bond analytics. To support our new recommendations, we introduce a flexible configuration for managed services clients that provides additional granularity when setting recovery rates for generic bonds.

    Model Insight - Malaysia Fixed Income Model - September 2014

    Report | Sep 30, 2014 | Andrew DeMond , Jason Kremer , Chenlu Zhou

    This Model Insight describes the new Barra Malaysia Fixed Income Model, which offers clients an enhanced view of the risk of ringgit-denominated bonds. We have re-estimated the sovereign and swap spread models using improved data sources. Backtests from 2007 to 2014 demonstrate the improved explanatory and forecasting power of the new model.

    Model Insight - Barra Term Structure Models for BIM301

    Report | May 9, 2012 | John Fox , Erdem Ultanir , Andrew DeMond

    MSCI has enhanced Barra government bond models that cover all developed nominal and inflation-protected markets and added five new emerging market models. BIM301 models improve in-sample and risk forecasting by estimating more detailed and longer term structures and improved risk modeling, including higher frequency weekly returns, short and long horizon models, and improved specific risk models.