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Katalin Varga

Research and Insights

Articles by Katalin Varga

    Research Spotlight - Understanding Macroeconomic Risk and its Impact on Asset Allocation - October 2014

    Research Report | Oct 2, 2014 | Abhishek Gupta, Altaf Kassam, Raghu Suryanarayanan, Attila Agod, Jahiz Barlas, Ludger Hentschel, Katalin Varga, Kurt Winkelmann

    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.

    China: Hard Landing or Gentle Descent?

    Research Report | Sep 9, 2014 | Raghu Suryanarayanan, Jahiz Barlas, Katalin Varga, Kurt Winkelmann

    Investors have expressed concerns about an imminent hard landing in China and potential long-term effects on both global growth and global equity returns. The MSCI Macroeconomic Model forecasts indicate that an imminent hard landing is unlikely: GDP growth in China could meet the official target of 7.5% by the end of the year. Moreover, the MSCI Asset Pricing Model indicates that Chinese real growth risk is a small contributor to long-term global equity risk. In addition, our models indicate...

    Index Performance in Changing Economic Environments

    Research Report | Apr 11, 2014 | Abhishek Gupta, Altaf Kassam, Raghu Suryanarayanan, Katalin Varga

    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...

    Market Insight - Macro Risk and Strategic Asset Allocation: Deconstructing Risk Parity Portfolios - June 2013

    Research Report | Jun 22, 2013 | Raghu Suryanarayanan, Ludger Hentschel, Katalin Varga, Kurt Winkelmann

    Our previous papers in this series provided a framework for defining macroeconomic risk and its impact on asset pricing.  Those papers showed how portfolios vary in their long-term return’s correlation with macro economic shocks, which implied that so-called “high cash flow beta” assets should receive a premium relative to the market portfolio. In this paper, we show how our framework can be applied to strategic asset allocation. We label assets as either risk premium...

    Market Insight - Macro-Sensitive Portfolio Strategies: Pricing and Analyzing Macro Risk - April 2013

    Research Report | Apr 29, 2013 | Raghu Suryanarayanan, Ludger Hentschel, Katalin Varga, Kurt Winkelmann

    Our previous papers in this series showed that cash flow betas relative to economic growth vary by asset class and portfolio type. In this paper, we show that assets with higher cash flow betas receive a higher long term return, and that return is a compensation for the macro risk exposure. We label those holdings risk premium assets. We further show that long‐term portfolio risk can be attributed to multiple macro factors, such as persistent shocks to real GDP, and inflation. We show...

    Market Insight - Macro-Sensitive Portfolio Strategies: Macroeconomic Risk and Asset Cash-Flows - March 2013

    Research Report | Mar 18, 2013 | Raghu Suryanarayanan, Ludger Hentschel, Katalin Varga, Kurt Winkelmann

    In this paper, the second in a series, we show that cash flows earned by different equity portfolios can respond differently to persistent macroeconomic shocks to real output, and that these differences can emerge over longer time horizons. Portfolios with cash flows that exhibit a greater long‐run response to macro shocks can command a higher expected return in the long run. As with any other return, the higher long‐run expected return for these portfolios is compensation for...

    Market Insight - Macro-Sensitive Portfolio Strategies and Defining Macroeconomic Risk - November 2012

    Research Report | Nov 28, 2012 | Raghu Suryanarayanan, Ludger Hentschel, Katalin Varga, Kurt Winkelmann

    Global economic conditions have seen a weak recovery since 2008, with major economies experiencing sub-par growth rates relative to long-term trend growth. As a result, investors are interested in designing portfolio strategies that explicitly recognize macroeconomic risk. The design of macro-sensitive portfolio strategies relies on how we define macroeconomic risk and measure the relationship between asset prices and macroeconomic risk. In this paper — the first in a series that...

    Model Insight - Barra Private Equity Model (PEQ1) Overview - July 2012

    Research Report | Jul 14, 2012 | Raghu Suryanarayanan, Dan Stefek, Katalin Varga

    Focused on US Buyouts and Ventures, the new Barra Private Equity Model (PEQ1) attributes risk to intuitive public equity and private equity investment type factors, reflects changes in risk in a more timely fashion than traditional methods, and captures the relationship between public and private equity.