Extended Viewer

Kurt Winkelmann

Research and Insights

Articles by Kurt Winkelmann

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

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

    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.

    Research Insight - Understanding Hedge Funds in a Factor-Based World - September 2014

    Report | Sep 22, 2014 | Yilin Dai , Kurt Winkelmann , Peter Shepard

    The recent outperformance of global equities has some investors wondering whether they should reduce their allocations to hedge funds. The announcement from CalPERS to end its hedge fund program cited low returns and high fees, but is that the whole picture?  Sorting out sources of hedge fund performance is particularly important given the recent focus of many institutional investors on factor-based investing.  In this Research Insight, we identify the role that factor exposures...

    China: Hard Landing or Gentle Descent?

    Report | Sep 9, 2014 | Raghu Suryanarayanan , Katalin Varga , Jahiz Barlas , 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...

    Market Insight - The End of Quantitative Easing: Tapering and its Effect on Bonds and Equities - November 2013

    Report | Nov 7, 2013 | Raghu Suryanarayanan , Kurt Winkelmann , Attila Agod , Ludger Hentschel

    The Federal Reserve recently kept its quantitative easing policy in place for now, but as the economy improves, the Fed will likely taper its stimulus program.  When this tapering begins, how will investors prepare for this unprecedented event?  In this paper, we demonstrate the MSCI Macroeconomic Model, exploring how economic conditions might change enough to motivate the Fed to commence tapering; we combine this analysis with the Barra Integrated Model to explore how economic...

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

    Report | Jun 22, 2013 | Raghu Suryanarayanan , Katalin Varga , Ludger Hentschel , 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...

    Research Insight - Employing Systematic Equity Strategies - June 2013

    Report | Jun 19, 2013 | Kurt Winkelmann , Peter Zangari , Mehmet Bayraktar , Stan Radchenko

    In this Research Insight, we introduce “Systematic Equity Strategies” (SES), which refers to a rules-based implementation of investment strategies and anomalies.  Our research finds that SES, when used as factors in risk models, can help predict both expected and abnormal stock returns, thus improving forecast accuracy. Some Systematic Equity Strategies may lead to crowding risk as large pools of capital pursue shared strategies; by using SES factors, investors can monitor...

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

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

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

    Report | Nov 28, 2012 | Raghu Suryanarayanan , Katalin Varga , Ludger Hentschel , 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...

    Market Insight - Risk Management and Macroeconomic Uncertainty

    Report | Oct 25, 2012 | Kurt Winkelmann

    Despite healthy returns in global equity markets through most of 2012, the investment environment remains uncertain.  The daily VIX suggests that risk levels have declined, yet estimates of the equity risk premium suggest higher levels of uncertainty.  How can investors reconcile these two signals?  In this paper, we explore reasons for discrepancies between these two signals, and suggest that these reasons present challenges for both the measurement and management of...