The annual yearbook delivers a comprehensive summary of the performance of the MSCI Indices. This year's issue begins with a review of asset classes as viewed through the lens of the Barra Integrated Model.  A valuable guide for institutional investors including plan sponsors and endowment funds.

This case study provides an introduction to modeling assets and liabilities for asset owners within BarraOne. We show how to use BarraOne to analyze both assets and liabilities in a shared framework for understanding risk and return. Our example uses zero coupon bond instruments to proxy for liabilities although other proxies may be easily substituted. We illustrate how to analyze the surplus risk of the portfolio focusing on market risk specifically. Other sources of risk—nonmarket or...

The book analyzes the performance of various asset classes using our Global Capital Markets Index, International Equity Indices, Domestic Equity Indices for the US, Japan, and China, Fixed Income Indices, and Hedge Fund Indices. This year we also have a section covering our latest efforts in the world of benchmarks, namely, the MSCI REIT indices, High Dividend Yield Indices and the GCC (Gulf Cooperation Council) Countries Indices.

In the last few years, at least two governments (Japan and France) have begun issuing floating rate bonds where the reference rate is a long-term yield – a 10 year bond yield in both cases.  For these long-term yield floaters, valuation methods for ordinary floaters do not work perfectly. This article describes issues related to modeling the volatility and exposures for these types of bonds.