This Research Insight presents the results of the 2013 MSCI Global Asset Owner Survey, which focuses on understanding the asset allocation processes of institutional asset owners, with a close examination of risk management of the real estate exposure. The findings come from in-person interviews with staff at 40 asset owners from around the world, representing $3.2 trillion in assets, as well as online survey responses from another 40 asset owners, representing $0.7 trillion in assets. These...

Infrastructure is challenging to model because, as a highly illiquid asset class, it lacks frequent, transaction-based data.   In this Market Insight, we look at two examples: the equity-like Sydney Airport and a bond-like investment in UK power-transmission lines.  We examine different ways to capture their risks using MSCI’s multi-asset class risk model, the Barra Integrated Model.  In both cases, characterizing the investments in terms of their exposures to...

Since the global financial crisis, Dutch pension plans have faced a dual challenge of disappointing asset returns and low interest rates, resulting in a decline of their funding ratios. This has led regulators to consider revised pension funding rules, including the possible introduction of the ultimate forward rate (UFR) in the construction of the yield curve used to discount pensions’ liabilities to their present value. In this Research Insight, we examine the implications for pension...

The 2008 financial crisis put global markets into a volatile “risk-on / risk-off” swing.  When investors worry about recession or deflation, their risk aversion goes up and they shift to low-risk assets, thus hurting risky assets like equities. In contrast, when investors expect a recovery or inflation, their risk aversion goes down and they shift into high-risk assets.  This binary attitude results in a high degree of correlation among global markets and may point to a...

UKE7, Barra's new model of UK equity risk, has much in common with UKE6. It incorporates all of UKE6's innovations, and refines one, the thin industry correction. The principal difference is in the industry schemes, with UKE6 using FTSE's GCS scheme and UKE7 basing its scheme on the sub-industries of the MSCI/S&P GICS scheme. The performance of the models, in terms of the accuracy of their risk forecasts, is comparable. Users should expect to see risk forecasts of similar magnitude in the...

This article describes these enhancements and their impact on a variety of portfolios. First, we describe the changes that are introduced with version 203 and provide references to research documents describing these enhancements in greater detail. Next, we examine the effects of these changes on correlations between markets and asset classes. We then explore the impact of changes on equity portfolios and fixed income portfolios. Finally, we examine the risk forecasts for several multi-market...

Aegis Performance Analyst can help you understand the drivers of volatility and returns, allowing you to evaluate the risk-adjusted performance of our portfolios and continuously improve your results.  Performance Analyst now offers daily asset and factor returns for the United States (USE3), United Kingdom (UKE6), Japan (JPE3) and Australia (AUE3).  The newest release of Aegis 3.4 introduces daily data for the European market (EUE2) and an improved attribution scheme that better...