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Peter Zangari

Peter Zangari

Global Head of Research and Product Development

Peter Zangari, as Global Head of Research and Product Development, sets MSCI’s research agenda and drives integration of research into MSCI’s products and services to deliver innovative solutions to investment problems. He is a member of the Executive Committee.

Prior to this, Peter served as Head of Analytics at MSCI, responsible for its equity and multi-asset class risk and portfolio management products and was Head of Equity Portfolio Management Analytics before that. Prior to joining MSCI, Peter held progressively senior-level positions at Goldman Sachs, most recently as the Head of Risk and a member of the leadership team for the Quantitative Investment Strategies (“QIS”) business of Goldman Sachs Asset Management (“GSAM”). Prior to joining QIS, Peter was responsible for building out and managing GSAM’s proprietary equity risk and attribution platform.

Peter began his career at JP Morgan in the RiskMetrics and company-wide Risk groups, where he conducted extensive research in the areas of market and credit risk. He is one of the original members of RiskMetrics and his work in this area has been widely published.

Peter has a Bachelor of Arts degree in Economics from Fordham University and a PhD in economics, with a specialization in applied Econometrics and Computational Statistics, from Rutgers University.

Research and Insights

Articles by Peter Zangari

    Market Uncertainty Has Favored Low-Volatility Indexes

    2 mins read Quick Take | Apr 11, 2022 | Peter Zangari , Ashish Lodh

    The global market rally that began in April 2020 came to a halt with a sell-off that started at the end of last year and increased in intensity this February with the invasion of Ukraine — leading to a maximum drawdown of 13.6% for the MSCI USA Index. For investors, this has brought greater attention to historically low-risk equity strategies. It was a strategy that paid off. The MSCI USA Minimum Volatility Index, which is designed to reduce overall index-level risk, provided downside...

    Growth-Value Leadership Diverged Regionally After Russian Invasion

    2 mins read Quick Take | Apr 6, 2022 | Zhen Wei , Peter Zangari

    For markets, Russia’s build-up of military forces along its border with Ukraine last November reinforced the growth-to-value style-factor rotation across global and regional equity markets that began in late 2020. Following Russia’s invasion on Feb. 24, 2022, growth started to outperform value in the U.S. and Europe, but the growth-to-value rotation continued in emerging markets (EM).   What drove this persistent underperformance of growth relative to value in EM? Performance attribution,...

    Since the War, ESG Mattered for Equities

    2 mins read Quick Take | Mar 31, 2022 | Guillermo Cano , Peter Zangari

    One month after Russia’s invasion of Ukraine, we looked at the impact it has had on the equities of European firms, given their proximity to the theater and reliance on Russian oil, and investigated what role ESG has played. To do so, we used the MSCI Europe Index as our starting universe and selected the top- and bottom-quintile stocks by ESG score to create two equal-weighted hypothetical portfolios as of the market close on Feb. 23, 2022, the day before the Russian invasion.1 Looking at...

    Bond-Market Contagion Signals from the Russia-Ukraine War

    2 mins read Quick Take | Mar 29, 2022 | Andras Szegleti , Peter Zangari

    Following up on our earlier research on contagion indicators, we looked at how the liquidity of corporate bonds from Eastern European countries (the Czech Republic, Hungary, Poland, Slovakia and the Baltic states) has changed since the start of the Russia-Ukraine war. We found that broker-dealers had a difficult time pricing these assets, as indicated by substantially increased quoted-price uncertainty. Bid-offer spreads in these countries have also increased — some by up to...

    Russia Avoided Default, At Least For Now

    Quick Take | Mar 23, 2022 | Peter Zangari , Gabor Fabian , Gabor Almasi

    Despite uncertainty around whether sanctions will bar creditors from receiving payments, Russia paid USD 117 million of interest due for two Russian hard-currency bonds, on March 16. Additionally, spreads of credit-default swaps (CDS) on Russian sovereign debt — the cost of insuring against default — have also recovered. After peaking during the week of March 11, CDS-implied default probabilities have steadily declined, from a high near 80% to a more moderate but still substantial 50% on the...

    Russia Indexes’ Reclassification Had a Large Effect on EM Energy

    1 mins read Quick Take | Mar 21, 2022 | Peter Zangari

    We wrote previously that the March 9 reclassification of the MSCI Russia Index to the status of a stand-alone market had minimal impact on the characteristics of the MSCI Emerging Markets (EM) Index. The effects on the energy sector, however, were more pronounced. Even before the imposition of global sanctions on Russia in response to its invasion of Ukraine, Russia was far from its high point of a nearly 50% weighting in the MSCI EM Energy Index 20 years ago, when the term BRIC—...

    Signs of Contagion from the Russia-Ukraine War

    1 mins read Quick Take | Mar 14, 2022 | Peter Zangari

    Have the severe losses in the Ukrainian and Russian markets spread to other parts of the region, or beyond? We looked at the spreads of Eastern European countries’ sovereign-bond credit-default swaps (CDS) and found that the cost of protection increased from prewar levels in every case, through March 10, indicating elevated expectations of default. We saw the greatest spread increases (around 40 basis points) in Poland, Hungary, Romania and Serbia. These four countries either have strong...

    From Crisis to Crisis: Russia’s Diminished Role in Emerging Markets

    1 mins read Quick Take | Mar 3, 2022 | Peter Zangari

    Yesterday, MSCI announced that its Russia indexes will be reclassified from emerging markets (EM) to standalone markets status after a majority of global-market participants confirmed that the Russian equity market is currently uninvestable. As investors weigh their options for EM allocations in the wake of Russia’s invasion of Ukraine and reclassification, we ask how significant a role Russia has played within these markets — and more important, how that role has changed compared to the...

    Globalization Gets Another Jolt

    2 mins read Quick Take | Mar 2, 2022 | Raina Oberoi , Peter Zangari , Román Mendoza

    The Russian invasion of Ukraine is another reminder that geopolitics play an outsized role in determining economic relations between countries. The invasion has strengthened political and military alliances, such as NATO, and economic blocs, such as those between the U.S. and EU and between China and Russia, accelerating the long-term shift toward deglobalization, perhaps to a greater extent than the COVID-19 pandemic.1 In this post, we look at equity markets as a lens through which to...

    Ukraine Conflict and Fed Action

    1 mins read Quick Take | Feb 24, 2022 | Peter Zangari

    As trading stopped following Russia’s invasion of Ukraine, we looked to the markets on two key questions: How could the invasion impact Federal Reserve rate hikes to address inflation? How might Fed action change if oil prices rise significantly? As of the closing bell on Feb. 24, the market appeared to expect a dovish approach from the Fed. This assessment is based on our analysis of the intraday performance of the MSCI USA Value and MSCI USA Growth Indexes. After a few tough weeks for...

    Technology and Generational Change for Investors

    Report | Aug 7, 2020 | Peter Zangari

    Major societal shifts, led by technology, have changed the way we live our lives and have had a massive impact on the investment industry. Generational change driven by technological advancements has become central to the success of investment firms, affecting everything from the way investors manage assets and conduct research to how they communicate with clients. These advancements in technology, algorithms and data have led to more time and more added value by investment professionals...

    Integrating Factors in Market Indexes and Active Portfolios

    Report | Nov 8, 2018 | Dimitris Melas , Navneet Kumar , Zoltán Nagy , Peter Zangari

    Asset owners use indexes as policy benchmarks and reference portfolios in their asset allocation. Index investors track cap-weighted indexes that seek to capture the market return. Active investors select securities and build portfolios that aim to outperform the market. All these types of investors may be able to benefit from incorporating factors into their process. More importantly, they may also be able to integrate factors without compromising other fundamentally important aspects of...

    MSCI Integrated Factor Crowding Model

    Report | Jun 18, 2018 | George Bonne , Roman Kouzmenko , Leon Roisenberg , Peter Zangari

    With the rise of factor investing, institutional investors increasingly have sought to understand whether their factor exposures are crowded. Current MSCI Barra equity factor risk models are designed to provide insight and detail to help institutional investors understand how a portfolio is positioned and what has driven its risk and return. The MSCI Integrated Factor Crowding Model is designed to complement the Barra model by providing investors with insight into how the rest of the market...

    Getting Ahead of the Curve: How Taper 2.0 May Affect Bond Returns

    Report | Jul 24, 2017 | David Zhang , Peter Zangari

    How might the Fed’s plan to reduce its bond-buying program affect returns and risk for Treasurys and mortgage-backed securities? After nine years of quantitative easing, the Fed plans to reduce the amount of Treasury and mortgage-back securities it buys every month. The first time the Fed broached this idea, the market responded with a “taper tantrum.” This time, however, the Fed has made clear that it plans to pursue a conservative tapering policy and has communicated its plan more clearly....

    Research Insight - Employing Systematic Equity Strategies - June 2013

    Report | Jul 15, 2014 | 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...

    Practical Insights and Lessons Learned for Quantitatively Managed Equity Portfolios - Third Installment

    Report | Jul 15, 2014 | Peter Zangari

    The third part in the series examining how stock exposures to the Volatility Factor, as defined in the Barra Global Equity Model (GEM2), change over time.

    Practical Insights and Lessons Learned for Quantitatively Managed Equity Portfolios - Second Installment

    Report | Jul 15, 2014 | Peter Zangari

    Read the second of three installments of Managing through a Crisis: Practical Insights and Lessons Learned for Quantitatively Managed Equity Portfolios, written by Peter Zangari (MSCI's Managing Director for Equity Portfolio Management Analytics) while he was at Goldman Sachs. Peter's track record in the area of portfolio and risk management and his previous experiences at Goldman Sachs and J.P. Morgan helped shape this body of work.

    Lessons from the Financial Crisis

    Report | Jul 15, 2014 | Peter Zangari

    Read the first of three instalments of Managing through a Crisis: Practical Insights and Lessons Learned for Quantitatively Managed Equity Portfolios, written by Peter Zangari, Managing Director for MSCI Equity Portfolio Management Analytics. Peter's track record in the area of portfolio and risk management and his previous experiences and Goldman Sachs and J.P. Morgan helped shape this body of work...