Raghu Suryanarayanan is an executive director of research. He joined the company in 2007, focusing on investable factor-based strategy design, private asset class, macroeconomic risk and asset allocation research. Previously, he was an economist at Morgan Stanley. Raghu holds a Ph.D. in Economics from the University of Chicago. His paper, “Efficient Replication of Factor Returns: Theory and Applications,” won the William Sharpe Best Index Related Research Paper Award.
Research and Insights
Articles by Raghu Suryanarayanan
Scenarios, Stress Tests and Strategies for Fourth Quarter 2016Research Report | Dec 8, 2016 |
A year marked by Brexit and Trump is ending with widespread uncertainty.
What the rise in policy uncertainty might mean for institutional portfoliosBlog | Dec 8, 2016 |
A year that was marked by the United Kingdom’s vote to leave the European Union and the United States’ surprise election of Donald J. Trump as president is ending with widespread uncertainty over systemic and geopolitical risk, inflation and economic growth. How can institutional investors address unconventional monetary and fiscal policies worldwide?
Scenarios, Stress Tests and Strategies for Second Quarter 2016 - The Rise of PopulismResearch Report | Jul 14, 2016 |
The decision by a majority of U.K. voters to leave the European Union shines a light on fissures between perceived winners and losers from globalized markets and highlights for investors the importance of factoring the consequences of inequality and popular discontent into their views. The latest edition of MSCI’s “Scenarios, Stress Tests and Strategies” examines the potential impacts on institutional portfolios of a tide of populist sentiment across Europe and the U.S.
How oil prices may impact your portfolioBlog | Mar 29, 2016 |
The falloff in the price of a barrel of oil that began in June 2014 has highlighted how such fluctuations can affect economies and asset prices worldwide.
Scenarios, Stress Tests and Strategies for 2016Research Report | Jan 19, 2016 |
Heading into 2016, MSCI examined 12 stress points globally to be used in quantifying the effect on portfolios of a range of shifts in markets, liquidity and the macroeconomy. These stress points include the prospect of additional interest-rate hikes by the Federal Reserve, weakness in the eurozone and a deceleration in Chinese economic growth.
The Fed Rate HikeBlog | Dec 14, 2015 |
The U.S. Federal Reserve is on the verge of raising short-term rates for the first time since the global financial markets crisis hit seven years ago.
Stress Testing a China Hard LandingResearch Report | Oct 23, 2015 |
The persistent decline in Chinese equities and commodity prices this summer renewed investor concerns about a possible economic hard landing in the Asian giant.
Research Spotlight - Understanding Macroeconomic Risk and its Impact on Asset Allocation - October 2014Research Report | Oct 2, 2014 |
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 |
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 EnvironmentsResearch Report | Apr 11, 2014 |
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...
Research Insight - Goal-Based Asset Allocation in WealthBench - January 2014Research Report | Jan 29, 2014 |
The recent peak of interest around goal-based allocation as a useful and practical framework to assist with complex asset allocation problems within the wealth management community, has led to MSCI implementing a goal-based asset allocation application which sits within WealthBench. This paper illustrates the benefits that the new Goal Metrics application will bring to financial advisors and their clients. The intuitive nature of our asset-liability methodology, allows financial advisors to...
Market Insight - The End of Quantitative Easing: Tapering and its Effect on Bonds and Equities - November 2013Research Report | Nov 7, 2013 |
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 2013Research Report | Jun 22, 2013 |
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 2013Research Report | Apr 29, 2013 |
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 2013Research Report | Mar 18, 2013 |
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 2012Research Report | Nov 28, 2012 |
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 2012Research Report | Jul 14, 2012 |
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.
Barra Private Real Estate Model (PRE1) - Research NotesResearch Report | Oct 2, 2011 |
Barra Private Real Estate Model (PRE1) - Overview and HighlightsResearch Report | Oct 2, 2011 |
The Role of Real Estate in Objectives Driven Asset AllocationResearch Report | Sep 21, 2011 |
In this paper, we examine the role of real estate in a multi-asset class institutional portfolio that adopts an objectives-driven asset allocation framework. We show that real estate may serve a variety of functions in an institutional investor's portfolio and should not be treated as a homogeneous asset class. Instead, the appropriate type of investment should be aligned with the total plan goals, with a focus on evaluating different real estate investments for their ability to add value to...
Private and Public Real Estate - What is the Link?Research Report | Jun 16, 2010 |
In this paper, we study the relationship between private and public real estate in the US and UK markets and demonstrate a strong link between returns in each of these markets. To uncover these relationships, we correct for appraisal smoothing and properly account for the lead-lag relationship between public and private returns. We find that public returns lead private returns, even after removing appraisal smoothing in private returns. We also discuss how real estate risk...
An Update on the Risk Environment in EuropeResearch Report | Jul 1, 2008 |
This Research Insight reviews the current risk environment in the UK and Europe. The analysis includes a look at volatility and recent developments in the risk environment as well as investment trends.