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Yang Liu

Yang Liu

Executive Director, MSCI Research

Yang Liu is an Executive Director who leads research and development of private asset models. Previously, Yang was an Assistant Professor of Finance at California Polytechnic State University. She has a Ph.D. in finance and an M.S. in economics from the University of Washington and a B.S. in accounting from Tsinghua University.

Research and Insights

Articles by Yang Liu

    Has Liquidity Dried Up in Private Equity?

    5 mins read Blog | Dec 7, 2022 | Yang Liu, Andrew DeMond

    Investors who commit capital to private-asset funds must provide money when the fund managers buy portfolio companies, but receive it back only when the managers sell. The uncertain timing and size of these cash flows demand careful liquidity management.

    Assessing Private Infrastructure in a Multi-Asset-Class Portfolio

    4 mins read Blog | Aug 4, 2021 | Michael Hayes, Yang Liu

    Private infrastructure is a popular element of institutional capital allocations, and increased focus on renewable or carbon-neutral infrastructure may mean significant new investment opportunities. What role could it play in a multi-asset-class portfolio?

    Private-Infrastructure Risk: Tilting at Windmills

    4 mins read Blog | Dec 8, 2020 | Yang Liu, Sheng Yao

    Private-infrastructure investments are often treated as comparable to relatively safe long-duration bonds with attractive yields, but this approach can mislead investors as they evaluate risk, yield and portfolio hedges.

    Backtesting Private Asset Models

    Research Report | Jun 19, 2020 | Yang Liu, Zach Tokura, Peter Shepard, Balazs Vajda

    MSCI’s Barra Private Real Estate Model (PRE2), Barra Private Equity Model (PEQ2) and MSCI Private Infrastructure Model (PIN1) have advanced the understanding of investments in global private assets. Private assets were once considered low-risk investments uncorrelated with most public assets due to the smoothness in private asset valuations. With innovative statistical methodology, the MSCI private asset models reveal the intrinsic risk in private assets, show large exposures to systematic...

    How COVID-19 could impact private real estate values

    Blog | Apr 20, 2020 | Bryan Reid, Yang Liu

    Real estate has not historically been immune to growth shocks, but the impact of COVID-19 has been harder to establish than it has for public equities. Discounted-cash-flow scenarios may help investors understand the potential sensitivity of their portfolios.

    ‘Nowcasting’ private equity in the coronavirus crisis

    Blog | Mar 26, 2020 | Yang Liu, Peter Shepard

    What may be happening to the value of portfolios of private assets during the COVID-19 crisis? We used MSCI’s private-equity model, which integrates data on private assets from our partner Burgiss, to try to shed some light.

    Did private capital deliver?

    Blog | Jan 30, 2020 | Yang Liu, Oleg Ruban

    Private-capital funds enjoyed record inflows from 2014 to 2018, as asset owners sought high-returning assets that had low correlations to traditional public asset classes. Did private capital deliver?

    Hedge Fund Returns: Is Fund Selection Important?

    Blog | Oct 22, 2018 | Yang Liu

    Many investors view hedge funds as a way to generate returns uncorrelated with other parts of the portfolio. We found that performance and sources of performance varied, but that exposure to traditional and factor investing strategies accounted for the majority of a typical hedge fund’s returns. Should hedge fund investors pay particular attention to fund selection?

    Modeling Private Assets in RiskManager

    Research Report | Apr 21, 2016 | Yang Liu, John Burke, Peter Shepard

    This Model Insight describes the introduction of private asset models into the time-series-based RiskMetrics’ RiskManager. The framework consistently combines the Barra Private Asset Models, based on low-frequency private asset returns, alongside the high-frequency models of other asset classes.

    Is Real Estate Bond-Like?

    Research Report | Jun 16, 2015 | Yang Liu, Peter Hobbs, Peter Shepard

    Growth Drives Long-run Risk and Return Peter Shepard, Peter Hobbs, Yang Liu June 2015 Many institutional investors have been favoring private real estate over bonds, drawn by  its steady income stream and higher yields. But while the short-term income of real estate may be bond-like, our research shows that its long-run behavior is much more cyclical and growth-sensitive. Real estate is not the high-return, low-risk, free lunch some investors would hope for. But it’s not all bad news:...

    The Erosion of The Real Estate Home Bias - November 2014

    Research Report | Nov 19, 2014 | Yang Liu, Peter Hobbs, Peter Shepard, Jean-martin Aussant

    The home bias of real estate investing is starting to change. The world’s largest Sovereign Wealth and Pension Funds are leading the change with explicit global real estate investment mandates seeking to exploit the richer global opportunity set and its diversification benefits. In this Research Insight, we use the Barra Private Real Estate Model (PRE2) to examine the drivers of risk and return in the international real estate markets, and find that fragmentation of the global markets has led...

    Model Insight - The Barra Private Equity Model (PEQ2) - August 2014

    Research Report | Aug 28, 2014 | Yang Liu, Peter Shepard

    In this Model Insight, we present the latest Barra Private Equity Model (PEQ2), which represents a major advance in understanding the drivers of risk and return in global private equity. We find a high degree of systematic risk in private equity, but also large opportunities for global diversification and active risk when compared with public equity. Incorporated in the Barra Integrated Model, PEQ2 provides a unique, like-to-like view of private equity investments among all asset classes...

    Model Insight - The Barra Private Real Estate Model (PRE2) Research Notes - May 2014

    Research Report | May 20, 2014 | Yang Liu, Peter Shepard, Yilin Dai

    Global private real estate represents significant opportunities for investors, but also major challenges, similar to global equity 30 years ago. A lack of information, and the smoothness of appraisal-based valuations, have left investors and risk managers guessing about the behavior of global real estate: a wide-range of speculation is commonplace, including the view that real estate is a low-risk, high-return diversifier. In this Model Insight, we shed light on this misunderstood asset...

    Gulf Cooperation Council (GCC) Countries Local Equity Models - Research Notes

    Research Report | Mar 2, 2009 | Andrei Morozov, Yang Liu, Jose Menchero

    This document contains research notes for three new Barra single country equity models: the Kuwait Equity Model (KWE1), the Qatar Equity Model (QAE1), and the United Arab Emirates (UAE) Equity Model (AEE1). Assets in these markets are included in the latest version of Barra Integrated Model (BIM207), via these new models. Along with our existing single country models for Bahrain, Oman, and Saudi Arabia, these new models complete our coverage of equities in the six Gulf Cooperation Council...

    Australia Equity Model over Different Horizons (AUES/L) - Research Notes

    Research Report | Nov 1, 2008 | Yang Liu, Jose Menchero

    This report introduces the Multiple-Horizon Australia Equity Model, available in two versions, shortterm (AUE3S) and long-term (AUE3L). This model has been constructed explicitly to meet the needs of near-term (several-month) and long-term (annual) investors. Both versions employ daily returns data and account for serial correlations in aggregating daily factor returns to longer horizons. Daily data provide denser and more detailed intra-horizon volatility information than monthly returns...

    Macroeconomic Factors in a Fundamental World

    Research Report | Mar 1, 2007 | Yang Liu, Dimitris Melas

    In this article, we examine the relationship between macroeconomic and fundamental factors and demonstrate how fundamental factor models can be used to extract the macroeconomic perspective and enhance our understanding of the common sources of portfolio risk and return. We start by assessing the importance of macroeconomic factors, both from a theoretical as well as a practical perspective, and we discuss the reasons why we have seen renewed interest in these factors in recent years....