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Altaf Kassam

Altaf Kassam
Equity Applied Research

About the Contributor

Altaf Kassam is Managing Director and Head of Equity Applied Research, Americas and EMEAI for MSCI, with responsibility for research to support new and existing indexes and risk models, including factor and economic exposure indexes, as well as performance and risk attribution. Altaf received a first-class joint honors degree in engineering and computing science from St. John’s College, Oxford University and an MSc. in Finance from London Business School. He received his CFA charter in 2005. He has published articles on the relationship between equity volatility and credit spreads, the “optimal” use of protective equity derivative strategies from a risk/return point of view, “how to” guides on call overwriting and analyses of dividend futures markets. Altaf left MSCI in September 2015.

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Contributions by Altaf Kassam

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  1. A Portfolio Construction Study

    ”Active Share” has been widely credited as a predictor of manager skill. Initial academic research has shown that active managers with high Active Share and low Tracking Error enjoyed persistent outperformance. Conversely, managers with low Active Share scores and low Tracking Error were labelled “closet indexers” and have recently become the subject of regulatory scrutiny.  But how reliable is Active Share as a single metric?  Not all researchers agree on the answer.  In this Research Insight, we have experimented with simulated strategies and tested them under various conditions and constraints — akin to doing research in a controlled laboratory environment — to identify the true drivers of Active Share.

  2. The perennial appeal of value investing is based on the excellent long-term performance of global value stocks. Investors today use various approaches to identify and compare the exposure of stocks with "value" characteristics that help explain risk and return. In this Research Spotlight, we create a common definition of “value” and examine how value strategies can be implemented, in both active and passive portfolios, using three generations of value indexes as examples.

  3. The perennial appeal of value investing is based on the excellent long-term performance of global value stocks. Investors today use various approaches to identify the exposure of stocks with “value” characteristics that help explain risk and return.  In this Research Insight, we create a common definition of “value” and examine how value strategies can be implemented, in both active and passive portfolios, using three generations of value indexes as examples.

  4. PAPER

    Research Spotlight - Lost in the Crowd? Identifying and Measuring Crowded Strategies and Trades 

    Jun 26, 2015 Stan Radchenko , Stuart Doole , Mehmet Bayraktar , Altaf Kassam

    Factor and Risk Modeling , Investing (Investment Management) , Portfolio Construction and Optimization , Risk Management , Asset Pricing and Valuation

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    The “quant meltdown” of 2007 and the subsequent global financial crisis highlighted the risks of crowded investment strategies. The recent growth of “smart beta” indexes and their use in ETFs has added to concerns about crowding. In this Research Spotlight, we explore the risks posed by crowded strategies and explain how the MSCI Crowding Scorecard enables asset managers to assess these risks as they exist in today’s markets. The Scorecard employs four metrics that can help managers understand the risks of overlapping trading strategies, which may not be apparent by focusing on a single metric alone.

  5. AUTHORS: Mehmet K. Bayraktar, Stuart Doole, Altaf Kassam, Stan Radchenko

    The “quant meltdown” of August 2007 and the subsequent unfolding of the global financial crisis highlighted the risks of crowded investment strategies. The rapid growth of smart beta indexes and their use in ETFs has added to the need for scrutiny. In this Research Insight, we propose a set of four key metrics (our “Crowding Scorecard”) for monitoring and detecting the crowding risk of any particular investment strategy, building on our innovative analysis of historical behaviors of investment strategies and the MSCI equity risk models incorporating Systematic Equity Strategies (SES).
     

  6. Do institutional investors sacrifice risk-adjusted returns by incorporating ESG considerations? In this paper, we analyze two relatively high tracking error global strategies constructed using ESG data — a Tilt strategy and a Momentum strategy — and find that both model portfolios outperformed the MSCI World Index over the last eight years, while also improving the ESG profile of the portfolios. These backtested model portfolios show an example of how institutional investors with the tolerance to take some active risk, while at the same time looking to improve the ESG profile of their portfolios on a systematic basis, could incorporate such strategies in their investment processes.

  7. PAPER

    Research Spotlight - Understanding Macroeconomic Risk and its Impact on Asset Allocation - October 2014 

    Oct 2, 2014 Raghu Suryanarayanan , Katalin Varga , Kurt Winkelmann , Abhishek Gupta , Altaf Kassam , Attila Agod , Jahiz Barlas , Ludger Hentschel

    Factor and Risk Modeling , Risk Management

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    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.

  8. BLOG

    ANALYZING INDEX PERFORMANCE DURING ECONOMIC REGIMES CLASSIFIED USING CLI AND CPI 

    Apr 18, 2014 Altaf Kassam

    Factor Indexes

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    Institutional investors are trying to better understand how their portfolios benchmarked to factor indexes may behave in different economic regimes. In previous posts, we tried to answer the question: "I think economic activity/inflation is going to increase/decrease over the near term...

  9. 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 forecasts from MSCI Macroeconomic and Asset Pricing Models. We identify historical and statistically plausible economic growth and inflation regimes, and their transitions, and show how factor and sector indexes differ in their response to changes in these regimes. Deviations away from the market and towards factor and sector indexes could depend both on institutional investors' macroeconomic views and tolerance for macroeconomic uncertainty. For an uncertainty tolerant investor assuming DM economic growth returns quickly to its trend, the models indicate allocating towards indexes that are the most sensitive to economic growth. In contrast, if slow growth and low inflation are believed to persist, the models indicate allocating towards the least growth sensitive indexes.