Extended Viewer

Andrew DeMond

Andrew DeMond
Head of MAC Factor Research

About the Contributor

Andrew DeMond is an Executive Director in the Fixed Income and Multi-Asset Class Research group and the head of MAC factor research. His responsibilities include risk model integration, fixed income and credit, alternatives, macroeconomic and MAC systematic strategy factor research. He holds a PhD in Biophysics from the University of California-Berkeley and a B.A. in physics from Reed College.

HTML Displayer Portlet

Contributions by Andrew DeMond

Extended-lister

Nothing was found.
  1. BLOG

    Carrying on Through a Crisis, with Factors 

    Jan 13, 2021 Andrew DeMond , Manuel Rueda

    Factor Investing , Risk Management , Fixed Income

    Learn More

    Factors have long had a place in constructing equity portfolios, but investors increasingly use factors in sovereign and corporate bonds, commodities and currencies. Which non-equity factors have been the best performers coming out of recent crises, and why?

  2. BLOG

    Has global sovereign rates momentum headed in reverse? 

    Dec 6, 2019 Andrew DeMond

    Risk Management , Fixed Income

    Learn More

    Momentum can be an important factor in sovereign-rates markets. But investors concerned with exposures to short-term rate movements in global bond markets may wish to ask themselves whether the trend is indeed their friend.

  3. PAPER

    The MSCI Multi-Asset Class Factor Model 

    Jan 2, 2019 Andrew DeMond , Chenlu Zhou , Peter Shepard , Limin Xiao

    Download Document

  4. Leveraged loans have emerged in the last decade as an attractive alternative to the typical high yield bond allocation. In periods of low and rising interest rates, the floating coupon of a leveraged loan portfolio offers an appealing combination of income and low duration. Indeed, loans have outperformed high yield bonds on a risk-adjusted basis in the recent past. As senior, secured obligations of corporate borrowers, loans also typically exhibit a high recovery in the event of default, and thus have a measure of downside protection.

    Yet loan investors face distinctive risks. Loans are distinguished by a wide variety of embedded optionality, most importantly by their American calls and coupon floors. Most loan investors rely on rules of thumb when calculating analytics, but these can obscure important asset-level dynamics. Furthermore, bond-based proxies of loan risk can have biased correlation and volatility estimates due to differing liquidity profiles and market technicals.

    To address these shortcomings, the new MSCI leveraged loan model takes the next step beyond trader heuristics to provide quantitative insight into the risk and performance of loans. We have partnered with IHS Markit to obtain class-leading data and coupled it to a novel pricing model with loan-specific risk factors. In total, our new offering provides next-generation analytics, purpose-built for loans.

  5. PAPER

    The Barra Integrated Model (BIM 303) 

    Sep 24, 2015 Andrew DeMond , Peter Shepard

    Download Document

    This paper describes BIM303, a new version of the Barra Integrated Model (BIM). This new version incorporates the latest Barra equity models, includes several new and updated Barra fixed income models, and completes the history of the private equity and private real estate components. Other local models that form the complete BIM are the same as those in BIM301, the previous integrated model. BIM303, like BIM301, comes in versions for multiple horizons: Short, Long, and Extra Long.

  6. PAPER

    Tailoring Bond Recovery Rates: Recommendations and Analytical Impact 

    Jun 18, 2015 Andrew DeMond , Carl Gold , Chenlu Zhou

    Factor and Risk Modeling , Risk Management , Asset Pricing and Valuation

    Download Document

    Bond recovery rates after default vary considerably across seniorities, industries, regions and macroeconomic environments. In this RiskMetrics Technical Note, we update our recommendations for bond recovery rates to reflect this diversity and discuss their impact on bond analytics. To support our new recommendations, we introduce a flexible configuration for managed services clients that provides additional granularity when setting recovery rates for generic bonds.

  7. PAPER

    Research Insight - Parametric Sovereign Interest Rate Curves - April 2015 

    Apr 15, 2015 Jason Kremer , Andrew DeMond

    Factor and Risk Modeling , Risk Management

    Download Document

    We introduce new sovereign curves for BarraOne constructed using a robust parametric fitting methodology. Compared with the legacy curves in BarraOne these new curves feature:

    • A more parsimonious model with fewer fitted parameters
    • A short end built from bill and repo rates, where available.
    • Changes to the vendor of the underlying bond index data in select markets.
    • An improved methodology for avoiding model-driven curve jumps from changes in the estimation universe.
    • A fitting approach consistent with the parametric corporate spread curves used in RiskManager.

  8. PAPER

    Model Insight - Malaysia Fixed Income Model - September 2014 

    Sep 30, 2014 Chenlu Zhou , Andrew DeMond , Jason Kremer

    Factor and Risk Modeling , Risk Management

    Download Document

    This Model Insight describes the new Barra Malaysia Fixed Income Model, which offers clients an enhanced view of the risk of ringgit-denominated bonds. We have re-estimated the sovereign and swap spread models using improved data sources. Backtests from 2007 to 2014 demonstrate the improved explanatory and forecasting power of the new model.

  9. PAPER

    Model Insight - Barra Term Structure Models for BIM301 

    May 9, 2012 Andrew DeMond , John Fox , Erdem Ultanir

    Performance Analysis , Risk Management

    Download Document

    MSCI has enhanced Barra government bond models that cover all developed nominal and inflation-protected markets and added five new emerging market models. BIM301 models improve in-sample and risk forecasting by estimating more detailed and longer term structures and improved risk modeling, including higher frequency weekly returns, short and long horizon models, and improved specific risk models.

  10. PAPER

    The Pfandbrief Factor after July 2007 

    Oct 2, 2008 Andrew DeMond

    Download Document

Regulation