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Oleg Ruban

Oleg Ruban
Head of Analytics Applied Research for Asia Pacific

About the Contributor

Oleg Ruban, executive director, focuses on portfolio management and risk-related research for asset owners and investment managers in the Asia Pacific region. Previously, Oleg worked as an emerging market economist and a quantitative strategist at Dresdner Kleinwort. Oleg has an undergraduate degree in Economics and Management from the University of Oxford and MSc degrees from the University of Warwick and Manchester Business School. He also has a Ph.D. in Finance from Manchester Business School.

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Contributions by Oleg Ruban


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  1. BLOG

    How Diversified Are US Equity Investors? 

    Nov 24, 2020 Oleg Ruban

    Global Investing

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    The universe of stocks represented by the MSCI USA Index comprises over 600 securities. U.S. investors might assume there are ample opportunities for diversification and potential risk reduction in the domestic market. Is this assumption correct?

  2. BLOG

    Did private capital deliver? 

    Jan 30, 2020 Yang Liu , Oleg Ruban

    Global Investing

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    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?

  3. BLOG

    The rise of fundamental factors in China A shares 

    Jun 6, 2019 Oleg Ruban

    Emerging Markets , Factor Investing , Global Investing

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    Commonly held perceptions about China A shares have influenced investors to think factor strategies may not work in the Chinese equity markets. Our research suggests this may be changing.

  4. BLOG

    Which factors mattered in China? 

    Nov 7, 2018 Oleg Ruban

    Models/Client Cases , Global Investing , Factor Investing

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    Chinese equity prices have hardly been music to investors’ ears so far in 2018. The MSCI China A Onshore IMI Index — the broadest MSCI A shares index designed to represent the performance of the overall A shares market — has declined more than 25% in local currency terms through Oct. 31, 2018. Were there factors in this market that outperformed?

  5. BLOG

    Vive la Différence: Active Factor Strategies in China A Shares 

    Jun 27, 2018 Oleg Ruban

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    Clients often ask us whether factor insights can be applied to construct equity portfolios in a particular market. They wonder whether certain market or economic characteristics might prevent factors from working: Different countries and their equity markets are at different stages of development, have different depth and may have dominant sectors.

  6. BLOG

    Improving stock selection in the age of big data 

    Nov 20, 2017 Oleg Ruban

    Factors , Factor Investing

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    In the age of big data, fundamental stock pickers face a major challenge. Stock selection typically depends on establishing research conviction in the operating models of companies, such as identifying inexpensive businesses that demonstrate sustainable competitive advantage, disciplined capital management and strong corporate governance. The stock picker’s edge may rely on analyzing information and top-notch research skills.

  7. PAPER

    Research Insight - Stress Testing a China Hard Landing 

    Oct 23, 2015 Zsolt Simon , Raghu Suryanarayanan , Carlo Acerbi , Jahiz Barlas , Oleg Ruban , Thomas Verbraken

    Factor and Risk Modeling , Risk Management

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    The persistent decline in Chinese equities and commodity prices this summer renewed investor concerns about a possible economic hard landing in the Asian giant. Combining the MSCI Macroeconomic Risk Model with RiskManager’s predictive stress testing capabilities, we illustrate how investors can quantify the potential impact of a China hard landing on global multi-asset class portfolios. We design two stress test scenarios: a medium contagion scenario and a high contagion scenario. Under the former, a sharp decline in Chinese GDP growth could result in a modest 3% decline in a hypothetical multi-asset portfolio, while the drop could reach 8.4% under the high contagion scenario.

  8. Using the lens of the Barra US Equity Model (USE4S), this Research Insight provides a practical guide to constructing investable factor portfolios. This paper begins by discussing the general concept of a factor portfolio. We then explore the role of optimization in making a 'pure factor portfolio' investable. We assess how investability constraints impact the performance of factor-replicating portfolios. Finally, we discuss how MSCI Market Neutral Barra Factor Indexes can be used in an investment process to track factor returns.

  9. PAPER

    Market Insight - Stress Scenarios for Japanese Government Bond Yields - October 2013 

    Oct 7, 2013 Oleg Ruban

    Investing (Investment Management) , Risk Management

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    This paper, second in a series of three, examines the potential impact of rising Japanese Government Bond yields on a range of sample portfolios.  We create scenarios that model market conditions associated with a rise in yields using factors in the Barra Integrated Model.  A key insight is that the underlying cause of the rise in yields matters greatly for the spillover effects associated with the scenario. In particular, the different stories behind the rise in yields have different implications for the correlation between Japanese equities and government bonds. This correlation is crucial in determining the size and direction of the impact of these scenarios on representative portfolios in different geographical segments and asset classes.

  10. PAPER

    Market Insight - Analyzing Current Risks in the Japanese Government Bond Market - September 2013 

    Sep 6, 2013 Oleg Ruban

    Investing (Investment Management) , Risk Management

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    The Japanese Government Bond (JGB) market rivals the US Treasury market in size. It displays a number of distinctive features that may have contributed to low yields in recent years, despite a deteriorating fiscal environment in Japan. Nevertheless, observers have argued that it is possible for JGB yields to increase significantly in coming years. In this series of stress testing papers we will help clients understand what scenarios may potentially cause JGB yields to rise, analyze the implications of these scenarios for financial markets, and assess their impact on portfolios.

  11. PAPER

    China Market Report - Analyzing the June Liquidity Squeeze - July 2013 

    Jul 16, 2013 Oleg Ruban , Kevin Zhang , Zoltán Nagy

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

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    Chinese equities lost more than 14 percent during June 2013 when interbank rates rose rapidly. In this report, we analyze June’s substantial losses through the lens of the Barra China Equity Model (CNE5). Our analysis of factor returns and volatilities shows how different market segments reacted as the People’s Bank of China (PBOC) stated that the burden should be on the lenders to better manage their balance sheets.  Finally, we examine two specific portfolios: minimum volatility and diversified financials, highlighting the drivers of their returns during June 2013.  We find that exposures to CNE5 style factors have been a significant driver of performance for both portfolios. 

  12. In this Research Insight, we outline the building blocks essential to constructing an effective standard risk model. We then turn to how risk models are used in the investment process — that is, constructing efficient portfolios and attributing their risk and return. Finally, we describe the best practices of proprietary model construction, including an empirical investigation of the economic impact of using proprietary models in portfolio optimization.

  13. PAPER

    Global Market Report - Forty Years of Better Betas - March 2013 

    Mar 12, 2013 Oleg Ruban , Zoltán Nagy

    Investing (Investment Management) , Portfolio Construction and Optimization

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    In this report, we look at the period between January 1997 and December 2012, comparing two methods of estimating the market risk of a portfolio: historical beta and predicted beta, based on the Barra Global Equity Model (GEM3). We investigate this question: which estimation approach performed best during periods of market stress? We find that during our sample period, predicted beta appears to be a more accurate than historical beta as a gauge of the defensiveness or aggressiveness of a portfolio.

  14. Portfolio managers have long worried that discrepancies between risk and alpha factors may somehow detract from the performance of their optimized portfolios. This paper presents a comprehensive overview of alpha-risk factor alignment and its consequences, showing how penalizing the residual alpha may help reduce the unintended bets resulting from misalignment. However, we also illustrate that correcting for misalignment may not always be necessary and can sometimes be counterproductive—the need for corrective action depends on the information content of residual alpha. Improvement in Information Ratios was achieved in just over half of the cases we examined and the average magnitude of improvement was small.

  15. PAPER

    Global Market Report - The Mid-Cap Effect - December 2012 

    Dec 7, 2012 Jose Menchero , Zoltán Nagy , Oleg Ruban

    Factor and Risk Modeling , Investing (Investment Management) , Performance Analysis

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    In this paper, we show how Barra models capture the risk and return characteristics of mid-cap stocks using the Non-Linear Size factor. This factor describes the return difference between mid-cap stocks and the overall market, net other factors. We show that since the global financial crisis of 2008, the impressive performance of global mid-caps was attributed, in large part, to their exposure to Non-Linear Size. Monitoring the exposure to this factor provides investors with a view of the strength of the Mid-Cap Effect in their portfolios.

  16. PAPER

    Market Insight - When Hurricane Sandy Closed Wall Street - November 2012 

    Nov 10, 2012 Christopher Finger , Oleg Ruban

    Risk Management

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    The US equity market closures necessitated by Hurricane Sandy posed the potential for returns or risks to spike once the markets reopened.  We examine a number of RiskMetrics and Barra risk models in the aftermath of the storm, concluding that markets largely returned to normalcy, and no special model treatment of those days was necessary.

  17. PAPER

    US Market Report - After the Storm - Navigating US Equity Markets in the Aftermath of Hurricane Sandy - November 2012 

    Nov 5, 2012 Oleg Ruban

    Asset Allocation and Asset Liability Management , Factor and Risk Modeling , Investing (Investment Management) , Portfolio Construction and Optimization , Risk Management

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    In the aftermath of Hurricane Sandy, we examine the impact of past US natural disasters on the cross-section of US equity returns. Investors might expect the recent hurricane to have an impact on the broad market, as well as pronounced effects in certain industries and sectors. Based on our analysis, we conclude that few predictable patterns emerged in the cross-section of equity returns following the natural disasters that we analyzed.

  18. PAPER

    Research Insight - Manager Crowding and Portfolio Construction - October 2012 

    Oct 10, 2012 Oleg Ruban , Jyh-huei Lee , Jay Yao , Dan Stefek

    Investing (Investment Management) , Portfolio Construction and Optimization , Risk Management

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    Following the “quant meltdown” of August 2007, market observers became concerned that quant strategies were leading to crowded trades. This paper analyzes the impact that a risk model used in portfolio construction has on manager crowding by identifying the drivers of crowding and by illustrating their impact.  A risk model’s effect on manager crowding depends, in part, on how alphas used by different managers are related to each other, and to the risk model factors. We explain how this works with some simple, intuitive examples, and with the aid of a well established analytical framework.

  19. PAPER

    Research Insight - Is Your Risk Model Letting Your Optimized Portfolio Down? - August 2012 

    Aug 23, 2012 Oleg Ruban , Jyh-huei Lee , Jay Yao , Dan Stefek

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

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    Many portfolio managers use multi-factor models, but not all factor models are equally effective in forecasting risk. Flawed model construction can result in optimized portfolios that are not efficient.  This paper addresses the concern of portfolio managers that some risk models used in optimization may not be forecasting risk accurately, or may be creating suboptimal portfolios. We review pitfalls in portfolio construction and explain how MSCI’s best practices in model building are designed to overcome these challenges.

  20. PAPER

    Europe Market Report - Identifying Safe Havens in Europe - July 2012 

    Jul 28, 2012 Zoltán Nagy , Oleg Ruban

    Investing (Investment Management) , Portfolio Construction and Optimization

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    The crisis in the European sovereign bond and equity markets that started in late 2009 is still not resolved. As European economies and the local equity markets form a strongly connected network, the whole region – including core countries – is exposed to potential negative developments in Greece, Portugal, Spain, Ireland, and Italy. In this report, we show how the Barra Europe Equity model (EUE3) can be used to help identify stocks that are less sensitive to the unfavorable movements in troubled countries. Using the covariance matrix of the EUE3 model, we calculate the predicted betas of European stocks with respect to a given country. After repeating this separately for the five most troubled countries (Ireland, Portugal, Spain, Italy, and Greece), we look for common characteristics of the lowest beta stocks. Our results show important regional, sector and style commonalities among these securities.

  21. PAPER

    Global Market Report - What Do We Know About Rapid Increases in Risk? 

    Jun 2, 2012 Rachael Smith , Oleg Ruban

    Factor and Risk Modeling , Investing (Investment Management) , Performance Analysis , Risk Management

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    Following a benign first quarter of 2012, investors have seen a breakdown in the Eurozone, which may cause a significant increase in risk aversion. Implied volatility is a common gauge of investor risk aversion and investor sentiment. In this report, we analyze factor returns in different volatility regimes and found that stocks with positive exposures to Size, Dividend Yield, Momentum and negative exposures to Residual Volatility and Leverage may have provided a hedge during rapid shifts to risk aversion. The sector analysis during the same period showed that Defensives increasingly outperformed, while Cyclicals underperformed, as uncertainty and risk aversion increased.

  22. PAPER

    Europe Market Report - The Recent Value Conundrum - April 2012 

    Apr 30, 2012 Zoltán Nagy , Oleg Ruban

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

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    According to popular index-based measures, value stocks have tended to underperform growth stocks since 2010.  Alternative measures  of the value effect have shown different return profiles. In this report, we compare these different measures while touching on the practical issues of value investing, illustrating how unintended biases in a portfolio designed to capture the value effect could strongly influence its performance.

  23. PAPER

    Quantitative Insight - The Impact of Macro Factors for Canada Equities 

    Apr 20, 2012 Oleg Ruban

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

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    The characteristics of the Canadian economy suggest that commodity returns are an important risk driver for Canadian equities. One of the highlights of the new Barra Canada Equity model (CAE5) is an enhanced style factor structure, which includes two commodity-related factors: oil and gold sensitivity. These factors explain the return differences between stocks caused by sensitivity to spot commodity returns. We illustrate how these factors add value by providing information in addition to industry structure. Historically, commodity sensitivity factors have had strong return profiles, intuitive correlations with market performance, and significant contributions to portfolio returns.

  24. Sector rotation strategies are a staple of finance textbooks. This paper discusses sector rotation strategies and contributes beyond the typical literature by highlighting the need to look at the style profile within each sector. Most of the earlier studies on sector rotation focus on the links between industry membership and the macroeconomic or market cycles. We find that style exposures play an important role in sector performance, and returns driven by style effects can dominate returns due to industry membership. Our results suggest that analyzing and managing the style profile of sector rotation strategies can be a key component for the successful implementation of such strategies.

  25. This paper presents a framework for conducting effective stress tests and incorporating insights from stress tests in portfolio construction. We examine how to determine the scope of the test, how to construct severe, but plausible scenarios, how to transmit the shock to the portfolio and how to incorporate the results of stress tests in portfolio construction. Stress testing can be a useful complement to risk model outputs, such as volatility, VaR, and expected shortfall. The key advantage of stress tests is that the loss is linked to a specific event, which can be more meaningful to portfolio managers than a summary statistic of a loss distribution. Prior research on stress testing has concentrated on ways to develop realistic and relevant shocks. The framework presented here attempts to expand on this, by illustrating that stress testing is a broader process addressing a wide range of investment problems and is useful in all stages of investment decisions.

  26. PAPER

    The Curse of Olympian Spending with International Borrowing 

    Jun 16, 2010 Anand Iyer , Philippe Vannerem , Oleg Ruban

    Investing (Investment Management) , Risk Management

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    This Research Insight examines the impact of the unfolding European sovereign debt crisis, focusing on Greece, Portugal, Ireland, Spain, and Italy (GPISI). We use the new, short-horizon Barra Integrated Model (BIM Daily) to measure sovereign bond investment risk and provide insight into this market development. First, we highlight the background of this emerging crisis, in particular the links to government debt, fiscal deficits, maturity distribution, and levels of external borrowing. Then, we show how the recent volatility in European sovereign debt markets was reflected in BIM risk forecasts and led to high risk concentrations in a European government bond portfolio. Finally, we provide an historical and qualitative perspective to evaluate the potential widening of credit contagion.

  27. This paper examines the recent trend of adding leverage to fixed income allocations of multi-asset class portfolios of large asset owners. We show that the optimality of adding leverage from a volatility-reduction perspective depends on the correlations between bonds and equities, the relative volatility of bonds versus equities, and the weights of the two asset classes in the portfolio. If correlations between bonds and equities are negative, adding leverage could reduce the volatility of a portfolio, especially if the weight in fixed income assets is low, leverage is moderate, and bonds have a low risk relative to equities. Negative correlations also increase the likelihood that adding leverage will improve the risk-return profile of the portfolio. Asset owners considering adding leverage to their fixed income allocation can examine these influences to decide whether negative correlations between bonds and equities, a low ratio of bond to equity volatility, and higher risk-adjusted returns of bonds relative to equities are likely to persist.

  28. PAPER

    International Diversification from a UK Perspective 

    Apr 1, 2009 Dimitris Melas , Oleg Ruban

    Investing (Investment Management)

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    The market turmoil of 2008 highlighted the importance of risk management to investors in the UK and worldwide. Realized risk levels and risk forecasts from the Barra Europe Equity Model (EUE2L) are both currently at the highest level for the last two decades. We explore the historical diversification effects of an international allocation for UK investors. We illustrate that investing only in the UK market can be considered an active deviation from a global benchmark. A UK domestic strategy has high concentration, leading to high asset-specific risk, and significant style and industry tilts. We show that an international allocation resulted in higher returns and lower risk for a UK investor in the last one, three, five, and ten years. In GBP terms, the MSCI All Country World Investable Market Index (ACWI IMI) — a global index that could be viewed as a proxy for a global portfolio — achieved higher return and lower risk compared to the MSCI UK Index during these periods. The decreases in risk represented by allocations to MSCI ACWI IMI were robust based on four different measures of portfolio risk.