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Roman Kouzmenko

Roman Kouzmenko

Executive Director, MSCI Core Equity Research

Roman Kouzmenko is an Executive Director in the MSCI Core Equity Research Team, which conducts proprietary research and strategic product development to address clients’ investment problems. Roman is a Chartered Financial Analyst and holds an MSc in Mathematics from the Swiss Federal Institute of Technology in Lausanne.

Research and Insights

Articles by Roman Kouzmenko

    The Drivers of ESG Returns

    Report | Feb 26, 2021 | Navneet Kumar , Roman Kouzmenko , Guido Giese , Zoltán Nagy

    As the COVID-19 crisis affected financial markets, all standard MSCI ACWI ESG equity indexes outperformed their market-capitalization benchmarks. Where has this outperformance come from? Have inflows into ESG investments driven up equity valuations, possibly creating a price bubble?

    The Many Faces of Sentiment

    Report | Dec 4, 2020 | Roman Kouzmenko , George Bonne , Vipul Jain

    We extend our research into sentiment measures by introducing several more traditional and alternative datasets, analyzing their historical and recent performance individually, and as an equal-weighted combination. Our analysis indicates sentiment factors increased transparency into sources of risk and return and the potential for positive risk-adjusted returns, compared to traditional factors.

    Did Size Matter for Small-Cap Outperformance?

    4 mins read Blog | Nov 16, 2020 | Roman Kouzmenko

    Good vaccine news on Nov. 9 drove unusual equity-index and factor returns, including in small caps. The MSCI USA Small Cap Index returned 3.03% that day vs. 0.82% for the MSCI USA Index. Was this due to the size factor, or was there a bigger story?

    Short Interest Factor Performance in Times of Crisis

    Blog | Jun 24, 2020 | Vipul Jain , Roman Kouzmenko

    Given recent short interest factor performance, we asked: What has been the relationship between this factor and large market drawdowns? Were there changes in short selling during COVID-19? Did short-selling bans affect short interest factor performance?

    Five Lessons for Investors From the COVID-19 Crisis

    Report | May 19, 2020 | Dimitris Melas , Navneet Kumar , Zoltán Nagy , Roman Kouzmenko

    The coronavirus pandemic sparked a surge of volatility across global financial markets. What lessons could investors draw from the COVID-19 crisis? In this paper, we present and discuss empirical evidence supporting five key lessons for investors regarding global investing, managing factors, active management, indexed investing and ESG investing.

    Did insider transactions have secrets to tell?

    Blog | Nov 18, 2019 | Vipul Jain , Roman Kouzmenko

    Company insiders’ trading of their company’s stock is usually subject to strict rules, including public disclosure. Did observing insider transactions provide more information about expected company performance than traditional sources?

    Have regional equity-market correlations risen?

    Blog | Nov 14, 2019 | Guido Giese , Roman Kouzmenko

    Global equity investors use regions as building blocks in asset allocation, typically segregating markets by how developed they are and by geography. Has globalization reduced the potential for geographical portfolio diversification?

    Lessons from Woodford: Shutting the barn door after the horses have bolted

    Blog | Jun 14, 2019 | András Bohák , Roman Kouzmenko , Dimitris Melas

    The suspension of the U.K.’s Woodford Equity Income Fund highlights the value of regularly reviewing a portfolio’s factor exposures and liquidity characteristics for signs of style drift or deteriorating ability to redeem shares.

    Beaten-Down Beta

    Blog | Jan 3, 2019 | Roman Kouzmenko , Anil Rao

    U.S. and international equity markets fell sharply to close out 2018. The MSCI USA Index fell 15% in the fourth quarter alone. (It fell a total of 6% for the year.) As we previously examined, investors began rotating from cyclical sectors and factors to defensive ones in June. This pattern continued, in earnest, until October.

    Anatomy of Hedge Fund Portfolios

    Report | Jul 16, 2018 | Navneet Kumar , George Bonne , Roman Kouzmenko

    Measuring hedge funds’ positioning and potential crowding around stocks is of interest to many investors, given these funds’ reputation for outperformance. We explore the performance of hedge fund positions using MSCI HedgePlatform, which has advantages over U.S. Form 13F filings, including monthly data points, improved timeliness and full visibility of short positions.

    MSCI Integrated Factor Crowding Model

    Report | Jun 18, 2018 | George Bonne , Roman Kouzmenko , Leon Roisenberg , Peter Zangari

    With the rise of factor investing, institutional investors increasingly have sought to understand whether their factor exposures are crowded. Current MSCI Barra equity factor risk models are designed to provide insight and detail to help institutional investors understand how a portfolio is positioned and what has driven its risk and return. The MSCI Integrated Factor Crowding Model is designed to complement the Barra model by providing investors with insight into how the rest of the market...

    Does the market contain too much Facebook?

    Blog | Mar 27, 2018 | Roman Kouzmenko

    Facebook’s privacy issues, Apple’s European tax woes and Amazon’s global ambitions are constantly in the news. And over the last few years, large U.S. technology companies, sometimes known as FAANG, have made up larger slices of the global equity market. Should their level of market concentration concern investors?

    Scenarios, Stress Tests and Strategies for 2016

    Report | Jan 19, 2016 | Raghu Suryanarayanan , Thomas Verbraken , Jesse Phillips , Roman Kouzmenko , Carlo Acerbi , Jahiz Barlas , Mehmet Bayraktar , Andrei Morozov , Remy Briand

    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.

    A Liquid Benchmark for Private Real Estate

    Report | Jan 15, 2015 | Roman Kouzmenko

    Commercial real estate represents an important element of the asset allocation process but is difficult to access directly, with high barriers to entry and exit. Listed (or publicly held) real estate is far more liquid but these securities are far more volatile and incorporate an additional layer of leverage. Indexes tracking direct and listed real estate differ significantly in their calculation methodologies, making direct comparisons difficult. The MSCI USA IMI Liquid Real Estate Index...

    Capturing the Value Premium

    Report | Jul 15, 2014 | Madhusudan Subramanian , MSCI Index Research , Padmakar Kulkarni , Dimitris Melas , Roman Kouzmenko

    MSCI Value Weighted Indices are systematic indices that aim to reflect the value premium by employing an alternative weighting scheme that tilts the index towards stocks with lower valuation ratios. In this paper, we review the theoretical aspects of value weighted indices and through empirical studies we discuss the important facets of index construction that underpin the design of MSCI Value Weighted Indices. They are based on an objective and transparent methodology by which all the...

    Why Currency Returns and Currency Hedging Matters

    Report | Jul 15, 2014 | MSCI Index Research , Roman Kouzmenko

    With the growth of international investing, the impact of currency movements continues to be of significance. All investors are exposed to currency risk when investing in equities abroad and adverse moves in exchange rates can dramatically impact their performance. Hedging currency exposure is one technique for taking currency risk out of the equation when investing in foreign companies. The MSCI Hedged Indices provide one way to measure the performance of currency hedged equities. Here we...