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Backtesting Year in Review: A Look at 2018
Feb 19, 2019
In this semi-annual MSCI Model Backtesting Review publication, we evaluate the 2018 performance of the key risk methodologies available in RiskMetrics RiskManager. These models are tested on a broad set of fixed-income and equity portfolios, representing global equity and bond markets. We review the major market events of 2018 in the context of risk-model performance and include a deeper analysis of the ramifications of oil price dynamics and high-yield credit markets.
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Research authors
- Balazs Vajda, Senior Associate, MSCI Research
- Monika Szikszai, Associate, MSCI Research
- Thomas Verbraken, Executive Director, MSCI Research