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Backtesting Year in Review: A Look at 2018

categories: Americas, EMEAI, Risk Management Analytics, Risk Management, Asia Pacific, Asset Owners, Hedge Funds, Fixed Income, VERBRAKEN Thomas, Asset Managers (Quant or Fundamental), VAJDA Balázs, Szikszai Mónika, general

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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Year-in-Review Backtesting Paper 2018