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The MSCI Fixed Income Factor Model

categories: Risk Management Analytics, Factor and Risk Modeling, Fixed Income, Research Paper, SHEPARD Peter, general

This Model Insight introduces the MSCI Fixed Income Factor Model (FI400), MSCI’s fourth-generation fixed income factor model suite. The model represents the key drivers of risk and return in the modern fixed income markets. It combines detailed representations of individual fixed income markets and sectors integrated into a global, multi-asset class framework. Together, these components provide information that can drive more informed investment decisions and client interactions, forming a key pillar in the implementation, management, and distribution of fixed income strategies. Typical uses include active and passive portfolio management, performance attribution, portfolio optimization, asset allocation, product development, risk management and oversight, risk budgeting, and, increasingly, client communication of exposures. The model supports these investment decisions by providing clarity into portfolio exposures and relationships across multiple decomposition methods and horizons.

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MSCI Fixed Income Factor Model