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The MSCI Macroeconomic Risk Model

categories: Portfolio Management Analytics, Americas, EMEAI, Risk Management Analytics, Asset Allocation and Asset Liability Management, Factor and Risk Modeling, Investing (Investment Management), Portfolio Construction and Optimization, Risk Management, Asia Pacific, Asset Owners, Hedge Funds, Equities, Fixed Income, Multi-Asset Class, Asset Pricing and Valuation, Research Paper, SURYANARAYANAN Raghu, Asset Managers (Quant or Fundamental), BARLAS Jahiz, URBAN Andras, general

From the risks of a hard landing for the Chinese economy to the future course of the U.S. Federal Reserve’s interest rate policy, institutional investors face persistent global macroeconomic uncertainties in managing their portfolios. The need for a toolkit to help them design and stress test portfolios under macroeconomic scenarios in a consistent fashion has become critical.

To this end, we have developed a new globally integrated model – the MSCI Macroeconomic Risk Model – and a structured framework to:

  • Generate scenarios for macroeconomic factors such as GDP growth and inflation
  • Trace the effects of macroeconomic shocks to portfolio return and allocations over multiple horizons

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