MSCI Fixed Income Factor Model
Aug 18, 2022
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 indexed 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.
- Peter Shepard, Managing Director, MSCI Research