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  1. BLOG

    Factors in Focus: Val-come Back! Shifting Factors as the Cycle Turns 

    Jan 6, 2021 Hitendra D Varsani , Waman Virgaonkar

    Factor Investing

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    In this two-year-anniversary edition of Factors in Focus, we reflect on the historical relationships between factor returns and macro cycles, which have provided useful information for investors looking to take an active stance on factor exposures based on their outlook.

  2. BLOG

    A Thematic Lens for Portfolios 

    Dec 17, 2020 Stuart Doole , Kumar Neeraj , Vishad Bhalodia

    Global Investing

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    We show how MSCI Thematic Exposure relevance scores helped position growth funds, as an example, alongside thematic funds, and highlighted key megatrends that drove performance. A thematic lens can help analyze other categories and strategies as well.

  3. BLOG

    The Doctor Is Making House Calls: Capturing Exposure to Telehealth 

    Dec 16, 2020 Manuel Rueda , Gaurav Trivedi

    Factor Investing , ESG Research

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    Telehealth has the potential to reduce inequalities in access to care as well as relieve strain on health systems. We tested an approach that combines natural-language processing and MSCI ESG Ratings screens.

  4. BLOG

    Kuwait’s Move from Frontier to Emerging Market 

    Dec 14, 2020 Saurabh Katiyar , Ashish Lodh

    Global Investing

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    Kuwait’s reclassification from frontier to emerging market and inclusion in the MSCI Emerging Markets Index provides investors exposure to yet another Gulf Cooperation Council member, one that has worked to open its doors to foreign investors.

  5. BLOG

    Accounting for Revenue Sources Tells a Richer Story 

    Dec 11, 2020 Jean-Maurice Ladure

    Global Investing , Emerging Markets , Economic Exposure

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    Despite North America’s outsized weighting in the MSCI ACWI Index, companies in the index generated only 30% of their global revenues there. We explore how examining revenue sources may help uncover opportunities of economic growth around the world.

  6. BLOG

    Private-Infrastructure Risk: Tilting at Windmills 

    Dec 8, 2020 Yang Liu , Sheng Yao

    Risk Management

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    Private-infrastructure investments are often treated as comparable to relatively safe long-duration bonds with attractive yields, but this approach can mislead investors as they evaluate risk, yield and portfolio hedges.

  7. BLOG

    China Tech Investing: An Indexed Approach 

    Dec 2, 2020 Wei Xu , Kumar Neeraj , Devika Ghate

    Global Investing

    Learn More

    China’s emergence as a tech leader holds great potential. But its technology value chain isn’t limited to IT firms. Opportunity lies across sectors, from electric vehicles to medical devices. How does one effectively gain exposure?  

  8. BLOG

    How Diversified Are US Equity Investors? 

    Nov 24, 2020 Oleg Ruban

    Global Investing

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    The universe of stocks represented by the MSCI USA Index comprises over 600 securities. U.S. investors might assume there are ample opportunities for diversification and potential risk reduction in the domestic market. Is this assumption correct?

  9. BLOG

    The CDS Market Stayed Healthy amid COVID 

    Nov 23, 2020 Zoltan Fekete , Reka Janosik

    Risk Management

    Learn More

    Since the global financial crisis, many have expressed concern about the health and future of credit-default swaps. Could institutional investors find the liquidity they need to hedge credit risk in subsequent periods? We examine CDS liquidity during the COVID-19 crisis.

  10. BLOG

    Investor Reaction to US Elections and COVID-Vaccine Progress 

    Nov 18, 2020 Dimitris Melas , David Lunsford , Andy Sparks

    Factor Investing , Risk Management , ESG Research

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    To gauge investor expectations after Joe Biden was declared winner of the U.S. election and good news broke about COVID vaccines, we surveyed 151 U.S.-based financial advisers. We examine the advisers’ views on the next 12 months and markets’ reaction since Election Day.

  11. BLOG

    Did Size Matter for Small-Cap Outperformance? 

    Nov 16, 2020 Roman Kouzmenko

    Factor Indexes , Factor Investing , Factors

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    Good vaccine news on Nov. 9 drove unusual equity-index and factor returns, including in small caps. The MSCI USA Small Cap Index returned 3.03% that day vs. 0.82% for the MSCI USA Index. Was this due to the size factor, or was there a bigger story?

  12. BLOG

    Are Momentum’s Wings Finally Starting to Melt? 

    Nov 13, 2020 George Bonne , Jun Wang

    Factor Investing , Factors

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    Positive vaccine news on Nov. 9 caused big moves in industry and style factors. Those hit hardest this year jumped, while previous high performers slumped. Did this mark new factors leadership and a long-awaited rotation from momentum to value?

  13. BLOG

    Will Interest Rates Surge? Evidence from Options Markets 

    Nov 3, 2020 Greg Scheuer , Andy Sparks

    Fixed Income , Risk Management

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    With long-term interest rates near record lows, conventional wisdom suggests that they can only go up. But the interest-rate option markets seem to be telling a different story — that rate decreases are also a distinct possibility.

  14. BLOG

    China A Shares: What Have We Learned? 

    Oct 30, 2020 Zhen Wei

    Emerging Markets , Global Investing

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    In this first of a series of blogs covering specific index-inclusion stories, we explore China A shares’ inclusion in the MSCI Emerging Markets Index by looking back at how it occurred and what’s happened since with market and investor reaction.

  15. BLOG

    Was Infrastructure Solid During COVID-19? 

    Oct 27, 2020 Will Robson , Niel Harmse

    Real Estate Investing , Risk Management

    Learn More

    Infrastructure investments have not been spared the effects of the pandemic. A closer look across investment types, subsectors and risk levels over time may provide useful perspective as private-capital firms and their investors manage through.

  16. BLOG

    Aligning with the Paris Agreement: An Index Approach 

    Oct 22, 2020 Stuart Doole , Véronique Menou , Kumar Neeraj

    ESG Research , Global Investing

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    Institutional investors are under pressure to align their strategies with a maximum global temperature increase of 1.5oC as targeted by the Paris Agreement. We examine how they can approach this while respecting other investment constraints.

  17. BLOG

    Is US Equity Overvalued? A Macro View 

    Oct 19, 2020 Chenlu Zhou

    Equity Themes , Risk Management

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    Headed into what some see as “the second wave” of COVID-19, U.S. equity investors may ask: Is this a sustainable market recovery, or a bubble that may burst? We examine the question with our model for market-implied U.S. equity risk premium.

  18. BLOG

    Using Factors As a Magnifying Glass for Equities 

    Oct 14, 2020 Donald Sze

    Factor Indexes , Factor Investing , Factors

    Learn More

    Factors have been shown to be important systematic sources of risk and return. We examine how factor analysis can help identify investment characteristics that lie beneath the surface of seemingly similar stocks and equity portfolios.

  19. BLOG

    Factors in Focus: Impact of Inflation on Style Factors 

    Oct 2, 2020 Hitendra D Varsani , Waman Virgaonkar

    Factor Investing , Global Investing , Risk Management

    Learn More

    Global equities continued to rally in Q3, brushing aside fear of a second wave of COVID-19 and a large economic slump. We review what it meant from an equity and fixed-income factor perspective and look at what our models showed headed into Q4

  20. BLOG

    Hertz So Good? 

    Sep 30, 2020 Hamed Faquiryan , Manuel Rueda

    Fixed Income , Risk Management

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    We look at the unusual bankruptcy of Hertz Global Holdings Inc. — whose equity rallied in early June, when holders of Hertz bonds were expecting losses as high as 90% in default — to discuss the importance and subtleties of firms’ capital structures.

  21. BLOG

    Can MBS Duration Turn Negative? 

    Sep 29, 2020 Yihai Yu

    Fixed Income , Risk Management

    Learn More

    As mortgage rates have hit record-breaking lows, prepayment speeds have doubled. With the combination of a high price premium and elevated prepayment speed, could duration of mortgage-backed securities stray into negative territory?

  22. BLOG

    Stress Testing Inflation Scenarios 

    Sep 24, 2020 Thomas Verbraken , Daniel Szabo

    Fixed Income , Risk Management

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    Market-implied expectations indicate modest inflation. But some observers are concerned inflation may significantly rise, while others fear deflation. We discuss four inflation scenarios — and their potential implications for stocks and bonds.

  23. BLOG

    Bond Liquidity: How Bad Was COVID? 

    Sep 16, 2020 László Arany

    Risk Management

    Learn More

    Was bond liquidity worse during the COVID-19 outbreak or the 2008 global financial crisis? We analyzed transaction costs from the forced selling of USD 10 million of U.S. corporate bonds, throughout the two crises.

  24. BLOG

    Assessing Company Alignment with UN SDGs 

    Sep 14, 2020 Olga Emelianova

    ESG Research , Global Investing

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    Five years ago, the United Nations adopted 17 UN Sustainable Development Goals (SDGs) in an effort to end extreme poverty, reduce inequity and protect the planet by 2030. Using a new tool, we examine whether companies are walking the walk.

  25. BLOG

    Missed Rents’ Impact on Real Estate 

    Sep 11, 2020 Bryan Reid , Niel Harmse

    Real Estate Investing , Fixed Income

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    Some commercial tenants have stopped paying rent amid COVID-19. Without rental income, property funds are not able to pay distributions to shareholders and borrowers cannot service their debt. We analyzed property-fund data to assess the impact on investors.

  26. BLOG

    How to Describe a Factor 

    Sep 10, 2020 Abhishek Gupta , Ashish Lodh , Subhajit Barman

    Factor Indexes , Factor Investing , Factors

    Learn More

    How to define a factor? It’s a challenge for asset owners and wealth managers in evaluating how well factor products meet investment objectives. We found an improved and more robust measure can be formed by combining multiple descriptors. 

  27. BLOG

    Are Securitized Products Ready for the LIBOR-SOFR Transition? 

    Sep 2, 2020 Joy Zhang , Yihai Yu

    Fixed Income , Integrated Risk Management

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    Will the securitization industry be ready for the transition from LIBOR to the secured overnight financing rate (SOFR), as it faces the fact that LIBOR can no longer be guaranteed beyond the end of 2021? As the industry mobilizes, significant challenges remain.

  28. BLOG

    ESG in Mexico: At a Fork in the Road? 

    Aug 27, 2020 Mario López-Alcalá

    ESG Research , Emerging Markets , Global Investing

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    Mexican companies’ ESG risk-mitigation practices have come a long way over the past decade, but there has been some slippage over the past two years. We examine the current status and why investors may want to pay attention.

  29. BLOG

    Alternative Views of Equity-Market Liquidity During COVID-19 

    Aug 26, 2020 Saurabh Katiyar , Reil Abucay , Chirag Gosar

    Emerging Markets , Global Investing , Risk Management

    Learn More

    Institutional investors have typically used traded volume as a way to assess market liquidity. Adding alternative measures that gauge market impact and trading costs can provide a more comprehensive view for portfolio managers and traders.

  30. BLOG

    Understanding the Industry-Momentum Factor 

    Aug 19, 2020 Alex Johnson , Simon Minovitsky

    Factor Investing , Risk Management , Global Investing

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    When COVID-19 first swept through global equity markets, many factors exhibited unprecedented performance swings. How could institutional investors interpret the industry-momentum factor’s moves in the context of the underlying market dynamics?

  31. BLOG

    Growth Without the Side Effects 

    Aug 17, 2020 Mehdi Alighanbari

    Factor Indexes , Factor Investing , Factors

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    Growth has sometimes been viewed as the opposite of value. By extending the concept of growth at a reasonable price, we were able to capture the growth premium without it being lost to unintended factor exposures.

  32. BLOG

    Index Futures and the Expansion of Equity Markets in EM and Asia 

    Aug 4, 2020 Zhen Wei

    Global Investing , Emerging Markets

    Learn More

    Given equity market growth in the emerging markets and Asia, and the dispersion of returns across individual subregions and countries, some have looked beyond traditional long-only approaches, to others, such as futures. We explore those options.

  33. BLOG

    Did Bonds Deliver? Leveraging Fixed Income During the COVID Crisis 

    Jul 29, 2020 Juan Sampieri , Andy Sparks

    Fixed Income , Risk Management

    Learn More

    Investors may employ leverage with lower-risk asset classes such as bonds to seek higher risk and returns. We assessed the effects of leverage on the returns of three hypothetical multi-asset-class portfolios during the COVID-19 crisis.

  34. BLOG

    Corporate Bonds Through a Factor and ESG Lens 

    Jul 20, 2020 Rohit Mendiratta , Hitendra D Varsani

    ESG Research , Factor Indexes , Factor Investing , Factors , Fixed Income , Risk Management

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    COVID-19 has had a profound impact on how companies manage cash flows and liquidity. Bond investors face the possibility of increased leverage, rating downgrades and defaults. Can factors and ESG metrics shed light on these risks?

  35. BLOG

    Managing Climate Risk in Equity Portfolios: A Case Study 

    Jul 15, 2020 Bruno Rauis , Zoltán Nagy

    ESG Research , Global Investing

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    Institutional investors are increasingly focused on mitigating their climate-related risks. How could a “typical” active global equity manager have managed these exposures without disturbing the portfolio’s risk and return characteristics?

  36. BLOG

    Measuring Firms’ Remote-Workforce Abilities 

    Jul 14, 2020 Howard Zhang , Daniel R. Barrera , Manuel Rueda

    Factor Investing , Factors

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    It’s clear that some companies were better positioned to take advantage of a remote work environment than others. We built a hypothetical “remote-operation capacity” factor to seek to measure the effect on different firms.

  37. BLOG

    Up in Smoke? Brazil’s Wildfires May Affect Bond Spreads 

    Jul 10, 2020 Hamed Faquiryan , Mario López-Alcalá

    ESG Research , Fixed Income , Risk Management

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    Clearing Brazilian forests to make way for agriculture may spur a backlash to soy and beef producers if purchasers impose deforestation-free rules. What are the potential implications for debt of affected companies and for Brazilian sovereign debt?

  38. BLOG

    Would Integrating ESG in Chinese Equities Have Worked? 

    Jul 7, 2020 Naoya Nishimura , Shuo Xu

    ESG Research , Emerging Markets , Global Investing

    Learn More

    ESG ratings have reflected financial risk and returns in developed-market and emerging-market equities. But was this true in China, where ESG considerations are still in their infancy?

  39. BLOG

    Factors in Focus: How Trendy Is Your Style Factor? 

    Jul 6, 2020 Hitendra D Varsani , Waman Virgaonkar , Rohit Mendiratta

    Factor Investing , Risk Management

    Learn More

    As markets rallied worldwide, investors took on high-beta exposure and rotated away from stocks with lower risk. The latest edition of Factors in Focus explores the details.

  40. BLOG

    Surging Corporate-Bond Supply: Reason to Worry? 

    Jul 1, 2020 Andy Sparks , Gergely Szalka

    Fixed Income , Risk Management

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    In the months since the onset of the COVID-19 pandemic, companies issued a large amount of corporate bonds. As a result of this surge, corporate debt has grown substantially — a burden that institutional credit investors may wish to monitor closely.

  41. BLOG

    Did Value-Factor Exposure Deliver for Value Funds? 

    Jun 29, 2020 Saurabh Katiyar , Ashish Lodh , Vishad Bhalodia

    Factor Investing , Global Investing

    Learn More

    Building on previous MSCI research into the nuanced performance of the value factor, including the impact of sectors and other style factors, we look at how exposure to value drove the performance of actively managed value funds.

  42. BLOG

    ESG Ratings: How the Weighting Scheme Affected Performance 

    Jun 29, 2020 Zoltán Nagy , Linda-Eling Lee , Guido Giese

    Global Investing , ESG Research

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    Our recent research suggests that environmental and social issues were more industry specific and tended to show up in financial measures over a longer time frame compared to governance issues. How can E, S and G issues be combined?

  43. BLOG

    Short Interest Factor Performance in Times of Crisis 

    Jun 24, 2020 Vipul Jain , Roman Kouzmenko

    Factors , Factor Investing

    Learn More

    Given recent short interest factor performance, we asked: What has been the relationship between this factor and large market drawdowns? Were there changes in short selling during COVID-19? Did short-selling bans affect short interest factor performance?

  44. BLOG

    Which ESG Issues Mattered Most? Defining Event and Erosion Risks 

    Jun 22, 2020 Guido Giese , Zoltán Nagy , Linda-Eling Lee

    Global Investing , ESG Research

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    Very different ESG issues can be material for different industries. Our research suggests that risks can be divided into two main types: “event” risks and “erosion” risks to companies’ long-term competitiveness. Which ones mattered most for E, S and G?

  45. BLOG

    Is ESG All About the ‘G’? That Depends on Your Time Horizon. 

    Jun 15, 2020 Linda-Eling Lee , Guido Giese , Zoltán Nagy

    Global Investing , ESG Research

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    The conventional wisdom has it that governance is the most dominant of the three E, S and G pillars. But our analysis finds different results when looking at contribution to performance over different time horizons.

  46. BLOG

    Equity-Market Dislocation and Index-Based Investing 

    Jun 3, 2020 Zhen Wei , Shuo Xu

    Emerging Markets , Global Investing

    Learn More

    Market turbulence amid COVID-19 presented risks and opportunities. We explore how indexes , combined with the use of fundamental data, provided a wealth of information to help identify potential market dislocations.

  47. BLOG

    Outcome-Oriented Factor Investing with a ‘Barbell’ Approach 

    Jun 1, 2020 Zhen Wei , Shuo Xu

    Factor Indexes , Factor Investing , Global Investing

    Learn More

    Though relatively new to wealth investors, index-based factor investing has some similarity to a high-conviction, outcome-oriented approach. We explore combining the two when seeking outcomes such as equity growth, yield enhancement and risk mitigation.

  48. BLOG

    Can AI Model the Complexities of MBS Prepayment? 

    May 29, 2020 Joy Zhang , Yini Yang

    Fixed Income , Risk Management

    Learn More

    Machine learning using neural networks has been successfully applied to fields in which extremely complex patterns can prove challenging for other algorithms. Are neural networks suited for modeling prepayment risk in agency mortgage-backed securities?

  49. BLOG

    Building Better ESG Indexes: 30 Years On 

    May 27, 2020 Stuart Doole

    Global Investing , ESG Research

    Learn More

    How ESG indexes have evolved over the past 30 years: A Q&A with Stuart Doole, head of new index development at MSCI, about his conversations with investors since the COVID19 crisis started, the growth of ESG investing and how MSCI Research uses AI and machine learning in developing its ESG indexes.

  50. BLOG

    Robust Selection Paid Dividends 

    May 22, 2020 Neeraj Dabake , Ankit Shah

    Global Investing

    Learn More

    Dividend cuts following the COVID-19 slowdown led to approximately USD 194 billion of lost dividends between February and April 2020. An approach that looked beyond dividend-yield ranking would have avoided some affected companies, based on our analysis.

  51. BLOG

    Four COVID-19 Scenarios: What Might Happen Next? 

    May 21, 2020 Thomas Verbraken , Juan Sampieri

    Fixed Income , Risk Management

    Learn More

    Our latest COVID-19 stress test looks at four potential financial-market outcomes ranging from a swift V-shaped recovery to a pessimistic L-shaped scenario, in which outbreaks recur and lockdowns return well into 2021.

  52. BLOG

    Five lessons for investors from the COVID-19 crisis 

    May 19, 2020 Dimitris Melas

    ESG Research , Factors , Global Investing

    Learn More

    COVID-19 unleashed a torrent of sharp movements across global financial markets. We highlight five key lessons for investors regarding global investing, managing factors, active management, indexed investing and ESG investing.

  53. BLOG

    Using Risk Analytics to Highlight Opportunities in Volatile Markets 

    May 18, 2020 Michael Hayes

    Risk Management , Fixed Income

    Learn More

    Risk analytics can serve many functions for an institutional investor, including compliance, risk management, portfolio management and trading and strategy development. They may also highlight new opportunities that may be unique to volatile markets.

  54. BLOG

    Index Rebalancing During High Volatility: A Balancing Act 

    May 13, 2020 Abhishek Gupta , Pavlo Taranenko , Sebastien Lieblich

    Global Investing , Emerging Markets

    Learn More

    Significant volatility during COVID-19 highlights a need for index reconstitution, but some may worry about trading costs and excess turnover. We investigate the balance between appropriate market representation and avoiding high index turnover.

  55. BLOG

    Consumer ABS Under Coronavirus in the US and China 

    May 11, 2020 Yini Yang , Jian Chen , Joy Zhang

    Emerging Markets , Fixed Income , Global Investing , Risk Management

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    Beyond COVID-19’s steep human toll, the pandemic’s disruption of economic life has led to widespread loss of income and impaired some borrowers’ ability to repay loans. What could the impact be for investors in consumer asset-backed securities in the U.S. and China?

  56. BLOG

    How Hedge Funds Navigated the Start of COVID-19 Volatility 

    May 8, 2020 Donald Sze , Navneet Kumar

    Factor Investing , Factors , Risk Management

    Learn More

    How did hedge funds navigate the initial volatility amid COVID-19? Though holdings information is limited, and delayed, we gained insights into their reaction by examining the change in hedge-fund portfolios between the end of January and end of February.

  57. BLOG

    Credit in the COVID Crisis: Contagion, Valuation, Default 

    May 6, 2020 Hamed Faquiryan , Reka Janosik , Andras Rokob

    Fixed Income , Risk Management

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    As the COVID-19 crisis unfolded, credit markets deteriorated under the stress of a sharply diminished economic outlook. We analyze three indicators of credit-market conditions: default risk, relative value and contagion risk.

  58. BLOG

    Using Derivatives to Manage Volatile Markets 

    May 4, 2020 Hitendra D Varsani , Rohit Mendiratta

    Emerging Markets , Global Investing , Risk Management

    Learn More

    We’ve previously noted growth in derivatives contracts to manage emerging-markets exposure in normal and stressed times. Now, facing a real-world stress test, how did investors use these tools? How have implied volatilities and option premium changed?

  59. BLOG

    Hunting a COVID-19 factor 

    Apr 29, 2020 George Bonne , Jun Wang

    Factor Indexes , Factor Investing , Factors

    Learn More

    Can we identify a COVID-19 factor and quantify companies’ exposure to it? We explored three ways to do so — from very simple to more complex methods.

  60. BLOG

    Did hedging tail risk pay off? 

    Apr 27, 2020 Peter Shepard , John Burke

    Risk Management

    Learn More

    Investors taking stock of the coronavirus fallout and recent market volatility have begun exploring tail-risk-hedging strategies as a way to protect against further drawdowns. What are the potential costs and benefits of hedging against tail risk?

  61. BLOG

    US inflation: The market’s implied view 

    Apr 21, 2020 Andy Sparks , Greg Scheuer

    Fixed Income , Risk Management

    Learn More

    Dramatic declines in oil prices, the Federal Reserve’s aggressive monetary policy and higher fiscal deficits may create a confusing outlook for U.S. inflation. We examine what the market is telling us about where inflation may be heading.

  62. BLOG

    Resilient stocks during the dog days of March 

    Apr 17, 2020 Mehdi Alighanbari

    Factor Investing , Factor Indexes , Factors

    Learn More

    While many stocks were in the red in mid-March, as COVID-19 and oil-market shocks took hold, some were “redder” than others. We examine global markets to better understand the characteristics of the more resilient stocks during this period.

  63. BLOG

    Can diversification help weather the coronavirus storm? 

    Apr 16, 2020 Raina Oberoi , Abhishek Gupta , Jean-Maurice Ladure

    Emerging Markets , Factor Indexes , Factor Investing , Factors , Global Investing

    Learn More

    Whether investors include a tactical approach or invest strategically for the long term, diversifying across factors, sectors and geographies has historically played an important role in portfolio construction. 

  64. BLOG

    Could coronavirus depress US housing prices? 

    Apr 15, 2020 Yihai Yu , Joy Zhang

    Risk Management , Fixed Income

    Learn More

    The large economic shocks unleashed by the coronavirus pandemic could be comparable to or even exceed those of the 2008 global financial crisis (GFC). We used our models to assess whether these shocks could hurt U.S. housing prices as much as the GFC did.

  65. BLOG

    Green bonds: Growing bigger and broader 

    Apr 14, 2020 Meghna Mehta

    ESG Research , Fixed Income , Global Investing

    Learn More

    As the green-bond market matures, it is developing offshoots. The types of projects financed, as well as the emergence of innovative types of bonds and loans linked to the ESG targets, is growing. These initiatives may broaden the market for green investment options.

  66. BLOG

    Corporate-bond performance by factors and ESG 

    Apr 14, 2020 Hitendra D Varsani , Rohit Mendiratta

    ESG Research , Factor Indexes , Fixed Income , Risk Management

    Learn More

    The volatility seen in equity markets was also present among investment-grade corporate bonds,. We use factors and ESG ratings to dissect these bonds’ performance over Q1 2020.

  67. BLOG

    For target-date funds, hindsight was 40/60 

    Apr 9, 2020 Anil Rao

    ESG Research , Factor Indexes , Fixed Income , Risk Management

    Learn More

    Recent market volatility has been especially unkind to those closest to and early in retirement, as the sequence of returns matters for retirement income. Would low-volatility and ESG investments have benefited target date funds during volatile periods?

  68. BLOG

    Quantifying ESG fund performance 

    Apr 6, 2020 Raina Oberoi , Guillermo Cano

    ESG Research , Factors

    Learn More

    One challenge facing investors is how to quantify the impact ESG has had on their investment process. We analyzed top ESG funds to better understand the contribution of the ESG factor to their performance.

  69. BLOG

    Will coronavirus reduce emissions long term? 

    Apr 3, 2020 Oliver Marchand , Nathan Faigle

    ESG Research , Global Investing

    Learn More

    Has COVID-19 affected carbon emissions? Using satellite imagery from NASA and the European Space Agency, we examined the empirical data so far to understand the potential impact, and if there may be a decline in global greenhouse-gas emissions in 2020.

  70. BLOG

    Factors in Focus: Risk sentiment and factor dynamics in a crisis 

    Apr 2, 2020 Hitendra D Varsani , Waman Virgaonkar , Rohit Mendiratta

    Factor Indexes , Factor Investing , Factors , Fixed Income

    Learn More

    We analyzed the market effects from COVID-19 and a Saudi Arabia/Russia oil-price war. We also examined – for the first time – credit factor performance. How did the quarter play out? What did our adaptive multi-factor model show as it ended?

  71. BLOG

    Managing risk-model uncertainty through a crisis 

    Mar 27, 2020 Michael Hayes

    Risk Management

    Learn More

    The impact on risk policy has been similar across market crises, as investors consider how to use their models in the new regime. We describe adaptive modeling for internal and external risk policy, and long-view backtesting to support decision-making.

  72. BLOG

    ‘Nowcasting’ private equity in the coronavirus crisis 

    Mar 26, 2020 Peter Shepard , Yang Liu

    Risk Management

    Learn More

    What may be happening to the value of portfolios of private assets during the COVID-19 crisis? We used MSCI’s private-equity model, which integrates data on private assets from our partner Burgiss, to try to shed some light.

  73. BLOG

    How could coronavirus impact credit markets? 

    Mar 25, 2020 Juan Sampieri , Andy Sparks , Thomas Verbraken

    Risk Management , Fixed Income

    Learn More

    While newspaper headlines are focused on volatile stock markets stemming from the COVID-19 pandemic, credit markets are not immune. Our latest stress test asks, “What would it mean for portfolios if losses reached 2008 levels?”

  74. BLOG

    Asset allocation and index futures during market crises 

    Mar 25, 2020 Zhen Wei , Shuo Xu , Wei Xu

    Emerging Markets , Global Investing , Risk Management

    Learn More

    During market crises, institutional investors have employed derivatives contracts to hedge market risks or express views on certain performance/risk characteristics. We explore prior use of futures for exposure management and tactical asset allocation.

  75. BLOG

    Integrating ESG in emerging markets and Asia 

    Mar 18, 2020 Zhen Wei

    ESG Research , Emerging Markets , Global Investing

    Learn More

    Previously, we have examined the relationship between ESG characteristics and financial performance in developed markets. In this blog post, we explore whether ESG characteristics  have had financially significant effects in emerging markets and Asia.

  76. BLOG

    What scenarios has the US equity market priced in? 

    Mar 13, 2020 Peter Shepard , Andrea Amato , Chenlu Zhou

    Risk Management

    Learn More

    With the outbreak of the COVID-19 pandemic, the U.S. equity market turned sharply downward. We performed a reverse stress test considering various scenarios that potentially explain current valuations.

  77. BLOG

    Coronavirus and oil hit equities — how low can we go? 

    Mar 12, 2020 Dimitris Melas

    Risk Management , Global Investing

    Learn More

    We compare the market turmoil sparked by the coronavirus pandemic with levels of volatility, drawdown and recovery after 9/11 and the global financial crisis (the two other similarly severe economic and market shocks of the last 20 years).

  78. BLOG

    Have corporate green bonds offered lower yields? 

    Mar 10, 2020 Zach Tokura

    ESG Research , Risk Management , Fixed Income

    Learn More
  79. BLOG

    Coronavirus and a potential MBS convexity whipsaw 

    Mar 6, 2020 Yihai Yu

    Risk Management

    Learn More

    Amid rising fears that the human toll of coronavirus will have a significant impact on the global economy, investors have sought safety in Treasurys and driven yields to all-time lows. This rate rally has posed a hedging challenge for investors in mortgage-backed securities.

  80. BLOG

    The coronavirus market impact spreads globally 

    Mar 5, 2020 Jun Wang , Jay Yao , George Bonne

    Factor Investing , Global Investing

    Learn More

    Fear of a coronavirus pandemic and ensuing economic impacts caused sharp drops in global markets after an initially mild response. We look at recent performance from a factor perspective and how quickly factor returns and volatility reverted in past crises.

  81. BLOG

    A coronavirus stress test for global markets 

    Mar 4, 2020 Thomas Verbraken , Chenlu Zhou , Juan Sampieri

    Fixed Income , Global Investing , Risk Management

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    After the coronavirus spread to multiple continents, markets recorded the worst week since the crisis. How much further could markets drop if epidemic turns into pandemic? Our stress test indicates room for further losses.

  82. BLOG

    Navigating market volatility with agency MBS models 

    Feb 26, 2020 David Zhang

    Fixed Income , Risk Management

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    We performed our annual review of MSCI’s model for managing prepayment and interest-rate risk in agency mortgage-backed securities. How closely did the model’s forecasts anticipate what we observed in the market?

  83. BLOG

    ESG and the cost of capital 

    Feb 25, 2020 Ashish Lodh

    ESG Research , Global Investing , Emerging Markets

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    We know a lot about the relationship between companies’ ESG characteristics and financial performance. But was there a correlation between ESG scores and cost of capital?

  84. BLOG

    The coronavirus epidemic: Implications for markets 

    Feb 12, 2020 Zhen Wei , Jun Wang , Thomas Verbraken

    Economic Exposure , Emerging Markets , Factor Investing , Fixed Income , Global Investing , Risk Management

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    The toll from the coronavirus has been felt throughout societies, leading to repercussions on the global economy and financial markets. We examine investor impact through markets’ economic exposures to China and factors and by stress testing portfolios.

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