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  1. BLOG

    Russian Bonds: Rolling Back the Default Clock 

    May 4, 2022 Andy Sparks , Gabor Almasi

    Fixed Income

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    The Russian government’s decision on April 29 to pay holders of two dollar-denominated Russian sovereign bonds led to a major rally, encouraging some investors that Russia may avoid default. There are, however, more challenges ahead. 

  2. BLOG

    Low Carbon 𝙖𝙣𝙙 High Liquidity for Bond Investors? 

    May 4, 2022 Afsaneh Mastouri

    ESG Research , Fixed Income

    Learn More

    As corporate-bond investors embrace decarbonization as a goal in portfolio construction and management and benchmark selection, the question arises whether decarbonization targets are at odds with other desirable index attributes, such as liquidity.

  3. BLOG

    Drivers of China Equities’ Sell-Off 

    Apr 20, 2022 Wei Xu , Shuo Xu

    Emerging Markets , Global Investing , Equity Themes , Equity indexes

    Learn More

    Following the recent sell-off in Chinese equities, global investors may have some concerns and questions about their China exposure. Have fundamentals changed? What role did the Russia-Ukraine war play? Which factors are important to keep an eye on?

  4. BLOG

    Fed Policy and the Threat of Stagflation 

    Apr 4, 2022 Daniel Szabo , Will Baker , Thomas Verbraken

    Integrated Risk Management

    Learn More

    Investors are increasingly focused on inflation and the Fed’s tightening of monetary policy. With the Russia-Ukraine war and resulting sanctions, they may also worry about slowing economic growth. We model three economic scenarios’ potential impact on markets.

  5. BLOG

    Factors in Focus: Disentangling Market Gyrations Through the War 

    Apr 1, 2022 Waman Virgaonkar , Hitendra D Varsani

    Factor Investing

    Learn More

    It was a tale of two quarters in many ways. We analyze the effects of past and present military conflicts on factor investing to provide insights to investors seeking to build resilient portfolios.

  6. BLOG

    Which Factors Rose with the Price of Oil? 

    Mar 8, 2022 Jean-Maurice Ladure , Ashish Lodh

    Factor Investing

    Learn More

  7. BLOG

    Riding Rising Interest Rates with the Agency-MBS Model 

    Mar 1, 2022 Yihai Yu

    Fixed Income

    Learn More

    Expectations of higher inflation dominated the market for U.S. agency mortgage-backed securities in 2021. We reviewed the performance of our agency-MBS model in 2021, to assess its accuracy and help investors manage MBS risk through what may be a volatile 2022.

  8. BLOG

    China’s Green-Bond Market: Growing Issuance and Historical Outperformance 

    Feb 24, 2022 Jian Chen , Joy Zhang

    ESG Research , Fixed Income

    Learn More

    China’s green-bond market has grown rapidly in recent years and is now second in size only to the U.S. Understanding the reasons behind this market’s growth and performance may help investors as they consider incorporating Chinese green bonds in portfolios.

  9. BLOG

    中国绿色债券市场:发行量不断增长, 历史表现优异 

    Feb 24, 2022 Jian Chen , Joy Zhang

    ESG Research , Fixed Income

    Learn More

  10. BLOG

    Latin American Equity Markets: The Lay of the Land 

    Feb 16, 2022 Raina Oberoi , Román Mendoza

    Equity indexes

    Learn More

    How is Latin America different from other emerging markets? We analyze the influence of foreign direct investment; market performance; exposure to sectors and thematic investments; ESG and climate risks and opportunities and corporate-ownership structures. 

  11. BLOG

    US ABS: Strong Bounce Back, Uneven Performance 

    Feb 10, 2022 Yini Yang , Joy Zhang

    Fixed Income

    Learn More

    As the U.S. job market has begun to recover, so have consumer credit levels. The issuance of U.S. consumer asset-backed securities (ABS) had a strong bounce back in 2021. What drove this surge across ABS markets?

  12. BLOG

    Managing Climate-Transition Risk in Credit Portfolios 

    Jan 31, 2022 Afsaneh Mastouri

    ESG Research , Fixed Income

    Learn More

    Can managers take an active approach to systematically managing exposure of a corporate-bond portfolio to climate-transition risk? We investigate two different approaches to decarbonizing credit portfolios.

  13. BLOG

    How ‘Greenflation’ Could Impact Bond Returns 

    Jan 14, 2022 Daniel Szabo , Thomas Verbraken

    Fixed Income

    Learn More

    Investors and policymakers are increasingly focused on the fact that a transition to a low-carbon economy could result in “greenflation,” which could put upward pressure on long-term interest rates and in turn lead to downward repricing of bond portfolios.

  14. BLOG

    Hotter Inflation Set Some Styles and Sectors on Fire 

    Jan 11, 2022 Ashish Lodh , Hitendra D Varsani

    Factor Investing

    Learn More

    Whether due to stimulus, deglobalization, decarbonization or an overheating economy, higher inflation could have an impact on style-factor and sector performance. We investigate this impact in the context of two potential economic-growth regimes.

  15. BLOG

    Higher Agency Loan-Size Limit: A Booster Shot in ARMs? 

    Jan 10, 2022 László Ábel Somlai , Miklós Vörös , Yihai Yu

    Fixed Income

    Learn More

    Securitizations for U.S. agency adjustable-rate mortgages have declined since the 2008 global financial crisis. But could a loan-limit increase by the government-sponsored enterprises, boost issuance of agency-ARM mortgage-backed securities?

  16. BLOG

    Factors in Focus: Are Your Equity Styles Ahead of the Curve? 

    Jan 5, 2022 Waman Virgaonkar , Hitendra D Varsani

    Factor Investing

    Learn More

    If economic expansion and higher inflation continue in 2022, interest rates could rise around the world. As investors re-evaluate equity portfolios, we look at factor-index performance in different U.S. interest-rate and yield-curve regimes.

  17. BLOG

    Which Companies Lost Most in Europe’s Lost Decade? 

    Dec 14, 2021 Anil Rao , Jean-Maurice Ladure

    Global Investing

    Learn More

    If uncertainties over deglobalization persists, the performance divide between Europe and the U.S. could widen further. Have European firms been more at risk, given they have had more international revenue than U.S. companies?

  18. BLOG

    Did Deglobalization Add to Inflation Woes? 

    Dec 13, 2021 Román Mendoza , Oleg Ruban

    Global Investing

    Learn More

    Inflation watchers, aware of how COVID-19 led to trillions of dollars of stimulus, may want to note the longer-term shift toward deglobalization. As these forces collide, they may lead to rising global inflation and affect asset-allocation strategies.

  19. BLOG

    Spotlight on the Markets: Are Supply Chains the New Grinch 

    Dec 3, 2021 Ana Harris , Mehdi Alighanbari

    Global Investing

    Learn More

    The holiday season may only exacerbate supply-chain challenges affecting the availability and prices of goods. In this inaugural edition of Spotlight on the Markets, we analyze performance and how investors are working to rise to the occasion.

  20. BLOG

    Controlling Idiosyncratic Risk in Value Strategies 

    Nov 18, 2021 Waman Virgaonkar , Mehdi Alighanbari

    Factor Investing

    Learn More

    We looked at ways to mitigate some of the performance drag of stock-specific risk on value strategies over the last decade by directly controlling for this risk without negatively affecting value-factor exposures or contributions.

  21. BLOG

    After Evergrande: Bond Liquidity of Chinese Property Developers 

    Nov 17, 2021 Daniel F. Molnar

    Fixed Income , Risk Management , Global Investing

    Learn More

    Evergrande, one of China’s largest and most indebted property developers, had a recent close brush with bankruptcy that generated considerable concern among global bond investors. In this time of distress, how has market liquidity responded?

  22. BLOG

    Can Green Spreads Uncover ESG's Influence on Bond Prices? 

    Nov 11, 2021 Greg Recine , Alexander Spray

    ESG Research , Fixed Income

    Learn More

    Investors increasingly seek to build portfolios that have reduced exposure to climate-transition risk. How might these changes in investor behavior have affected prices in the corporate-bond market?

  23. BLOG

    Focusing a Sustainability Lens on China’s Regulatory Changes 

    Oct 28, 2021 Shuo Xu

    Global Investing

    Learn More

    Market fundamentals may not be significantly affected by new regulations in China. But, given the regulations’ focus on ESG-related issues, investors can use ESG data as they seek to identify risks and opportunities across industries and securities.

  24. BLOG

    How Climate Change Could Impact Credit Risk 

    Oct 20, 2021 Reka Janosik , Thomas Verbraken

    ESG Research , Fixed Income , Risk Management

    Learn More

    Investors are increasingly focused on gauging the risks related to climate change. We investigated how various climate scenarios could impact the credit risk of portfolios. In one scenario, 16% of investment-grade issuers could migrate to high yield.

  25. BLOG

    Could Factors Help Explain Asset-Level Real Estate Performance? 

    Oct 19, 2021 Bryan Reid , Fritz Louw

    Real Estate Investing , Factor Investing

    Learn More

    For real estate investors, property type and geography segmentations are the primary lens through which they measure and manage their portfolios. Testing five potential real estate style factors, however, were we able to better explain asset-level variation.

  26. BLOG

    How to Achieve Net Zero? Leaders Weigh In 

    Oct 18, 2021 Meggin Thwing Eastman

    Global Investing

    Learn More

    How can investors help accelerate the net-zero transition? This was the central question at MSCI’s 2021 Global Investing Conference. We present the core takeaways from the two-day event, which featured senior corporate and investment thought leaders.

  27. BLOG

    Factors in Focus: Where’s the Value in Defensive Positioning? 

    Oct 1, 2021 Waman Virgaonkar , Hitendra D Varsani

    Factor Investing

    Learn More

    Throughout the third quarter, investors shifted attention to risks from inflation, tapering and potential interest-rate rises. We analyze global equities and the rotation toward defensive factors.

  28. BLOG

    Industry Momentum Across Regions 

    Sep 27, 2021 Waman Virgaonkar , Mehdi Alighanbari

    Factor Investing

    Learn More

    We expand on our analysis of industry momentum to assess the persistence of a premium across different regions and the ability of a rules-based strategy to help investors as they seek to capture this premium.

  29. BLOG

    The Impact of China’s New Regulations: A Thematic Lens 

    Sep 15, 2021 Wei Xu

    Global Investing

    Learn More

    Regulatory changes in China have investors wondering how different industries could be affected. Evaluating the changes through a thematic lens can provide insight into the growth and crowding levels of megatrends, as industries react and evolve.

  30. BLOG

    How a Shift Toward Buybacks Affected Yield Strategies 

    Sep 3, 2021 Arihant Jain , Mehdi Alighanbari

    Global Investing , Factor Investing

    Learn More

    For investors who use yield strategies to generate income, a steady stream of dividend payments is important. But with more companies using buybacks as a way to redistribute profits, investors may want to consider a more holistic view of income.

  31. BLOG

    Building Climate-Aware Factor Portfolios 

    Aug 31, 2021 Chirag Gosar , Padmakar Kulkarni

    Factor Investing

    Learn More

    Factor investing typically involves both security selection and alternative weighting based on security-level factor exposure. If such a strategy also needs to be climate-aware, what is the cost in terms of target-factor erosion?

  32. BLOG

    A Sector-Balanced Approach to China A Mega-Cap Exposure 

    Aug 27, 2021 Shuo Xu , Zhen Wei

    Global Investing

    Learn More

    For investors seeking exposure to the mega-cap segment of the China A market, a simple top-50 market-cap-weighted approach can lead to large sectoral biases. We explore how a balanced mega-cap approach may help.

  33. BLOG

    Sizing Up Small Caps 

    Aug 25, 2021 Abhishek Gupta , Ashish Lodh

    Factor Investing

    Learn More

    Given small-cap outperformance since March 2020, investors are asking how these stocks size up in terms of short-term valuation, sentiment and macro outlook? Longer term, might small caps help capture opportunities around thematic investing megatrends?

  34. BLOG

    Housing-Bubble Déjà Vu 

    Aug 10, 2021 Joy Zhang , David Zhang

    Risk Management

    Learn More

    The U.S. in the past year recorded the highest national house-price appreciation in recent decades. Does the run-up in home prices represent housing-bubble déjà vu? And what can MBS investors do to assess their mortgage credit risk?

  35. BLOG

    Assessing Private Infrastructure in a Multi-Asset-Class Portfolio 

    Aug 4, 2021 Michael Hayes , Yang Liu

    Real Estate Investing , Risk Management

    Learn More

    Private infrastructure is a popular element of institutional capital allocations, and increased focus on renewable or carbon-neutral infrastructure may mean significant new investment opportunities. What role could it play in a multi-asset-class portfolio?

  36. BLOG

    Fresh IPO Stocks and Indexes: In or Out? 

    Aug 3, 2021 Arihant Jain , Mehdi Alighanbari

    Global Investing

    Learn More

    Depending on a number of factors, stocks may be added to indexes soon after a company’s IPO, which can affect asset managers who use the indexes to create and benchmark portfolios. We investigate the impact of IPO stocks on index performance.

  37. BLOG

    Managing Against MBS Indexes: A Duration Perspective 

    Jul 30, 2021 Anant Bhatnagar , Yihai Yu

    Fixed Income , Risk Management

    Learn More

    Mortgage-backed securities constitute a significant portion of fixed-income indexes. Managing MBS portfolios against these indexes depends heavily on an understanding of the dynamics of MBS duration, especially in volatile markets.

  38. BLOG

    Could Factors Have Explained Cryptocurrency Risk? 

    Jul 29, 2021 Daniel R. Barrera , Simon Minovitsky

    Factor Investing

    Learn More

    As cryptocurrencies rise in popularity as investment vehicles, the need for standardized tools for this market increases as well. We created a multifactor model to measure whether factors important for equity markets were also important for crypto.

  39. BLOG

    Credit Strategies During the COVID-19 Crisis 

    Jul 27, 2021 Shuyin Hua , Chenlu Zhou

    Fixed Income , Risk Management

    Learn More

    Short-term credit spreads widened to a greater extent than long-term spreads during the March 2020 COVID-19 crisis. As a result, many U.S. corporate-issuer spread curves flattened or even inverted. What were the implications for corporate-bond investors?

  40. BLOG

    COVID-19’s Uneven Impact on Office Vacancy 

    Jul 26, 2021 Niel Harmse

    Real Estate Investing , Global Investing

    Learn More

    What was the precise impact of the COVID-19 crisis on office properties? While the overall vacancy rate at the end of 2020 was lower than the previous cycle’s peak, the percentage of fully leased office buildings reached an all-time low.

  41. BLOG

    What Could a Rate Hike Mean for Portfolios? 

    Jul 22, 2021 Daniel Szabo , Thomas Verbraken

    Fixed Income , Risk Management

    Learn More

    Although the Federal Reserve may not begin raising rates anytime soon, U.S. and global markets are scrutinizing the Fed’s communications about the likely course of policy actions. We consider three scenarios for the timing of policy responses.

  42. BLOG

    Hedging Inflation with Equities 

    Jul 16, 2021 Ashish Lodh , Jean-Maurice Ladure

    Global Investing , Factor Investing

    Learn More

    Equities have traditionally been viewed as a hedge against inflation, based on the assumption that companies’ revenues adjust for inflation over time. But what has been the short-term impact on equity portfolios?

  43. BLOG

    How Might Inflation Impact Funding Ratios? 

    Jul 14, 2021 Monika Szikszai , Thomas Verbraken , Puneet Kumar

    Risk Management

    Learn More

    We analyzed two multiperiod inflation scenarios to understand how the funding ratios of defined-benefit pension funds could evolve in each and what they could mean for a pension fund in terms of special contributions over the next 10 years.

  44. BLOG

    Active-Management Opportunities in a Disperse Market 

    Jul 13, 2021 Rohit Gupta , Hitendra D Varsani

    Factor Investing

    Learn More

    Disperse markets have historically provided opportunities for active managers to outperform their respective benchmarks. We showed that, based on historical trends, CSV helped shed light on identifying where the dispersion was greatest.

  45. BLOG

    What Can Liquidity Tell Us About ETF Prices? 

    Jul 9, 2021 Laszlo Hollo

    Integrated Risk Management , Risk Management

    Learn More

    As thematic equity ETFs have grown in popularity, concerns have been raised about their liquidity — especially when an ETF holds a large fraction of a constituent’s shares. How can ETF investors get a handle on this risk? 

  46. BLOG

    Eyeing the Crowds from Multiple Perspectives 

    Jul 8, 2021 George Bonne , Jay Yao , Howard Zhang

    Factor Investing

    Learn More

    We observed historically notable crowding across factors, industries and stocks through the first half of 2021. Examining crowding from multiple perspectives and incorporating multiple data elements provides investors a more holistic view. 

  47. BLOG

    Chinese RMBS: A Way to Diversify Fixed-Income Portfolios? 

    Jul 7, 2021 Jian Chen , Yihai Yu

    Fixed Income

    Learn More

    The market in Chinese residential mortgage-backed securities is growing, as global investors are eying the segment’s relatively high yield and potential for diversification, but seeking improved credit ratings and transparency in data and pricing.

  48. BLOG

    Factors in Focus: Go with the Flow? 

    Jul 1, 2021 Waman Virgaonkar , Hitendra D Varsani

    Factor Investing

    Learn More

    In the latest edition of Factors in Focus, we look at flows into equity factor ETFs and whether it has been profitable, historically, to follow the money, along with our analysis of factor and factor-index performance over the second quarter.

  49. BLOG

    Purifying Value 

    Jun 29, 2021 Mehdi Alighanbari , Waman Virgaonkar

    Factor Investing

    Learn More

    Unintended exposure to non-value factors was a large contributor to value’s period of underperformance. We investigate value-portfolio construction when controlling for these exposures while maintaining maximum exposure to value factors.

  50. BLOG

    Securitized Products’ LIBOR Transition Picking Up Pace 

    Jun 22, 2021 Vikram Tuteja , Yihai Yu

    Fixed Income

    Learn More

    In 2021, there has been significant progress in the transition from the LIBOR reference rate to its replacement, SOFR. But investors in securitized products are grappling with the challenge of the LIBOR-SOFR transition and its impact on their analytics.

  51. BLOG

    CDS Fading as a Measure of Value in Emerging Markets 

    Jun 17, 2021 Zoltan Fekete , Reka Janosik

    Fixed Income

    Learn More

    Credit investors use spreads to compare relative value and risk. Studies of emerging-market sovereign debt have shown that credit-default swaps tended to be a better measure of value than spreads computed from bonds. But is it still the case?

  52. BLOG

    What Can Loan-Level Data Reveal About US Auto-Loan ABS? 

    Jun 15, 2021 Yini Yang , Joy Zhang

    Fixed Income , Risk Management

    Learn More

    U.S. regulators required issuers by Nov. 23, 2016, to disclose data on individual loans bundled into auto-loan asset-backed securities. We looked at whether incorporating loan-level data into our model could sharpen our analysis of this ABS segment.

  53. BLOG

    Escaping to Equities for Yield 

    Jun 10, 2021 Arihant Jain , Mehdi Alighanbari

    Factor Investing

    Learn More

    In today’s low-rate world, some investors shifted toward historically higher-yielding equities. For others, especially in the insurance industry, the greater risk limited their ability to do so. Was a minimum-variance equity approach a viable option?

  54. BLOG

    Momentum on a Value Hunt 

    Jun 2, 2021 Abhishek Gupta , Ashish Lodh

    Global Investing , Factor Investing

    Learn More

    Momentum, by definition, rotates into securities with recent outperformance. That said, investors who view value and momentum as contra-signals may have questions about the value-momentum convergence and the divergence of momentum and growth.

  55. BLOG

    Bitcoin: Good as Gold? 

    May 26, 2021 Daniel R. Barrera , Simon Minovitsky

    Factors , Risk Management

    Learn More

    During inflationary periods, equity investors, historically, have turned to gold as a hedge and diversifier. As the issue of inflation becomes more pressing, we ask whether cryptocurrencies, such as Bitcoin, could have played a similar role.

  56. BLOG

    Real Estate’s Climate-Transition Risk: The Path to Net-Zero 

    May 25, 2021 Will Robson

    Real Estate Investing , Risk Management , Global Investing

    Learn More

    The 2015 Paris Agreement seeks to keep the rise in global temperature to well below 2 degrees Celsius above pre-industrial levels, and many governments are aiming for 1.5°C through nationally determined contributions. What are the implications for real estate markets?

  57. BLOG

    The Pressure of the Crowd: Stress Testing Thematic Indexes 

    May 17, 2021 Anil Rao , Thomas Verbraken

    Equity Themes , Risk Management , Global Investing

    Learn More

    Some investors may be concerned about crowding within the fast-growing thematic-investing segment. Using MSCI’s stock-crowding model, we identify crowded themes and run stress tests to understand how they might respond to an equity sell-off.

  58. BLOG

    What Really Drove Value and Growth Fund Performance? 

    May 14, 2021 Abhishek Gupta , Guillermo Cano

    Factor Indexes , Factors

    Learn More

    Many look to market-cap indexes when comparing the performance characteristics of growth and value funds — including manager skill. We found a switch to style indexes reduced industry- and style-factor contributions and made manager skill more apparent.

  59. BLOG

    Are Your Clients Ready for US Tax Day? 

    May 10, 2021 Raina Oberoi , Yuliya Plyakha Ferenc , Joseph Wickremasinghe , Paulina Serrano

    Risk Management

    Learn More

    Given the complexity of U.S. tax regulation, wealth advisers continue to grapple with how to build tax-efficient portfolios while balancing clients’ other objectives. We propose a rules-based way of doing so and analyze its benefits and trade-offs.

  60. BLOG

    Why Is Climate-Transition Risk High in High Yield? 

    May 6, 2021 Bruno Rauis , Juan Sampieri , Andy Sparks

    ESG Research , Fixed Income , Risk Management

    Learn More

    Investors increasingly focus on building greener portfolios. Some might expect bonds to be less exposed to climate-transition risk compared to equities, due to the seniority of bonds in the capital structure. But does that logic hold at the portfolio level?

  61. BLOG

    The Theory of (Value) Relativity 

    May 5, 2021 Waman Virgaonkar , Mehdi Alighanbari

    Factor Investing

    Learn More

    Whether constructing a fundamental factor model, a value strategy or a value index, valuation ratios need context. Time-series and cross-sectional approaches each have pros and cons. But combining the two may have presented a clearer picture. 

  62. BLOG

    Bringing Value to the 21st Century 

    Apr 28, 2021 Arihant Jain , Mehdi Alighanbari , Saurabh Katiyar

    Factors , Global Investing

    Learn More

    In the second post in our series, we further probe value’s underperformance over the past decade and ask if the historic definition of value remains relevant. We specifically look at whether a company’s valuation can be enhanced by reflecting R&D investments. 

  63. BLOG

    Modern Slavery: The Unseen Risks 

    Apr 26, 2021 Morgan Ellis

    ESG Research , Global Investing

    Learn More

    Modern slavery occurs all over the world and can impact virtually all industries. Meanwhile, regulations requiring more detailed reporting on potential supply-chain exposure is increasing. How can investors identify portfolio holdings most at risk?

  64. BLOG

    Factor Investing Held in High-Volatility/-Concentration Period 

    Apr 23, 2021 Abhishek Gupta , Ashish Lodh

    Factor Indexes , Factors , Risk Management

    Learn More

    U.S. equity markets have experienced increased volatility coupled with concentration in a handful of megacap companies. Has this hampered investors’ ability to capture factors effectively? Have stock-specific risks dominated factor indexes?

  65. BLOG

    Some ESG Funds Are Not Like the Others 

    Apr 19, 2021 Rumi Mahmood

    ESG Research , Global Investing

    Learn More

    ESG funds’ holdings can vary significantly, depending on their objectives, methodologies and geographic exposures. We examined the 20 largest equity funds in our coverage universe.

  66. BLOG

    Could Investment Grade Be as Risky as High Yield? 

    Apr 16, 2021 András Bohák , Andras Rokob

    Fixed Income , Risk Management

    Learn More

    Do high-yield and investment-grade bonds carry the same level of risk? For investors using common measures like value-at-risk models, IG- and HY-bond portfolios’ risk levels appear to have converged. But traditional models may miss important aspects of HY risk.

  67. BLOG

    Innovation Remix: Adding Thematics to Equity Programs 

    Apr 14, 2021 Anil Rao , Raman Aylur Subramanian

    Equity Themes , Factor Indexes , Global Investing

    Learn More

    How can investors incorporate transformative, but volatile thematic investments while seeking to control for valuation and total and active risk? We examine three approaches that improved a portfolio’s “innovation profile” with modest changes to risk.

  68. BLOG

    Long-Horizon Risk: The Past 50 Years 

    Apr 13, 2021 Monika Szikszai , Thomas Verbraken

    Fixed Income , Risk Management

    Learn More

    For long-horizon investors that aim to ride out volatility, short-term risk measures may be insufficient. We used multiperiod stress testing to evaluate one- and five-year returns of hypothetical multi-asset-class portfolios using 50 years of history.

  69. BLOG

    Including Microcaps in Benchmark Indexes: Japan vs. US 

    Apr 7, 2021 Naoya Nishimura

    Equity Themes , Global Investing , Factor Investing

    Learn More

    Selecting an equity benchmark may mean balancing market coverage and investability. For example, exhaustive coverage may include microcap stocks, with lower liquidity and investment capacity. But excluding them may reduce low-size-premium exposure.

  70. BLOG

    Factors in Focus: Value Springs into Action 

    Apr 6, 2021 Hitendra D Varsani , Waman Virgaonkar

    Factor Indexes , Factor Investing

    Learn More

    Value has historically outperformed in economic recoveries. With the reopening of the global economy we examined value’s performance against other factors, and exposures from our adaptive multi-factor model at the end of Q1. 

  71. BLOG

    Reopening Economies and the Resurgence in Value 

    Mar 31, 2021 Waman Virgaonkar , Hitendra D Varsani

    Factor Indexes , Global Investing , Factor Investing

    Learn More

    After 15 years of challenging performance, many have asked if value is still a valid investment strategy. But the reopening of the global economy following vaccination rollouts has reignited interest across stocks, sectors, countries and regions.

  72. BLOG

    Value-Performance Anxiety 

    Mar 23, 2021 Mehdi Alighanbari , Saurabh Katiyar

    Global Investing , Factor Investing

    Learn More

    Despite a recent performance lift, many still ask whether the value factor is broken. We analyze the reasons behind its underperformance and start exploring the potential of updates to value definitions and approaches to value-portfolio construction.

  73. BLOG

    Considerations for Dedicated China Equity Allocations 

    Mar 18, 2021 Zhen Wei

    Emerging Markets , Global Investing

    Learn More

    China provides global equity investors a unique set of opportunities and challenges as they evaluate a potential dedicated investment program and how to approach asset allocation from policy configuration to portfolio implementation.

  74. BLOG

    中国专业股票配置的要点 

    Mar 18, 2021 Zhen Wei

    Emerging Markets , Global Investing

    Learn More

    鉴于中国进一步开放金融市场,一些投资者指定了一个专门计划来负责处理与中国相关的一系列投资机会。

  75. BLOG

    Managing the Risks of LIBOR Replacement 

    Mar 17, 2021 Greg Scheuer , Maks Oks

    Fixed Income , Risk Management , Global Investing

    Learn More

    Investors now have clarity on the process of transitioning away from LIBOR and falling back on replacement benchmark rates. We used stress tests to show that fallback modeling may be necessary to measure and manage the risks of LIBOR instruments.

  76. BLOG

    The Pace of Fast Change: Growth vs. Thematic Investing 

    Mar 16, 2021 Anil Rao , Stuart Doole

    Factor Indexes , Factors , Global Investing , Factor Investing

    Learn More

    Investors considering thematic investments to gain exposure to firms whose fortunes may not be captured by fundamental growth measures, may ask: What are the key opportunities – and challenges – that distinguish thematic from growth investing?

  77. BLOG

    Is There a Hedge-Fund-Crowding Factor? 

    Mar 10, 2021 Howard Zhang , George Bonne

    Factor Investing

    Learn More

    Hedge funds held heavy, relatively illiquid short positions in crowded stocks before the January 2021 short squeeze. We created a risk factor that added explanatory power and may provide insights into potential short squeezes and other risks.

  78. BLOG

    Are Growth and Value Indexes Still in Style? 

    Mar 9, 2021 Guillermo Cano , Abhishek Gupta

    Factor Investing , Risk Management , Global Investing

    Learn More

    Growth and value indexes were created in the 1980s as finer tools than market-cap indexes to measure the performance of growth and value funds. Are style-specific indexes still a relevant choice to use as benchmarks for these funds?

  79. BLOG

    How Inflation Could Affect Multi-Asset-Class Portfolios 

    Mar 3, 2021 Thomas Verbraken , Daniel Szabo

    Real Estate Investing , Fixed Income , Global Investing , Integrated Risk Management

    Learn More

    Market participants are hotly debating whether U.S. monetary and fiscal policy may cause inflation. We consider four scenarios — reflation, disinflation, an overheated economy and stagflation — and their potential impact on multi-asset-class portfolios.

  80. BLOG

    How Have Stocks Responded to Changes in Climate Policy? 

    Mar 1, 2021 Guido Giese , Zoltán Nagy , Bruno Rauis

    ESG Research , Global Investing

    Learn More

    To what extent has climate risk been priced into equity markets? Is there a “brown” discount and a “green” premium? Has this shifted over time? How can we model such risks as the world moves toward net-zero targets? We examine the financial impact of climate transition risk on global equity markets.

  81. How much does ESG contribute to portfolio risk and return? We looked at whether ESG performance was influenced by other factors or helped explain returns as a factor in its own right, using the MSCI Global Equity Factor Model + ESG.

  82. BLOG

    Finding the Sentiment Hidden in Regulatory Filings 

    Feb 24, 2021 Vipul Jain , Kunal Jha

    Factor Investing

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    Using natural language processing techniques, we constructed a sentiment factor that quantifies changes in the tone and content of company filings, and may be an indicator of future risks facing a company.

  83. BLOG

    Climate Transition and Bonds: Risk or Opportunity? 

    Feb 23, 2021 Bruno Rauis , Juan Sampieri , Andy Sparks

    ESG Research , Fixed Income , Risk Management

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    The transition to a low-carbon economy could significantly redirect the flow of investments toward greener companies and technologies that limit carbon emissions. We consider the potential risk — and opportunity — for bond investors.

  84. BLOG

    Currency-Risk Hedging in Real Estate Benchmarks 

    Feb 22, 2021 Bert Teuben , Lionel Ebener , Chirag Gosar

    Real Estate Investing , Risk Management , Global Investing

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    Global real estate investors can expose themselves to currency risk. Using a hedged index, they may better align their benchmark and investment approach and ensure currency risk is accurately treated in allocation modeling and performance attribution.

  85. BLOG

    A New COVID-19 Regime for MBS? 

    Feb 17, 2021 Yihai Yu , Miklós Vörös

    Fixed Income , Integrated Risk Management

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    In 2020, the Federal Reserve’s purchases of mortgage-backed securities, low interest rates, mortgage-underwriting policy changes and technology advancements led to a historic refinance frenzy and posed an unprecedented challenge for MBS risk management.

  86. BLOG

    Are (Stock) Bubbles Rising? 

    Feb 12, 2021 George Bonne , Howard Zhang , Jay Yao

    Factor Investing

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    How does one identify or quantify a bubble? We propose a framework for assessing the “bubbliness” of stocks and portfolios, rooted in the idea that bubbles are driven by the same forces, and share characteristics with crowded trades.

  87. BLOG

    Cross-Currency Credit Spreads: Mind the Gap 

    Feb 8, 2021 Michael Hayes , Zach Tokura

    Fixed Income , Risk Management

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    An issuer’s credit spread should be consistent when measured in the USD- or EUR-denominated markets, because both are measuring the same credit risk. Yet divergence can occur as a result of liquidity or supply-demand imbalances, such as those in the COVID crisis.

  88. BLOG

    How Are High-ESG-Rated Bond Portfolios Distinct? 

    Feb 5, 2021 Hitendra D Varsani , Rohit Mendiratta , Guido Giese

    Fixed Income , Risk Management , ESG Research

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    ESG investing makes up an increasingly large footprint in equity portfolios, but ESG integration in bond portfolios is still in its early days. We examine the characteristics that make high-ESG-rated corporate-bond portfolios distinct.

  89. BLOG

    COVID Stimulus Helped Resilience of US ABS 

    Jan 29, 2021 Yini Yang , Joy Zhang

    Risk Management , Fixed Income

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    Issuance of U.S. asset-backed securities fell by a quarter in 2020 from the previous year, as credit tightened during the COVID-19 crisis. The performance of loans underpinning ABS proved resilient, however, as economic relief helped support consumers.

  90. BLOG

    Stress Testing Climate-Change Scenarios 

    Jan 28, 2021 David Lunsford , Thomas Verbraken

    Global Investing , ESG Research

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    Regulators around the world are upping the ante on climate-related financial disclosures. How can investors stress test potential exposures to these changes in policy? We take a look within Europe.

  91. BLOG

    Carrying on Through a Crisis, with Factors 

    Jan 13, 2021 Andrew DeMond , Manuel Rueda

    Factor Investing , Risk Management , Fixed Income

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    Factors have long had a place in constructing equity portfolios, but investors increasingly use factors in sovereign and corporate bonds, commodities and currencies. Which non-equity factors have been the best performers coming out of recent crises, and why?

  92. 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.

  93. 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.

  94. 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.

  95. 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.

  96. 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.

  97. 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.

  98. BLOG

    China Tech Investing: An Indexed Approach 

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

    Global Investing

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    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?  

  99. BLOG

    中国科技投资:一种股指编制方法 

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

    Global Investing

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    经过数十年的快速经济增长,中国开始将发展重点从出口和固定资产投资转移到国内消费和技术创新。

  100. 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?

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