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  1. 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.

  2. 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?

  3. BLOG

    How Might Inflation Impact Funding Ratios? 

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

    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.

  4. BLOG

    Active-Management Opportunities in a Disperse Market 

    Jul 13, 2021 Hitendra D Varsani , Rohit Gupta

    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.

  5. 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? 

  6. 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. 

  7. 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.

  8. 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.

  9. BLOG

    Purifying Value 

    Jun 29, 2021 Waman Virgaonkar , Mehdi Alighanbari

    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.

  10. 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.

  11. 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?

  12. 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.

  13. 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?

  14. 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.

  15. 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.

  16. 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?

  17. 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.

  18. 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.

  19. 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.

  20. 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?

  21. 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. 

  22. 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. 

  23. BLOG

    Modern Slavery: The Unseen Risks 

    Apr 26, 2021 Morgan Ellis

    ESG Research , Global Investing

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    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?

  24. 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?

  25. 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.

  26. 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.

  27. 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.

  28. 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.

  29. 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.

  30. 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. 

  31. 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.

  32. 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.

  33. 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.

  34. 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。

  35. 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.

  36. 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?

  37. 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.

  38. 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?

  39. 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.

  40. 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.

  41. BLOG

    Factoring in ESG 

    Feb 26, 2021 Guillermo Cano , Simon Minovitsky

    ESG Research , Factor Investing , Factors

    Learn More

    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.

  42. BLOG

    Finding the Sentiment Hidden in Regulatory Filings 

    Feb 24, 2021 Vipul Jain , Kunal Jha

    Factor Investing

    Learn More

    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.

  43. BLOG

    Climate Transition and Bonds: Risk or Opportunity? 

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

    ESG Research , Fixed Income , Risk Management

    Learn More

    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.

  44. BLOG

    Currency-Risk Hedging in Real Estate Benchmarks 

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

    Real Estate Investing , Risk Management , Global Investing

    Learn More

    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.

  45. BLOG

    A New COVID-19 Regime for MBS? 

    Feb 17, 2021 Yihai Yu , Miklós Vörös

    Fixed Income , Integrated Risk Management

    Learn More

    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.

  46. BLOG

    Are (Stock) Bubbles Rising? 

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

    Factor Investing

    Learn More

    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.

  47. BLOG

    Cross-Currency Credit Spreads: Mind the Gap 

    Feb 8, 2021 Michael Hayes , Zach Tokura

    Fixed Income , Risk Management

    Learn More

    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.

  48. 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

    Learn More

    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.

  49. BLOG

    COVID Stimulus Helped Resilience of US ABS 

    Jan 29, 2021 Yini Yang , Joy Zhang

    Risk Management , Fixed Income

    Learn More

    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.

  50. BLOG

    Stress Testing Climate-Change Scenarios 

    Jan 28, 2021 David Lunsford , Thomas Verbraken

    Global Investing , ESG Research

    Learn More

    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.

  51. BLOG

    Carrying on Through a Crisis, with Factors 

    Jan 13, 2021 Andrew DeMond , Manuel Rueda

    Factor Investing , Risk Management , Fixed Income

    Learn More

    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?

  52. BLOG

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

    Jan 6, 2021 Hitendra D Varsani , Waman Virgaonkar

    Factor Investing

    Learn More

    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.

  53. BLOG

    A Thematic Lens for Portfolios 

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

    Global Investing

    Learn More

    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.

  54. BLOG

    The Doctor Is Making House Calls: Capturing Exposure to Telehealth 

    Dec 16, 2020 Manuel Rueda , Gaurav Trivedi

    Factor Investing , ESG Research

    Learn More

    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.

  55. BLOG

    Kuwait’s Move from Frontier to Emerging Market 

    Dec 14, 2020 Saurabh Katiyar , Ashish Lodh

    Global Investing

    Learn More

    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.

  56. BLOG

    Accounting for Revenue Sources Tells a Richer Story 

    Dec 11, 2020 Jean-Maurice Ladure

    Global Investing , Emerging Markets , Economic Exposure

    Learn More

    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.

  57. BLOG

    Private-Infrastructure Risk: Tilting at Windmills 

    Dec 8, 2020 Yang Liu , Sheng Yao

    Risk Management

    Learn More

    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.

  58. BLOG

    China Tech Investing: An Indexed Approach 

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

    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?  

  59. BLOG

    中国科技投资:一种股指编制方法 

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

    Global Investing

    Learn More

    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。

  60. BLOG

    How Diversified Are US Equity Investors? 

    Nov 24, 2020 Oleg Ruban

    Global Investing

    Learn More

    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?

  61. 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.

  62. BLOG

    Stress Testing Multiperiod Inflation Scenarios 

    Nov 19, 2020 Monika Szikszai , Thomas Verbraken

    Fixed Income , Risk Management

    Learn More

    Will inflation rear its ugly head in the U.S.? Although the outcome of the U.S. elections might have lowered inflation expectations, investors can prepare for scenarios where inflation goes up. In this stress test, we examine three scenarios for inflation over varying time horizons.

  63. 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

    Learn More

    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.

  64. BLOG

    Did Size Matter for Small-Cap Outperformance? 

    Nov 16, 2020 Roman Kouzmenko

    Factor Indexes , Factor Investing , Factors

    Learn More

    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?

  65. BLOG

    Are Momentum’s Wings Finally Starting to Melt? 

    Nov 13, 2020 George Bonne , Jun Wang

    Factor Investing , Factors

    Learn More

    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?

  66. BLOG

    Chinese Government Bonds: Higher Yield, Less Risk? 

    Nov 12, 2020 Greg Recine , Juan Sampieri , Andy Sparks

    Global Investing , Risk Management

    Learn More

    Global investors’ interest in Chinese government bonds has risen, as these bonds offer higher yields than developed-market sovereign debt. For investors thinking about adding Chinese bonds to their portfolios, what could be the impact on portfolio risk?

  67. BLOG

    What ESG Ratings Tell Us About Corporate Bonds 

    Nov 11, 2020 Rohit Mendiratta , Hitendra D Varsani , Guido Giese

    ESG Research , Risk Management

    Learn More

    How did incorporating ESG factors affect the performance of corporate-bond portfolios? Did ESG add insights beyond credit ratings? How did ESG impact risk and performance of investment-grade and high-yield bonds? Short-dated versus long-dated bonds?

  68. BLOG

    ESG 评级告诉我们有关公司债券的哪些信息? 

    Nov 11, 2020 Rohit Mendiratta , Hitendra D Varsani , Guido Giese

    ESG Research , Risk Management

    Learn More

    我们探讨了将环境、社会和治理相关(ESG)因素纳入考量,对公司债券投资组合风险和表现的影响。

  69. BLOG

    Will Interest Rates Surge? Evidence from Options Markets 

    Nov 3, 2020 Greg Scheuer , Andy Sparks

    Fixed Income , Risk Management

    Learn More

    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.

  70. BLOG

    China A Shares: What Have We Learned? 

    Oct 30, 2020 Zhen Wei

    Emerging Markets , Global Investing

    Learn More

    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.

  71. 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.

  72. BLOG

    Aligning with the Paris Agreement: An Index Approach 

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

    ESG Research , Global Investing

    Learn More

    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.

  73. BLOG

    Is US Equity Overvalued? A Macro View 

    Oct 19, 2020 Chenlu Zhou

    Equity Themes , Risk Management

    Learn More

    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.

  74. BLOG

    How Portfolio-Weighting Schemes Affected Factor Exposures 

    Oct 15, 2020 Abhishek Gupta , Ashish Lodh , Subhajit Barman

    Factor Investing , Factor Indexes , Factors , Risk Management

    Learn More

    Single-factor portfolios seek high exposure to a target factor and limited exposure to non-target ones. We assess the impact that common portfolio weighting schemes have on these exposures, as well as on portfolio efficiency, concentration and investability.

  75. 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.

  76. 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

  77. BLOG

    Hertz So Good? 

    Sep 30, 2020 Hamed Faquiryan , Manuel Rueda

    Fixed Income , Risk Management

    Learn More

    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.

  78. BLOG

    Can MBS Duration Turn Negative? 

    Sep 29, 2020 Yihai Yu

    Fixed Income , Risk Management

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    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?

  79. 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.

  80. BLOG

    Bond Liquidity: How Bad Was COVID? 

    Sep 16, 2020 László Arany

    Risk Management

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    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.

  81. 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.

  82. 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.

  83. BLOG

    How to Describe a Factor 

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

    Factor Indexes , Factor Investing , Factors

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    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. 

  84. 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.

  85. 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.

  86. 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

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    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.

  87. Aggressive actions by central banks and soaring government budget deficits have raised concerns among some investors that inflation may significantly rise. We examine whether an inflation hedge was worth the cost over the past 13 years.

  88. 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?

  89. 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.

  90. BLOG

    The Risk of Risk Limits 

    Aug 5, 2020 Reka Janosik , Thomas Verbraken

    Risk Management

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    In times of heightened volatility, risk limits can protect against equity-market drawdowns. While such measures can dampen portfolio losses, they may also have an impact on long-term returns, particularly in case of a sharp V-shaped market recovery.

  91. BLOG

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

    Aug 4, 2020 Zhen Wei

    Global Investing , Emerging Markets

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    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.

  92. BLOG

    Did Bonds Deliver? Leveraging Fixed Income During the COVID Crisis 

    Jul 29, 2020 Juan Sampieri , Andy Sparks

    Fixed Income , Risk Management

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    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.

  93. 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?

  94. 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?

  95. 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.

  96. 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?

  97. BLOG

    Would Integrating ESG in Chinese Equities Have Worked? 

    Jul 7, 2020 Naoya Nishimura , Shuo Xu

    ESG Research , Emerging Markets , Global Investing

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    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?

  98. BLOG

    将 ESG 融入到中国股票的成效如何? 

    Jul 7, 2020 Naoya Nishimura , Shuo Xu

    ESG Research , Emerging Markets , Global Investing

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    过去两年,中国企业的 ESG 评级大幅提升。通过回测,剔除一些 ESG 评级低的股票,能够有助于一批聚焦中国的主动型基金在过去五年半时间内降低风险和提高投资回报。

  99. BLOG

    Factors in Focus: How Trendy Is Your Style Factor? 

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

    Factor Investing , Risk Management

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    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.

  100. 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.

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