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Can AI Model the Complexities of MBS Prepayment? 

Fixed Income , Risk Management

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?

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Building Better ESG Indexes: 30 Years On 

Global Investing , ESG Research

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.

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Robust Selection Paid Dividends 

Global Investing

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.

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Four COVID-19 Scenarios: What Might Happen Next? 

Fixed Income , Risk Management

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.

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Five lessons for investors from the COVID-19 crisis 

ESG Research , Factors , Global Investing

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.

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Using Risk Analytics to Highlight Opportunities in Volatile Markets 

Risk Management , Fixed Income

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.

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Real Estate Asset Selection Mattered — Especially in a Crisis 

Real Estate Investing

As real estate strategies become more complex and market disruption continues, attribution analysis may prove a valuable tool. We looked at asset selection’s role in driving portfolios’ relative returns during relatively calm and disruptive periods.

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Index Rebalancing During High Volatility: A Balancing Act 

Global Investing , Emerging Markets

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.

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Consumer ABS Under Coronavirus in the US and China 

Emerging Markets , Fixed Income , Global Investing , Risk Management

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?

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How Hedge Funds Navigated the Start of COVID-19 Volatility 

Factor Investing , Factors , Risk Management

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.