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COVID-19 has weighed heavily on the financial positions of companies that hold leases for commercial real estate. Property investors can track the covenant quality of their tenants and translate it into a probability of default over the length of the lease.
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PAPER
Net-Zero Alignment: Objectives and Strategic Approaches for Investors
Sep 20, 2021
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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.
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Institutional investors are setting targets to align their portfolios with a 1.5˚-2°C global warming scenario. But measuring and reporting portfolio temperature rise remain challenging. How can investors measure the temperature of their portfolios?
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Are South Korean companies ready to deal with the country’s new workplace-safety law? Our research finds that many of those companies — often located in the machinery and metals and mining industries — are ill-prepared.
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BLOG
How a Shift Toward Buybacks Affected Yield Strategies
Sep 3, 2021Global Investing , Factor Investing
Learn MoreFor 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.
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Real estate investors have increasingly sought pan-regional funds to diversify globally. But such funds’ exposures can be significantly different from the market at large. What’s an appropriate benchmark for these diversified fund investments?
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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?
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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.
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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?
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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?
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BLOG
Assessing Private Infrastructure in a Multi-Asset-Class Portfolio
Aug 4, 2021Real Estate Investing , Risk Management
Learn MorePrivate 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?
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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.
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BLOG
Managing Against MBS Indexes: A Duration Perspective
Jul 30, 2021Fixed Income , Risk Management
Learn MoreMortgage-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.
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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.
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BLOG
Credit Strategies During the COVID-19 Crisis
Jul 27, 2021Fixed Income , Risk Management
Learn MoreShort-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?
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SPACs exploded in popularity in 2020, but these “blank-check” shell IPOs offer some unusual governance risks to investors. In this blog post, we examine some of the challenges.
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BLOG
COVID-19’s Uneven Impact on Office Vacancy
Jul 26, 2021Real Estate Investing , Global Investing
Learn MoreWhat 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.
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BLOG
What Could a Rate Hike Mean for Portfolios?
Jul 22, 2021Fixed Income , Risk Management
Learn MoreAlthough 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.
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The APAC region’s ESG performance has suffered from a combination of low ESG adoption and awareness and limited ESG regulation and reporting. But marked improvements are surfacing in environmental and social performance in certain sectors
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亚太市场公司的MSCI ESG评级通常低于全球同业公司。但这种情况正在快速变化，即使是某些表现最差的行业（例如能源和原材料）也开始改善其ESG实践。
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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?
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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.
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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.
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MSCI Liquidity Risk Monitor is MSCI’s quarterly report that presents liquidity risk indicators over the previous 12 months. This report facilitates discussion and determination of better strategies for liquidity risk management, by providing information on recent indicators and trends, involving U.S. and non-U.S. corporate bonds and bank loans liquidity.
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BLOG
What Can Liquidity Tell Us About ETF Prices?
Jul 9, 2021Integrated Risk Management , Risk Management
Learn MoreAs 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?
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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.
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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.
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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.
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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.
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Many investors have made bold commitments to transition their real estate portfolios to net-zero carbon emissions and are now developing and implementing plans to achieve this goal. But what could this transition look like in practice for property portfolios?
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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.
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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?
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BLOG
What Can Loan-Level Data Reveal About US Auto-Loan ABS?
Jun 15, 2021Fixed Income , Risk Management
Learn MoreU.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.
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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?
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Will biodiversity losses become the next crisis facing humanity, possibly surpassing climate change? Growing scrutiny on biodiversity risks could have implications for mines that threaten biodiversity or environments of high conservation value.
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Investors are scouting for companies that mine the metals needed in new energy technologies. But some mining projects key to the transition from fossil fuels may face opposition from Native Americans for threatening sacred areas or traditional ways of life.
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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.
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The historic win of at least two seats on Exxon Mobil’s board by activist shareholder Engine No. 1 signals a dramatic shift in investors’ thinking about climate change — and in their willingness to vote for climate action. But there is a deeper story.
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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.
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BLOG
Real Estate’s Climate-Transition Risk: The Path to Net-Zero
May 25, 2021Real Estate Investing , Risk Management , Global Investing
Learn MoreThe 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?