Extended-lister
Showing 81 - 90 of 127 entries
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MSCI Blog
Should bank-loan investors worry about liquidity risk?Have bank loans posed more liquidity risk than corporate bonds when the market was stressed? We compared various liquidity metrics for bank loans and high-yield bonds during the December 2018 high-yield sell-off to find the answer.
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MSCI Blog
Are rates and equities losing their balance?For most of the past two decades, a benevolent relationship between bonds and equity has prevailed as a central pillar of asset allocation. Falling equity markets consistently coincided with falling interest rates, providing an effective hedge between bond and equity allocations. Now, talk of weaker central-bank policy or a risk of deflation has many asset allocators focused on the future of the rates-equity correlation.
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MSCI Blog
MBS investors: quantitative easing déjà vu?Despite the Fed’s silence on the matter, the MBS market may be indicating that a new round of QE is coming.
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MSCI Blog
A reality check for MBS duration riskEmpirical duration data can be used to check whether models for mortgage-backed securities are accurately measuring interest-rate risk.
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MSCI Blog
Liquidity risk under stress: Beyond bid-ask spreadsRisk managers at investment funds are more and more focused on liquidity risk, as regulators have recently issued guidance that increases demands for liquidity stress testing. Although markets are currently considered fairly calm, the 2008 financial crisis showed how liquidity can deteriorate quickly under stressed conditions, resulting in widened bid-ask spreads. But by focusing solely on the change in bid-ask spreads, could investors underestimate their liquidity risk? The often-overlooked market impact — or the additional cost on top of the bid-ask cost for large trades — could also increase significantly, driving transaction costs still higher.
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MSCI Blog
Home bias in fixed income: Has it helped or hurt?Has global diversification historically helped reduce risk in the fixed-income portfolios of U.S. defined-benefit (DB) pension plans? Our backtests show that globalizing bond allocations would have increased risk measured relative to a liability benchmark. For such plans, home bias in bond portfolios would have reduced active risk over the period of our study.
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MSCI Blog
Three scenarios for Fed rate cutsA consensus has emerged that the Federal Reserve will lower rates in the coming months, but investors remain uncertain over the timing and magnitude of the cuts. What impact could three rate-cut scenarios have on markets?
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MSCI Blog
Liquidity and correlation in the Chinese credit marketChina’s stock market has drawn huge attention from global investors, especially as China A shares have been added to leading equity indexes. But the same cannot be said for the country’s 38 trillion CNY (USD 5.5 trillion) credit market, now the second-largest in the world. Despite the market’s overall size, foreign investor participation remains miniscule, with overseas bondholders accounting for less than 1% of the total holdings.
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MSCI Blog
Reverse Convertibles: Worth the Risk?Do reverse convertibles offer any obvious risk-return benefits over high-yield bonds?
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MSCI Blog
Bank Loans: Will Crisis Follow the Search for Yield?In the post-2008 search for yield, investors have taken on considerable exposure to leveraged bank loans. We assess whether these loans pose systemic risk in the way subprime mortgages did during the last crisis.