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Press Release
MSCI Launches New Platform to Measure Liquidity Risk Across Asset ClassesPDFRisk Management Analytics RiskMetrics RiskManager LiquidityMetrics
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Research Report
Research Insight - Case Study on Managing Portfolio Liquidity Costs - June 2013Rebalancing a passive portfolio can be costly. A simple way to minimize costs is to place constraints on turnover, but this approach overlooks differences in liquidity across securities. In this case study, we demonstrate the effect of liquidity information on trading. We develop a hypothetical portfolio following an EMU sovereign bond benchmark and present a selection of rebalancing strategies, each incorporating a different degree of liquidity information. Our example...
Risk Management Analytics LiquidityMetrics
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Research Report
Intro to LiquidityMetricsThis Research Insight introduces MSCI’s LiquidityMetrics, a suite of multi-asset class risk analytics for measuring and managing portfolio liquidity. The LiquidityMetrics framework is based on comprehensive descriptions of the liquidity of single assets, called Liquidity Surfaces, encompassing bid-ask spreads, market impact, trading immediacy, market depth and trading activity. In addition to position level liquidity profiling, LiquidityMetrics allows users to analyze portfolio liquidity in...
Risk Management Analytics LiquidityMetrics