Extended-lister
Showing 3981 - 3990 of 4,987 entries
-
Research Report
MSCI Current Coupon ModelsThis paper describes the MSCI Current Coupon Model. The future cashflow of mortgage-backed securities (MBS) is uncertain due to the embedded prepayment option. The prepayment decisions of borrowers are largely driven by the prevailing mortgage rates in the future. Mortgage rates are derived from current coupon rates. Near-term current coupon yield can be derived from the secondary TBA passthrough market, but the liquidity does not go beyond 3 months. To evaluate a typical MBS with a 30-year...
-
Research Report
MSCI Risk Monitor - RiskMetrics Europe - May 2014The monthly MSCI Risk Monitor: RiskMetrics Europe report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model; depending on market developments, we select different factors each month (see the Appendix for all possible factors). The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large...
Risk Management Analytics RiskMetrics RiskManager
-
Research Report
What If Greece Leaves the Euro?Stress Testing the Greek Exit Scenario Using MSCI RiskManager This Product Insight uses MSCI RiskManager to examine the potential effects of a Greek exit from the euro, explaining the detailed assumptions behind our stress test design. We make use of RiskManager's predictive stress test tool, which starts with user-defined hypothetical shocks on a few core risk factors (singled out as the drivers of the global crisis) then propagates shocks on all markets. In this current exercise, we employ...
-
Research Report
MSCI Risk Monitor: RiskMetrics® Global - May 2016Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key global risk factors.
Portfolio Management Analytics Risk Management Analytics
-
Research Report
A Long Hot SummerPairwise correlations have increased to historic highs since the beginning of August. This increase coincides with a historic spike in the importance of market volatility (captured by the Country factor in the new Barra US Equity Model (USE4)) relative to the volatility of other factors like styles and industries. Intuitively, this relationship makes sense since all stocks are exposed to the market. What this has meant for portfolio managers is a marked increase in total or absolute risk but...
-
Research Report
Post-Earthquake Japan Equity UpdateThis paper looks through the lens of the Barra Japan Equity model (JPE3) to analyze how the Japan equity market reacted to the recent earthquake on March 11. We also review the Japan equity market just after Kobe Earthquake in 1995, and see if there are similarities or differences in the behavior of Japanese stocks after these two events from a style and industry perspective. Given the sharp appreciation of the yen after the recent earthquake, we considered the differences in yen sensitivity...
-
Research Report
Liquidity Risk Reporting Service for UCITS FundsMSCI has developed a Liquidity Risk Reporting Service that aims to help UCITS funds address the regulatory risk management and reporting requirements prescribed by the European Securities and Markets Authority (ESMA). Return to main page on LiquidityMetrics
-
Research Report
Update on MSCI Equal Weighted IndicesSome investors argue that the risk of a market capitalization weighted benchmark is not limited to volatility, but also includes other dimensions, such as high concentration, and excess volatility due to pricing inefficiency. Removing the influence of prices from index weighting schemes could address the issues associated with capitalization weighted benchmarks. Historically, equal weighting has been one such approach.The MSCI Equal Weighted Indices offer an alternative to market...
-
Press Release
COP26 warning: World’s listed companies to cause a temperature rise of 3°CPDF
-
Research Report
The MSCI Quality Mix IndexesFactor-based investing has become a widely discussed topic of today's investment canon. In this paper - which is the last delivery of a four-paper series focusing on factor investing - we discuss the combinations of Factor Indexes taking as an example the MSCI Quality Mix Index.The MSCI Quality Mix Index is an equal weighted combination of the MSCI Quality, Value and Minimum Volatility Indexes. Academic research shows that quality, value and low volatility strategies have not only...