History repeats for Credit Default Swaps
In this paper MSCI’s Christopher Finger reviews the dynamics of the CDS-bond basis during the 2008 crisis and how it behaves in this new period of market distress.
How investors are balancing the risks of investing in defence
As European countries increase defence spending, allocators are weighing up the risk and opportunity of allocating more to the sector. For some, investing in defence sits relatively comfortably with stakeholders but for others, investing "in things that kill people" remains a highly controversial conversation.
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Funds “overreacting” to market volatility: MSCI
A global survey of asset owners shows they are increasingly being short-term in their focus and may be overreacting to the current market volatility, says Frank Nielsen, co-head of MSCI’s global applied research group.
MSCI improves factor risk modelling for equities
The most recent Barra US Equity Model, USE4, contains some important innovations in factor risk modelling, including the introduction of country risk factors, volatility regime adjustments, and eigenfactor risk adjustments. Amanda White spoke to executive director and head of equity factor model research at MSCI, Jose Menchero, about what that means.
Integrating ESG into the investment process
This MSCI paper provides a framework for integrating ESG considerations into the investment process of mainstream institutional asset managers. In particular, it introduces a portfolio analytical framework that aims to measure how well ESG factors are integrated across the entire portfolio and that can be used to set quantifiable objectives for improvement.
US asset managers trail European counterparts in ESG
Less than a quarter of US asset managers are using ESG risk analysis to inform their investment decisions, and European managers are considerably out-performing their American and global counterparts in integrating sustainability considerations, a report from MSCI ESG Research has revealed.
Industry vs country factors in global equity markets
The relative strengths of industry versus country factors can be of major importance for global equity portfolio managers. If country effects dominate, then primary consideration can be given to the country allocation decision. On the other hand, if global economic integration is reducing the distinctions between countries, then an industry-first investment process may be more
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