Updated Stress Testing Features in RiskMetrics RiskManager

Save this PDF as:
 WORD  PNG  TXT  JPG

Size: px
Start display at page:

Download "Updated Stress Testing Features in RiskMetrics RiskManager"

Transcription

1 Updated Stress Testing Features in RiskMetrics RiskManager Predictive Stress Test for the 2009 Equity Market Rally. Audrey Costabile Christopher Finger Katarzyna Siudek 1 (Marie Curie Fellow) December 1 Katarzyna Siudek was a Marie Curie Fellow at MSCI. The research leading to these results has received funding from the European Community s Seventh Framework Programme FP7- PEOPLE-ITN-2008 under grant agreement number PITN-GA (project name: RISK). The funding is gratefully acknowledged.

2 Introduction MSCI has updated the RiskMetrics RiskManager 4 stress testing library with new predictive historical stress testing scenarios. The tests were designed to help users replicate the effects of the 2009 equity market rally. The new stress tests use RiskManager s predictive stress test functionality to spread the selected shocks to other factors based on the factor covariances. This allows for more comprehensive approach than a simple test. The time frame and factor selection for the stress tests are described in the first part of this paper. In the second part we check for the numerical stability of above stress test. Scenario for the 2009 Rally Time frame selection After the 2008 crisis, markets showed significant growth in 2009, especially between March and December, when the Nasdaq grew 70%, while the S&P and DAX grew 60%. March was the month which recorded the fastest level of growth. Stress levels were selected by finding a concentration of biggest returns in similar period for all indices. March was identified as the month of fastest growth; the biggest 10-day and 22-day returns were noted in the period from early March to mid April For particular risk factors slightly different dates were used. Stress levels are summarized in Table 1 below. Table 1: Stress Levels of Risk Factors Risk Factor S&P 500 Index DAX Index FTSE 100 Index 10-day Stress Test Dates day Stress Test Dates MSCI Emerging Market Index Nikkei 225 Index Old NYMEX Light Sweet Crude Oil CDX UK Government Debt Benchmark - Zero Coupon 24M UK Government Debt Benchmark - Zero Coupon 60M MSCI Inc. All rights reserved. 2 of 13

3 UK Government Debt Benchmark - Zero Coupon 120M US Government Debt Benchmark - Zero Coupon 24M US Government Debt Benchmark - Zero Coupon 60M US Government Debt Benchmark - Zero Coupon 120M German Government Debt Benchmark - Zero Coupon 24M German Government Debt Benchmark - Zero Coupon 60M German Government Debt Benchmark - Zero Coupon 120M The selection of risk factor dates reflect the biggest changes in a similar period for all assets. This is illustrated in Tables 2-5, which show the returns for consecutive dates. The levels which were selected for the test have been highlighted. Table 2: 10-day returns for Indices, Crude oil and CDX Date CDX.NA.I G.11 60M % % % % % % % % Light Sweet Crude Oil 1M -0.60% 11.76% 24.55% 11.32% 16.63% 23.21% 15.46% 1.72% DAX Index FTSE 100 Index Nikkei 225 Index MSCI EM (Emerging Markets) in USD S&P 500 Index % % -6.06% % % % % -5.44% -8.58% % -7.47% -9.01% -3.23% -4.43% -9.58% % % -1.64% -6.38% % -8.67% -9.21% -3.28% -2.82% % -6.21% -8.01% -3.93% -4.87% -8.99% -0.23% -2.65% -2.94% -0.01% -6.93% 1.77% -4.03% -1.14% 1.40% -5.69% MSCI Inc. All rights reserved. 3 of 13

4 % % % % % % % % % % % % % % % % % % % % % % % % % % % 4.59% 3.56% 16.69% 17.10% 5.46% 16.39% 11.46% 13.10% 16.36% 21.80% 14.48% 12.59% 2.18% 0.56% 0.33% 2.86% 2.84% -3.04% -6.33% -3.88% -1.21% 2.39% 6.87% 3.50% 4.84% -2.67% -2.10% 0.34% -5.20% -3.48% 2.00% -0.28% 2.86% -1.99% 0.01% 5.74% 2.92% 9.02% 6.57% 5.82% 13.59% 7.57% 8.05% 9.82% 9.95% 13.81% 11.75% 2.71% 4.36% 9.34% 10.22% 11.43% 9.42% 8.13% 6.89% 14.20% 14.87% 10.97% 8.84% 10.77% 13.24% 12.46% 13.12% 11.59% 15.94% 19.37% 21.64% 7.73% 5.28% 20.32% 15.68% 12.02% 7.90% 5.59% 14.97% 14.62% 12.83% 7.66% 5.74% 19.98% 16.23% 10.94% 6.32% 3.87% 13.97% 12.00% 7.85% -1.37% -2.62% 6.90% 4.04% 4.46% 2.43% 1.79% 2.02% 5.18% 2.54% 3.37% 3.96% 4.76% 6.78% 2.11% 8.37% 8.07% 9.74% 9.98% 6.42% 7.77% 4.86% 10.12% 11.60% 9.62% 4.15% 1.03% 7.82% 7.55% 1.53% 3.23% 0.49% 4.06% 5.91% 1.17% 3.19% 0.65% 1.36% 3.88% 1.39% 5.44% 1.49% 3.24% 5.49% 2.85% 6.84% 2.18% 3.91% 7.56% 4.98% 12.58% 5.87% 8.36% 14.10% 9.04% 11.56% 1.60% 9.04% 13.26% 5.47% 10.14% 0.32% 4.68% 10.86% 5.05% 5.19% -1.75% 0.41% 5.76% 3.71% 6.66% 1.57% 1.80% 4.26% 3.22% Table 3: 10-day returns for Government Bonds German Government Debt Benchmark - Zero Coupon UK Government Debt Benchmark - Zero Coupon US Government Debt Benchmark - Zero Coupon Date 24M 60M 120M 24M 60M 120M 24M 60M 120M % 1.55% 0.32% 4.60% 1.01% 2.79% % -3.70% -0.85% % 5.50% 2.86% -3.82% -1.02% 4.80% 0.85% 9.09% 8.67% % 5.55% 4.96% % -1.37% 7.31% -4.10% 5.83% 7.70% % -4.77% -2.21% % % -3.69% % -4.67% -1.42% % -2.54% -2.12% % % % -2.52% 2.19% 3.03% MSCI Inc. All rights reserved. 4 of 13

5 % -1.07% -3.17% -8.08% % -9.85% 1.30% 3.23% 3.96% % 3.72% 0.05% -4.90% % -8.70% 3.49% 5.49% 7.49% % 6.11% 1.39% -1.79% % % -0.18% -3.02% -0.35% % -3.06% -3.72% -4.04% % % -5.16% -7.72% -4.34% % 0.15% -0.31% -1.41% % % 1.07% -5.50% -3.89% % 8.08% 3.52% 5.89% % % 17.82% 6.67% 3.17% % 10.86% 4.34% 17.20% % % 18.85% 8.94% 4.59% % 8.42% 1.89% 13.78% -9.96% % % % % % 8.65% 1.47% 16.56% 3.86% % -0.59% -7.71% -6.80% % 6.90% 1.26% 5.93% 5.90% -0.83% -5.54% % -7.82% % 5.31% 2.93% -0.50% 5.59% 0.47% -5.30% % -6.57% % 6.51% 4.90% -1.68% 15.34% 6.14% -8.90% % -9.55% % 5.96% 3.19% -5.88% 14.70% 7.13% -8.13% -5.79% -3.64% % 7.71% 3.65% -3.90% 17.37% 11.80% % -7.95% -3.62% % 2.99% 0.62% -4.95% 15.69% 11.84% -7.30% -4.54% -4.27% % -2.97% -4.38% % 7.25% 5.87% % % -7.56% % -7.22% -6.91% % 6.13% 3.72% % % % % -8.48% -7.22% % 0.66% 1.12% -3.96% 3.39% 4.61% % 3.64% 3.36% -3.18% 10.66% 10.53% -0.42% 5.68% 6.56% % 11.55% 8.19% 4.38% 13.09% 12.66% 6.71% 12.00% 9.83% % 7.15% 6.70% 13.21% 13.03% 9.45% 2.48% 11.54% 9.91% % 1.03% 1.78% 14.85% 5.33% 3.52% -3.39% 6.04% 7.20% % -0.27% 2.40% 10.85% 2.22% 1.62% -1.25% -0.09% 2.70% % 0.39% 3.48% 6.66% -0.95% -0.55% 6.00% 7.46% 6.70% % 1.99% 3.21% 7.75% -0.83% 0.04% 5.83% 5.34% 6.15% % 6.01% 6.83% 15.53% 3.87% 3.00% 6.14% 5.53% 5.54% % 6.75% 6.22% 11.99% 1.08% 1.69% 9.46% 4.83% 4.93% % 5.21% 5.41% 19.41% 6.46% 3.89% 8.30% 4.83% 4.54% % -2.61% 1.29% -1.42% -4.07% -3.87% 4.19% 1.88% 2.55% % -2.32% 1.21% 5.03% -0.54% -2.12% 3.65% 2.98% 2.44% Table 4: 22-day returns for Indices, Crude oil and CDX Light Sweet Crude Oil Date CDX.NA.I G.11 60M % % % % % 1M 18.25% 36.36% 39.85% 34.32% 35.29% DAX Index FTSE 100 Index Nikkei 225 Index MSCI EM (Emergin g Markets) in USD S&P 500 Index -8.48% -7.98% 2.86% -0.67% -3.93% -4.11% -5.38% 3.93% 7.02% -0.65% -3.24% -4.09% 5.46% 7.10% -2.52% -0.92% -1.63% 8.70% 11.11% 5.65% 4.30% 0.58% 14.45% 15.72% 4.68% MSCI Inc. All rights reserved. 5 of 13

6 % % % % % % % % % % % % % % % % % % 37.12% 35.57% 23.10% 7.33% 11.02% 19.36% 25.50% 15.47% 17.00% 8.65% 6.97% 16.00% 23.90% 9.67% 10.95% 7.24% 4.31% 7.20% 7.29% 1.29% 14.96% 15.15% 9.49% 9.33% 2.85% 18.82% 19.29% 7.72% 9.29% 1.30% 15.62% 16.99% 6.67% 1.18% -3.90% 10.43% 11.00% 4.61% 6.27% 2.51% 7.15% 14.15% 8.54% 11.35% 9.10% 14.72% 22.24% 15.73% 18.73% 17.45% 20.61% 28.75% 19.83% 12.70% 10.53% 20.01% 25.06% 18.18% 17.71% 13.14% 19.16% 27.63% 22.41% 17.89% 11.32% 23.14% 26.13% 19.34% 18.04% 10.82% 21.30% 25.74% 21.97% 15.54% 7.23% 26.38% 25.85% 19.03% 14.74% 7.85% 21.53% 24.11% 18.74% 13.52% 7.32% 23.98% 24.15% 14.38% 15.26% 6.27% 16.82% 22.27% 11.23% 12.49% 2.70% 13.48% 19.31% 13.02% 15.59% 5.08% 10.14% 19.65% 11.20% 17.03% 7.56% 11.73% 18.30% 9.47% Table 5: 22-day returns for Government Bonds German Government Debt Benchmark - Zero Coupon UK Government Debt Benchmark - Zero Coupon US Government Debt Benchmark - Zero Coupon Date 24M 60M 120M 24M 60M 120M 24M 60M 120M % 13.26% 5.83% 9.91% -9.98% % % % % % 13.51% 2.31% 10.52% -9.81% % 0.68% -0.94% -1.14% % 6.19% -1.03% -3.60% % % -8.98% -9.40% -4.17% % 1.62% -2.32% -6.92% % % -8.34% % -6.30% % 11.82% 4.96% -8.69% -4.04% -2.90% -2.36% -4.91% -2.30% % 10.58% 4.59% % -5.55% -4.57% -1.00% 0.79% 1.76% % 10.15% 3.74% -5.16% -1.67% -3.71% % -7.79% -1.46% % 9.20% 3.65% -5.89% -2.57% -5.97% % % -4.98% % -1.12% -3.34% % % % % % -8.53% % -2.62% -4.27% % % % % % % % 2.08% -2.13% % % % -6.95% -9.63% -6.70% % 11.51% 2.81% 11.27% 0.84% -6.47% -0.59% -4.03% -3.06% % 12.23% 2.02% 12.30% 0.12% -7.45% 1.28% -4.11% -2.27% % 14.35% 6.58% 21.71% 19.09% 1.10% 5.56% 4.84% 4.47% % 15.91% 9.15% 16.60% 22.80% 12.67% -3.24% -1.33% 1.66% % 11.48% 10.61% 6.49% 15.17% 7.56% -3.50% -2.45% 0.53% MSCI Inc. All rights reserved. 6 of 13

7 % 6.61% 7.29% 6.36% 14.36% 4.89% -8.12% -6.06% -2.18% % 4.97% 5.50% 3.25% 14.66% 6.53% -7.40% -3.32% 1.22% % 8.13% 7.26% 2.49% 16.25% 11.19% % -4.55% 0.92% % 3.80% 1.99% 0.12% 11.01% 9.49% % -7.39% -2.66% % -0.64% -0.34% -0.98% 11.24% 7.73% % % -5.46% % -2.03% -0.20% -6.42% 8.76% 6.11% % % -4.95% % 1.11% 1.34% 3.67% 10.60% 8.12% 17.64% 20.26% 16.29% Trends reflecting the risk factor biggest changes are also illustrated in Figures 1-6 below. Figure 1: Equity Indices Figure 2: CDX North America Investment Grade Index MSCI Inc. All rights reserved. 7 of 13

8 Figure 3: Crude Oil MSCI Inc. All rights reserved. 8 of 13

9 Figure 4: German Government Bonds and DAX Figure 5: UK Government Bonds and FTSE Figure 6: US Governmental Bonds and S&P MSCI Inc. All rights reserved. 9 of 13

10 Scenario Definitions The selection of risk factors for the stress tests includes major indices: S&P 500, FTSE 100, German DAX, Japan Nikkei and an emerging market MSCI index. Due to the character of the preceding 2008 crisis, credit risk was found to be an important factor. For this reason the CDX investment grade index was added as an important credit derivative used to hedge credit risk. Interest in less risky assets was observed during that period and is expressed by including German, UK and US government bonds. Finally, increasing prices of crude oil were also identified as an important factor. Table 6: Stressing Risk Factors Risk Factors 10-day Stress Test 22-day Stress Test S&P 500 Index 21.64% 22.41% DAX Index 13.12% 18.73% FTSE 100 Index 11.59% 17.45% Nikkei 225 Index 20.32% 23.14% MSCI Emerging Market 19.37% 28.75% NYMEX Light Sweet Crude Oil 21.80% 25.50% MSCI Inc. All rights reserved. 10 of 13

11 CDX UK Government Debt Benchmark - Zero Coupon 24M UK Government Debt Benchmark - Zero Coupon 60M UK Government Debt Benchmark - Zero Coupon 120M US Government Debt Benchmark - Zero Coupon 24M US Government Debt Benchmark - Zero Coupon 60M US Government Debt Benchmark - Zero Coupon 120M German Government Debt Benchmark - Zero Coupon 24M German Government Debt Benchmark - Zero Coupon 60M German Government Debt Benchmark - Zero Coupon 120M % % 17.20% 21.71% % 19.09% % 1.10% 18.85% 5.56% 8.94% 4.84% 4.59% 4.47% 23.52% 29.04% 10.86% 14.35% 4.34% 6.58% Numerical stability Introduction To ensure numerical stability of the calculations we use the theory of pseudo inverse. Pseudo inverse is a generalization of the regular inverse that allows us to achieve stable results in regression problems. The details for this methodology are described in other MSCI paper (include links/reference here) - Predictive stress test for Gulf War 2, Tech Wreck 2000 and 8 Major Global Indices Monthly Worst. Diagnostics of numerical stability (respective dates). Roughly speaking we will claim that a matrix is well-conditioned if its regular and pseudo inverse are identical. For this we check if all singular values of the matrix are greater than some certain threshold. The threshold is equal to (maximal singular value of the matrix)*(matrix dimension)*(machine epsilon). MSCI Inc. All rights reserved. 11 of 13

12 Results The numerical stability for the stress tests introduced in this paper have been analyzed. For We tested the covariance matrices for two different risk settings, one based on daily data from last year and the other based on monthly data from the last 5 years (both from late November ). In Table 6 below we present detailed results. Table 6: Stress Test Numerical Stability Stress Test Risk Setting Condition Number 2009 Rally 1 year daily returns 5 year monthly returns Max Singular Value Min Singular Value Tolerance Threshold Result E-08 Well conditioned E-06 Well conditioned A condition number of the order is not considered to be too high. The relative error in the data is smaller than the matrix condition number multiplied by machine epsilon. Since machine epsilon is of order analyzed matrices were found stable. Moreover, they also comply with the stricter criteria based on pseudo inverse theory, as all of singular values are greater than required threshold. Client Service Information is Available 24 Hours a Day Americas Europe, Middle East & Africa Asia Pacific Americas Atlanta Boston Chicago Montreal Monterrey New York San Francisco Sao Paulo Stamford Toronto (toll free) Amsterdam Cape Town Frankfurt Geneva London Madrid Milan Paris Zurich (toll free) China North China South Hong Kong Seoul Singapore Sydney Tokyo (toll free) (toll free) (toll free) Notice and Disclaimer This document and all of the information contained in it, including without limitation all text, data, graphs, charts (collec tively, the Information ) is the property of MSCl Inc. or its subsidiaries (collectively, MSCI ), or MSCI s licensors, direct or indirect suppliers or any third party involved in making or compiling any Information (collectively, with MSCI, the Information Providers ) and is provided for informational purposes only. The Information may not be reproduced or redisseminated in whole or in part without prior written permission from MSCI. The Information may not be used to create derivative works or to verify or correct other data or information. For example ( but without limitation), the Information many not be used to create indices, databases, risk models, analytics, software, or in connection with the issuing, offering, sponsoring, managing or marketing of any securities, portfolios, financial products or other investment vehicles utilizing or based on, linked to, tracking or otherwise derived from the Information or any other MSCI data, information, products or services. The user of the Information assumes the entire risk of any use it may make or permit to be made of the Information. NONE OF THE INFORMATION PROVDERS MAKES ANY EXPRESS OR IMPLIED WARRANTIES OR REPRESENTATIONS WITH RESPECT TO THE INFORMATION (OR THE RESULTS TO BE OBTAINED BY THE USE THEREOF), AND TO THE MAXIMUM EXTENT PERMITTED BY APPLICABLE LAW, EACH INFORMATION PROVIDER EXPRESSLY DISCLAIMS ALL IMPLIED WARRANTIES (INCLUDING, WITHOUT LIMITATION, ANY IMPLIED WARRANTIES OF MSCI Inc. All rights reserved. 12 of 13

13 ORIGINALITY, ACCURACY, TIMELINESS, NON-INFRINGEMENT, COMPLETENESS, MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE) WITH RESPECT TO ANY OF THE INFORMATION. Without limiting any of the foregoing and to the maximum extent permitted by applicable law, in no event shall any Information Provider have any liability regardin g any of the Information for any direct, indirect, special, punitive, consequential (including lost profits) or any other damages even if notified of the possibility of such damages. The foregoing shall not exclude or limit any liability that may not by applicable law be excluded or limited, including without limitation (as applic able), any liability for death or personal injury to the extent that such injury results from the negligence or wilful default of itself, its servants, agents or sub -contractors. Information containing any historical information, data or analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. Past performance does not guarantee future results. None of the Information constitutes an offer to sell (or a solicitation of an offer to buy), any security, financial product or other investment vehicle or any trading strategy. MSCI s indirect wholly-owned subsidiary Institutional Shareholder Services, Inc. ( ISS ) is a Registered Investment Adviser under the Investment Advisers Act of Except with respect to any applicable products or services from ISS (including applicable products or services from MSCI ESG Research Information, which are provided by ISS), none of MSC I s products or services recommends, endorses, approves or otherwise expresses any opinion regarding any issuer, securities, financ ial products or instruments or trading strategies and none of MSCI s products or services is intended to constitute investment advice or a recommendation to make (or refrain from making) any kin d of investment decision and may not be relied on as such. The MSCI ESG Indices use ratings and other data, analysis and information from MSCI ESG Research. MSCI ESG Research is produced by ISS or its subsidiaries. Issuers mentioned or included in any MSCI ESG Research materials may be a client of MSCI, ISS, or another MSCI subsidiary, or the parent of, or affiliated with, a client of MSCI, ISS, or another MSCI subsidiary, including ISS Corporate Services, Inc., which provides tools and services to issuers. MSCI ESG Research materials, including materials utilized in any MSCI ESG Indices or other products, have not been submitted to, nor received approval from, the United States Securities and Exchange Commission or any other regulatory body. Any use of or access to products, services or information of MSCI requires a license from MSCI. MSCI, Barra, RiskMetrics, ISS, CFRA, FEA, and other MSCI brands and product names are the trademarks, service marks, or registered trademarks or service marks of MSCI or its subsidiaries in the United States and other jurisdictions. The Global Industry Classification Standard (GICS) was developed by and is the exclusive property of MSCI and Standard & Poor s. Global Industry Classification Standard (GICS) is a service mark of MSCI and Standard & Poor s. About MSCI MSCI Inc. is a leading provider of investment decision support tools to investors globally, including asset managers, banks, hedge funds and pension funds. M SCI products and services include indices, portfolio risk and performance analytics, and governance tools. The company s flagship product offerings a re: the MSCI indices which include over 120,000 daily indices covering more than 70 countries; Barra portfolio risk and performance analytics covering global equity and fixed income markets; RiskMetrics market and credit risk analytics; ISS governance research and outsourced proxy voting and reporting services; FEA valuation models and risk management software for the energy and commodities markets; and CFRA forensic accounting risk research, legal/regulatory risk assessment, and due -diligence. MSCI is headquartered in New York, with research and commercial offices a round the world. MSCI Inc. All rights reserved. 13 of 13

MSCI Global Minimum Volatility Indices Methodology

MSCI Global Minimum Volatility Indices Methodology MSCI Global Minimum Volatility Indices Methodology Table of Contents Section 1: Introduction... 3 Section 2: Characteristics of MSCI Minimum Volatility Indices... 3 Section 3: Constructing the MSCI Minimum

More information

Update on MSCI Equal Weighted Indices

Update on MSCI Equal Weighted Indices Introduction Update on MSCI Equal Weighted Indices Market capitalization weighted benchmarks are used for different purposes in the investment process, such as research, asset allocation, performance benchmarking,

More information

MSCI Short and Leveraged Daily Indices Methodology

MSCI Short and Leveraged Daily Indices Methodology MSCI Short and Leveraged Daily Indices Methodology Please refer to the disclaimer at the end of this document 1 of 7 1. INTRODUCTION The MSCI Short and Leveraged Daily Indices aim to replicate the payoff

More information

MSCI Global ESG Indices Methodology

MSCI Global ESG Indices Methodology Methodology 1. Introduction The are free float-adjusted market capitalization weighted indices designed to provide exposure to companies that have high Environmental, Social and Governance (ESG) performance.

More information

MSCI Quality Indices Methodology

MSCI Quality Indices Methodology Methodology Contents Contents... 2 Section 1: Introduction... 3 Section 2: Index Construction Methodology... 4 Section 2.1: Applicable Universe... 4 Section 2.2: Determination of Quality Score... 4 Section

More information

Updated Stress Testing Features in RiskMetrics

Updated Stress Testing Features in RiskMetrics Updated Stress Testing Features in RiskMetrics RiskManager Historical Scenarios for Fall 2008, Treatment of Yield Curve Shocks, and a Hectic Day Risk Setting Introduction MSCI has updated RiskMetrics RiskManager

More information

Market Insight: Analyzing Hedges for Liability-Driven Investors

Market Insight: Analyzing Hedges for Liability-Driven Investors Market Insight: Lisa R. Goldberg and Sang-Hoon Kim Abstract: Managing surplus risk enables pension plans and endowments to align their asset allocations with their future obligations. BarraOne s Correlation

More information

MSCI CHINA AND USA INTERNET TOP 50 EQUAL WEIGHTED INDEX

MSCI CHINA AND USA INTERNET TOP 50 EQUAL WEIGHTED INDEX INDEX METHODOLOGY MSCI CHINA AND USA INTERNET TOP 50 EQUAL WEIGHTED INDEX September 2014 SEPTEMBER 2014 CONTENTS 1 Introduction... 3 2 Constructing the MSCI China and USA Internet Top 50 Equal Weighted

More information

Global Investing: The Importance of Currency Returns and Currency Hedging

Global Investing: The Importance of Currency Returns and Currency Hedging Global Investing: The Importance of Currency Returns and Currency Hedging There is a continuing trend for investors to reduce their home bias in equity allocation and increase the allocation to international

More information

Introducing the Loan Pool Specific Factor in CreditManager

Introducing the Loan Pool Specific Factor in CreditManager Technical Note Introducing the Loan Pool Specific Factor in CreditManager A New Tool for Decorrelating Loan Pools Driven by the Same Market Factor Attila Agod, András Bohák, Tamás Mátrai Attila.Agod@ Andras.Bohak@

More information

MSCI Core Infrastructure Indexes Methodology

MSCI Core Infrastructure Indexes Methodology Index Methodology MSCI Core Infrastructure Indexes Methodology January 2015 msci.com Contents 1 Introduction... 3 2 Constructing MSCI Core Infrastructure Indexes... 3 2.1 Country and Constituent Selection...

More information

How European is Europe?

How European is Europe? Research Bulletin The ongoing sovereign debt crisis in Europe coupled with political uncertainty has pushed Europe into a deep recession posing enormous challenges not just for countries but also companies.

More information

MSCI Dividend Masters Indexes Methodology

MSCI Dividend Masters Indexes Methodology Index Methodology MSCI es Methodology July 2014 msci.com Contents 1 Introduction... 3 2 Index Construction Methodology... 3 Section 2.1: Applicable Universe... 3 Section 2.2: Security Selection... 3 Section

More information

Analyzing Market Response Using the Barra US Equity Model. Jyh Huei Lee, Jose Menchero, Frank Vallario. msci.com

Analyzing Market Response Using the Barra US Equity Model. Jyh Huei Lee, Jose Menchero, Frank Vallario. msci.com US Market Report The on the US Equity Market Analyzing Market Response Using the Barra US Equity Model Jyh Huei Lee, Jose Menchero, Frank Vallario Introduction On May 1, 2013, the Federal Reserve announced

More information

MSCI AUSTRALIA SELECT HIGH DIVIDEND YIELD INDEX

MSCI AUSTRALIA SELECT HIGH DIVIDEND YIELD INDEX INDEX METHODOLOGY MSCI AUSTRALIA SELECT HIGH DIVIDEND YIELD INDEX March 2014 MARCH 2014 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Australia Select High Dividend Yield Index... 4 3 Maintaining

More information

MSCI PRIVATE ASSET INVESTMENT CONFERENCE

MSCI PRIVATE ASSET INVESTMENT CONFERENCE MSCI PRIVATE ASSET INVESTMENT CONFERENCE Jun 30, 2015 Tokyo MSCI is pleased to invite you to the MSCI Private Asset Investment Conference which is widely reputed as the prime real estate investment event

More information

MSCI Announces the Results of the 2011 Annual Market Classification Review

MSCI Announces the Results of the 2011 Annual Market Classification Review MSCI Announces the Results of the 2011 Annual Market Classification Review Geneva June 21, 2011 MSCI Inc. (NYSE: MSCI), a leading provider of investment decision support tools worldwide, including indices,

More information

INDEX METHODOLOGY MSCI REIT PREFERRED. Index Construction and Maintenance Methodology for the MSCI REIT Preferred Index.

INDEX METHODOLOGY MSCI REIT PREFERRED. Index Construction and Maintenance Methodology for the MSCI REIT Preferred Index. INDEX METHODOLOGY MSCI REIT PREFERRED INDEX METHODOLOGY Index Construction and Maintenance Methodology for the MSCI REIT Preferred Index December 2014 DECEMBER 2014 CONTENTS 1 Introduction... 3 2 Defining

More information

CURRENCY HEDGED INDEXES

CURRENCY HEDGED INDEXES INVESTOR INSIGHT CURRENCY HEDGED INDEXES Why Do They Matter? March 2015 CURRENCY HEDGED INDEXES Currency exposure has substantially impacted the performance and the volatility of global equity indexes

More information

MSCI Global Socially Responsible Indices Methodology

MSCI Global Socially Responsible Indices Methodology MSCI Global Socially Responsible Indices Methodology 1. Introduction Globally, investors are increasingly seeking to invest in accordance with their values such as religious beliefs, moral standards, or

More information

ESG and Fixed Income Investing

ESG and Fixed Income Investing ESG and Fixed Income Investing ESG and Fixed Income Investing Laura Nishikawa, Head of ESG Fixed Income Research CSR Investing Summit New York, NY 22 July 2014 3 Introducing MSCI ESG Research ESG ratings

More information

Introduction. msci.com

Introduction. msci.com Research Bulletin Reporting with Fair Value Adjusted Indexes! Introducing the New Introduction Nearly all U.S.-domiciled international equity mutual funds use fair value methodologies to adjust their daily

More information

GDP Weighting in Asset Allocation February 2010

GDP Weighting in Asset Allocation February 2010 GDP Weighting in Asset Allocation Introduction The country factor is an important driver of equity market returns. A traditional passive approach for capturing this factor has been through market capitalization

More information

Market Reclassification Implementation Q&A

Market Reclassification Implementation Q&A Market Reclassification Implementation Q&A On June 11, 2013 MSCI announced the results of the 2013 Annual Market Classification Review. The purpose of this document is to address commonly asked questions

More information

Reclassification Proposal for the MSCI Pakistan Index. February 2009

Reclassification Proposal for the MSCI Pakistan Index. February 2009 Consultation on the Market Reclassification Proposal for the MSCI Pakistan Index February 2009 Outline Introduction Proposal & Potential Implementation Timeline Appendix 2 Introduction 3 Objectives The

More information

Introduction to RiskMetrics WealthBench

Introduction to RiskMetrics WealthBench Introduction to RiskMetrics WealthBench RiskMetrics WealthBench WealthBench is a web based platform used by relationship managers and investment advisors in their investment planning processes to help

More information

S&P DOW JONES INDICES AND MSCI ANNOUNCE REVISIONS TO THE GLOBAL INDUSTRY CLASSIFICATION STANDARD (GICS ) STRUCTURE IN 2016

S&P DOW JONES INDICES AND MSCI ANNOUNCE REVISIONS TO THE GLOBAL INDUSTRY CLASSIFICATION STANDARD (GICS ) STRUCTURE IN 2016 S&P DOW JONES INDICES AND MSCI ANNOUNCE REVISIONS TO THE GLOBAL INDUSTRY CLASSIFICATION STANDARD (GICS ) STRUCTURE IN 2016 New York, November 10, 2014 - S&P Dow Jones Indices, a leading provider of financial

More information

MSCI Risk Monitor: RiskMetrics Europe

MSCI Risk Monitor: RiskMetrics Europe MSCI Risk Monitor: RiskMetrics Europe June 216 Volatility and Correlation for Key Risk Drivers in Europe About This Report Highlights Under a standard RiskMetrics forecasting model, this monthly Risk Monitor

More information

Negative Interest Rates through the Lens of the Swiss Fixed Income Model

Negative Interest Rates through the Lens of the Swiss Fixed Income Model Negative Interest Rates through the Lens of the Swiss Fixed Income Model Introduction Investors continue to witness negative nominal interest rates in Switzerland and across many markets in the eurozone,

More information

The Stock-Bond Relationship and.asset Allocation October 2009

The Stock-Bond Relationship and.asset Allocation October 2009 The Stock-Bond Relationship and.asset Allocation October 2009 The relationship between stocks and bonds has important implications for asset allocation and risk diversification. This Research Bulletin

More information

MSCI CORE REAL ESTATE INDEXES METHODOLOGY

MSCI CORE REAL ESTATE INDEXES METHODOLOGY INDEX METHODOLOGY MSCI CORE REAL ESTATE INDEXES METHODOLOGY Index Construction and Maintenance Methodology for the MSCI Core Real Estate Indexes July 2016 JULY 2016 CONTENTS 1 Introduction... 3 2 Eligible

More information

Frequently Asked Questions MSCI ESG RESEARCH. FAQs for the Corporate Community October 2014. msci.com

Frequently Asked Questions MSCI ESG RESEARCH. FAQs for the Corporate Community October 2014. msci.com Frequently Asked Questions MSCI ESG RESEARCH for the Corporate Community MSCI ESG RESEARCH Frequently Asked Questions General: What is MSCI? MSCI is a leading provider of investment decision support tools

More information

MSCI Risk Monitor: RiskMetrics Europe

MSCI Risk Monitor: RiskMetrics Europe April 5 Volatility and Correlation for Key Risk Drivers in Europe About This Report Highlights Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk

More information

Multi-Asset Class Market Report: Hedging the Risk of $200 per Barrel

Multi-Asset Class Market Report: Hedging the Risk of $200 per Barrel Multi-Asset Class Market Report: Hedging the Risk of $200 per Barrel Audrey Costabile and Zita Marossy Introduction Investors who believe that oil will not hit $200 per barrel may position themselves to

More information

MSCI DIVERSIFIED MULTIPLE-FACTOR INDEXES METHODOLOGY

MSCI DIVERSIFIED MULTIPLE-FACTOR INDEXES METHODOLOGY INDEX METHODOLOGY MSCI DIVERSIFIED MULTIPLE-FACTOR INDEXES METHODOLOGY October 2015 APRIL 2015 CONTENTS 1 Introduction... 3 2 Index Construction Methodology... 4 2.1 Applicable Universe... 4 2.2 Constituent

More information

Results of MSCI 2015 Market Classification Review

Results of MSCI 2015 Market Classification Review Results of MSCI 2015 Market Classification Review China A Shares on Track for Inclusion MSCI and CSRC Will Form Working Group to Address Remaining Issues Geneva June 9, 2015 MSCI Inc. (NYSE: MSCI), the

More information

New York, May 15, 2013. MSCI US Equity Indices

New York, May 15, 2013. MSCI US Equity Indices New York, May 15, 2013 MSCI US Equity Indices The following are changes in constituents for the MSCI US Equity Indices which will take place as of the close of May 31, 2013. SUMMARY OF THE CHANGES INCLUDED

More information

MSCI HEDGED INDEXES MSCI DAILY HEDGED INDEXES MSCI FX HEDGE INDEXES MSCI GLOBAL CURRENCY INDEXES

MSCI HEDGED INDEXES MSCI DAILY HEDGED INDEXES MSCI FX HEDGE INDEXES MSCI GLOBAL CURRENCY INDEXES INDEX METHODOLOGY MSCI HEDGED INDEXES MSCI GLOBAL CURRENCY INDEXES July 2013 JULY 2013 CONTENTS Introduction... 5 1 Common Principles in the Calculation of MSCI Hedged, MSCI Daily Hedged, MSCI FX Hedge

More information

Why Currency Returns and Currency Hedging Matters

Why Currency Returns and Currency Hedging Matters Research Insight Why Currency Returns and Currency Hedging Matters An Update on the MSCI Hedged Indices Jennifer Bender, Roman Kouzmenko, and Zoltan Nagy msci.com Overview With the growth of international

More information

MSCI Announces Results of the 2014 Annual Market Classification Review

MSCI Announces Results of the 2014 Annual Market Classification Review MSCI Announces Results of the 2014 Annual Market Classification Review Geneva June 10, 2014 MSCI Inc. (NYSE: MSCI), a leading provider of indexes and other investment decision support tools worldwide,

More information

S&P DOW JONES INDICES AND MSCI ANNOUNCE FURTHER REVISIONS TO THE GLOBAL INDUSTRY CLASSIFICATION STANDARD (GICS ) STRUCTURE IN 2016

S&P DOW JONES INDICES AND MSCI ANNOUNCE FURTHER REVISIONS TO THE GLOBAL INDUSTRY CLASSIFICATION STANDARD (GICS ) STRUCTURE IN 2016 S&P DOW JONES INDICES AND MSCI ANNOUNCE FURTHER REVISIONS TO THE GLOBAL INDUSTRY CLASSIFICATION STANDARD (GICS ) STRUCTURE IN 2016 New York, November 2, 2015 - S&P Dow Jones Indices, a leading provider

More information

MSCI Risk Monitor: RiskMetrics Europe

MSCI Risk Monitor: RiskMetrics Europe MSCI Risk Monitor: RiskMetrics Europe October 15 Volatility and Correlation for Key Risk Drivers in Europe About This Report Highlights Under a standard RiskMetrics forecasting model, this monthly Risk

More information

IPD GLOBAL QUARTERLY PROPERTY FUND INDEX

IPD GLOBAL QUARTERLY PROPERTY FUND INDEX IPD GLOBAL QUARTERLY PROPERTY FUND INDEX Contributing Managers and Funds March 2015 MARCH 2015 CONTRIBUTING MANAGERS AND FUNDS MARCH 2015 Asia Pacific Management House AMP Capital Investors AMP Capital

More information

Consultation on a proposal to create

Consultation on a proposal to create Consultation on a proposal to create MSCI Global l Socially Responsible Indices February 2011 2011. All rights reserved. msci.com Outline Introduction Proposed MSCI Global Socially Responsible Indices:

More information

Is There a Link Between GDP Growth and Equity Returns? May 2010

Is There a Link Between GDP Growth and Equity Returns? May 2010 Is There a Link Between GDP Growth and Equity Introduction A recurring question in finance concerns the relationship between economic growth and stock market return. Recently, for example, some emerging

More information

Fixed Income Focus: Ireland & Portugal

Fixed Income Focus: Ireland & Portugal In the past decade we have seen droves of investors driven to global fixed income markets in search of higher yields. While the global pool of fixed income securities more than doubled, we saw asset bubbles

More information

MSCI Announces the Results of the 2012 Annual Market Classification Review

MSCI Announces the Results of the 2012 Annual Market Classification Review MSCI Announces the Results of the 2012 Annual Market Classification Review Geneva June 20, 2012 MSCI Inc. (NYSE: MSCI), a leading provider of investment decision support tools worldwide, including indices,

More information

Value-Growth Dynamics in Interest Rate Cycles May 2008

Value-Growth Dynamics in Interest Rate Cycles May 2008 Value-Growth Dynamics in Interest Rate Cycles Overview A slowing economy has renewed interest in the impact of interest rates, inflation, and monetary policy on equity markets. Intuitively, a case can

More information

FRANKLIN GLOBAL EQUITY INDEX

FRANKLIN GLOBAL EQUITY INDEX INDEX METHODOLOGY FRANKLIN GLOBAL EQUITY INDEX Mrig, Lokesh April 2016 APRIL 2016 CONTENTS 1 Introduction... 3 2 Index Construction Methodology... 4 2.1 Defining The Eligible Universe... 4 2.2 Determination

More information

MSCI Announces Market Classification Decisions

MSCI Announces Market Classification Decisions MSCI Announces Market Classification Decisions Geneva - June 15, 2009 - MSCI Inc. (NYSE: MXB), a leading provider of investment decision support tools worldwide, including indices and portfolio risk and

More information

CONSULTATION ON CHINA A-SHARES INDEX INCLUSION ROADMAP

CONSULTATION ON CHINA A-SHARES INDEX INCLUSION ROADMAP CONSULTATION ON CHINA A-SHARES INDEX INCLUSION ROADMAP Updated Post 2015 MSCI Market Classification Review April 2016 2016 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this

More information

RESULTS OF MSCI 2016 MARKET CLASSIFICATION REVIEW

RESULTS OF MSCI 2016 MARKET CLASSIFICATION REVIEW RESULTS OF MSCI 2016 MARKET CLASSIFICATION REVIEW MSCI will delay including China A shares in the MSCI Emerging Markets Index New York June 14, 2016 MSCI Inc. (NYSE: MSCI), a leading provider of global

More information

Germany Real Estate Market Overview

Germany Real Estate Market Overview Germany Real Estate Market Overview 9 th April 2015 Peter Hobbs, Real Estate Research, MSCI 2014 MSCI Inc. All rights reserved. Agenda 1. German real estate in a global context 2. Variations within Germany

More information

CONSULTATION ON POTENTIAL CHANGES TO THE GLOBAL INDUSTRY CLASSIFICATION STANDARD (GICS ) STRUCTURE IN 2016

CONSULTATION ON POTENTIAL CHANGES TO THE GLOBAL INDUSTRY CLASSIFICATION STANDARD (GICS ) STRUCTURE IN 2016 CONSULTATION ON POTENTIAL CHANGES TO THE GLOBAL INDUSTRY CLASSIFICATION STANDARD (GICS ) STRUCTURE IN 2016 June 1, 2015 TABLE OF CONTENTS 1. Introduction 2. Mode of consultation 3. The evolution of the

More information

S&P 500 Composite (Adjusted for Inflation)

S&P 500 Composite (Adjusted for Inflation) 12/31/1820 03/31/1824 06/30/1827 09/30/1830 12/31/1833 03/31/1837 06/30/1840 09/30/1843 12/31/1846 03/31/1850 06/30/1853 09/30/1856 12/31/1859 03/31/1863 06/30/1866 09/30/1869 12/31/1872 03/31/1876 06/30/1879

More information

Risk Characteristics of Emerging Market Bonds

Risk Characteristics of Emerging Market Bonds www.mscibarra.com Risk Characteristics of Emerging Market Bonds March 2010 David T. Owyong, PhD Anand S. Iyer, CFA 2010 MSCI Barra. All rights reserved. In 2009, emerging market bonds were among the top-performing

More information

Responding to the Call for Fossil-fuel Free Portfolios

Responding to the Call for Fossil-fuel Free Portfolios FAQ Updated Responding to the Call for Fossil-fuel Free Portfolios What is fossil-free investing? Students, faculty and elected officials are asking college endowments and municipal and state pension funds

More information

Minimum Volatility Equity Indexes

Minimum Volatility Equity Indexes Minimum Volatility Equity Indexes Potential Tools for the Insurance Company November 2013 Overview Insurers looking for greater risk-adjusted returns from their portfolios often consider minimum volatility

More information

Can Tail Risk Be Hedged?

Can Tail Risk Be Hedged? Can Tail Risk Be Hedged? Summary of Empirical Results Lisa R. Goldberg Ola Mahmoud (Marie Curie Fellow) 1 Peter Shepard Kurt Winkelmann August 2011 1 Ola Mahmoud was a Marie Curie Fellows at MSCI. The

More information

MSCI US REIT Index Methodology

MSCI US REIT Index Methodology Index Construction and Maintenance Methodology for the MSCI US REIT Index 1. Introduction The MSCI US REIT Index is a free float market capitalization weighted index that is comprised of Equity REITs securities

More information

Revisiting Global Small Caps

Revisiting Global Small Caps Revisiting Global Small Caps July 2010 Marc Kilbert Raman Aylur Subramanian 2010 MSCI. All rights reserved. 1 of 20 Summary The small cap as a source of equity risk premia has been well documented in finance

More information

MSCI US REIT Index Methodology

MSCI US REIT Index Methodology Index Construction and Maintenance Methodology for the MSCI US REIT Index Contents Introduction... 3 Section 1: Defining REITs and the MSCI US REIT Index Eligible REITs... 4 Section 2: Free Float-Adjusting

More information

INDEXES INDEX DEFINITIONS. Index Marketing. February 2015

INDEXES INDEX DEFINITIONS. Index Marketing. February 2015 INDEXES INDEX DEFINITIONS Index Marketing February 2015 FEBRUARY 2015 CONTENTS MSCI Regional Equity Indexes... 3 MSCI Index Variants... 7 Definition of Terms for MSCI Indexes... 9 MSCI.COM PAGE 2 OF 12

More information

EMPLOYING IMPLIED VOLATILITY TO IMPROVE SHORT-TERM RISK FORECASTS OF EQUITY MODELS

EMPLOYING IMPLIED VOLATILITY TO IMPROVE SHORT-TERM RISK FORECASTS OF EQUITY MODELS EMPLOYING IMPLIED VOLATILITY TO IMPROVE SHORT-TERM RISK FORECASTS OF EQUITY MODELS "Successful investing is anticipating the anticipations of others." - John Maynard Keynes Igor Mashtaler Nicolas Meng

More information

National Credit Default Rates Continued Their Upward Trend in December 2014 According to the S&P/Experian Consumer Credit Default Indices

National Credit Default Rates Continued Their Upward Trend in December 2014 According to the S&P/Experian Consumer Credit Default Indices National Credit Default Rates Continued Their Upward Trend in December 2014 According to the S&P/Experian Consumer Credit Default Indices Four of the Five Cities Saw Default Rates Increase in December

More information

Liquidity Risk Management

Liquidity Risk Management Liquidity Risk Management New Trends, Challenges and Instruments for the Financial Industry 1 Outline MSCI liquidity risk research and current regulation LiquidityMetrics Overview Regulatory support Calibration

More information

Geneva, May 12, 2016 MSCI GLOBAL STANDARD INDEXES

Geneva, May 12, 2016 MSCI GLOBAL STANDARD INDEXES Geneva, May 12, 2016 MSCI GLOBAL STANDARD INDEXES The following are changes in constituents for the MSCI Global Standard Indexes which will take place as of the close of May 31, 2016. SUMMARY PER COUNTRY

More information

The New GICS Real Estate Sector and S&P U.S. Benchmarks

The New GICS Real Estate Sector and S&P U.S. Benchmarks The New GICS Real Estate Sector and S&P U.S. Benchmarks Within the Global Industry Classification Standard (GICS), the real estate industry group will be elevated to the sector level, effective in the

More information

Factsheet Phoenix Autocallable Notes April 2012

Factsheet Phoenix Autocallable Notes April 2012 This information is intended for investment professionals only and should not be provided to or relied upon by retail investors in any circumstances. Investment Guide for Income Builder December 2011 www.gilliat.co.uk

More information

Laddering a Portfolio of Municipal Bonds

Laddering a Portfolio of Municipal Bonds CONTRIBUTORS J.R. Rieger Global Head Fixed Income Indices james.rieger@spdji.com Tyler Cling Senior Manager Fixed Income Indices tyler.cling@spdji.com Bond laddering is a strategy that calls for maturity

More information

Best Practices for Investment Risk Management June 2009

Best Practices for Investment Risk Management June 2009 Best Practices for Investment Risk Management Jennifer Bender Frank Nielsen A successful investment process requires a risk management structure that addresses multiple aspects of risk. Here we lay out

More information

Convertible bonds: the opportunity

Convertible bonds: the opportunity DECEMBER 2014 Convertible bonds: the opportunity UNDERSTANDING A FIXED INCOME AND EQUITY HYBRID Convertible bonds ( convertibles ) combine both debt and equity features and offer a compelling value proposition:

More information

CONSUMER CREDIT DEFAULT RATES DECREASE IN SEPTEMBER 2015 ACCORDING TO THE S&P/EXPERIAN CONSUMER CREDIT DEFAULT INDICES

CONSUMER CREDIT DEFAULT RATES DECREASE IN SEPTEMBER 2015 ACCORDING TO THE S&P/EXPERIAN CONSUMER CREDIT DEFAULT INDICES CONSUMER CREDIT DEFAULT RATES DECREASE IN SEPTEMBER 2015 ACCORDING TO THE S&P/EXPERIAN CONSUMER CREDIT DEFAULT INDICES Four of the Five Cities Report Default Rate Decreases in September 2015 New York,

More information

Currencies & Currency Hedging

Currencies & Currency Hedging Ugo Egbunike, Moderator Director of Business Development ETF.com Currencies & Currency Hedging Juliana Bambaci, Panelist Index Applied Research MSCI Jonathan Citrin, Panelist Founder & CEO Citrin Group

More information

Are we living in a Bond Bubble? Oliver Sinnott Fixed Income Strategist April 2014

Are we living in a Bond Bubble? Oliver Sinnott Fixed Income Strategist April 2014 Are we living in a Bond Bubble? Oliver Sinnott Fixed Income Strategist April 2014 Global Financial Crisis saw debt levels soar to highest since WWII Governments were too highly indebted to significantly

More information

Vega Risk in RiskManager

Vega Risk in RiskManager Model Overview Lisa R. Goldberg Michael Y. Hayes Ola Mahmoud (Marie Cure Fellow) 1 Tamas Matrai 1 Ola Mahmoud was a Marie Curie Fellows at MSCI. The research leading to these results has received funding

More information

Responding to the Call for Fossil-fuel Free Portfolios

Responding to the Call for Fossil-fuel Free Portfolios Issue Brief FAQ Updated Responding to the Call for Fossil-fuel Free Portfolios What is fossil-free investing? Students, faculty, parishioners and elected officials are asking college endowments, religious

More information

Sukuk Liquidity Trends

Sukuk Liquidity Trends PRACTICE ESSENTIALS SUKUK 21 GLOBAL Liquidity Trends CONTRIBUTOR Michele Leung Associate Director, Fixed Income Indices michele.leung@spdji.com While global sukuk issuance declined by 13% in 213, the liquidity

More information

Factoring in the Emerging Markets Premium

Factoring in the Emerging Markets Premium Factoring in the Emerging Markets Premium Exploring Factor Indexes in Emerging Markets Raina Oberoi Raman Aylur Subramanian Anil Rao Philippe Durand Contents Contents... 2 Executive Summary... 3 I. Emerging

More information

MSCI Minimum Volatility Indices: Track Broad Market Returns with Lower Risk

MSCI Minimum Volatility Indices: Track Broad Market Returns with Lower Risk MSCI Minimum Volatility Indices: Track Broad Market Returns with Lower Risk July, 2013 2013. All rights reserved. msci.com Outline 1. Research background on the Low Volatility Effect 2. How MSCI builds

More information

db x-trackers MSCI World Telecom Services Index UCITS ETF (DR) Supplement to the Prospectus

db x-trackers MSCI World Telecom Services Index UCITS ETF (DR) Supplement to the Prospectus db x-trackers MSCI World Telecom Services Index UCITS ETF (DR) Supplement to the Prospectus This Supplement contains information in relation to the db x-trackers MSCI World Telecom Services Index UCITS

More information

A Liquid Benchmark for Private Real Estate

A Liquid Benchmark for Private Real Estate A Liquid Benchmark for Private Real Estate Mark Clacy-Jones Roman Kouzmenko Bryan Reid Bert Teuben Contents Contents... 2 Executive Summary... 3 Introduction... 4 Private and Listed Real Estate Indexes...

More information

Environmental investing Key issues when hiring managers

Environmental investing Key issues when hiring managers 11 May 2010 Environmental investing Key issues when hiring managers Rachel Whittaker CFA, Limited is authorised and regulated by the Financial Services Authority Registered in England No. 984275 Registered

More information

INDEX SERIES FTSE PUBLICATIONS. FTSE ETF Issuer Services.

INDEX SERIES FTSE PUBLICATIONS. FTSE ETF Issuer Services. INDEX SERIES FTSE PUBLICATIONS FTSE ETF Issuer Services. BEIJING BOSTON DUBAI HONG KONG LONDON MILAN MUMBAI NEW YORK PARIS SAN FRANCISCO SHANGHAI SYDNEY TOKYO FTSE FTSE Group ( FTSE ) is a world-leader

More information

The Fundamentals of Fundamental Factor Models

The Fundamentals of Fundamental Factor Models www.msci.com The Fundamentals of Fundamental Factor Models June 2010 Jennifer Bender Frank Nielsen 2010 MSCI. All rights reserved. 1 of 15 Electronic copy available at: http://ssrn.com/abstract=1707661

More information

BMO Mid Federal Bond Index ETF (ZFM) (the ETF )

BMO Mid Federal Bond Index ETF (ZFM) (the ETF ) SEMI-ANNUAL MANAGEMENT REPORT OF FUND PERFORMANCE BMO Mid Federal Bond Index ETF (ZFM) (the ETF ) For the six-month period ended June 30, 2016 (the Period ) Manager: BMO Asset Management Inc. (the Manager

More information

BlackRock Launches Retirement Income Indexes

BlackRock Launches Retirement Income Indexes BlackRock Launches Retirement Income Indexes Groundbreaking Indexes Give Investors Metric to Translate Retirement Savings into Retirement Income; Enables Better Planning, Midcourse Corrections During Critical

More information

Demand for RMB and Financial Services through Hong Kong by German Businesses

Demand for RMB and Financial Services through Hong Kong by German Businesses Demand for RMB and Financial Services through Hong Kong by German Businesses Think Asia, Think Hong Kong Munich, 11 September 2014 Think Asia, Think Hong Kong Munich, 11 September 2014 Page 1 Asia: Key

More information

Preparing for the Unknown Unknowns - Forward-looking Portfolio Stress Testing. Canadian Investment Review Risk Conference

Preparing for the Unknown Unknowns - Forward-looking Portfolio Stress Testing. Canadian Investment Review Risk Conference This presentation is intended for investment professionals and must not be relied on by anyone else Preparing for the Unknown Unknowns - Forward-looking Portfolio Stress Testing Canadian Investment Review

More information

Transparency in Private Equity. General

Transparency in Private Equity. General Transparency in Private Equity Top Level Findings Institutional investor allocations to private equity are expected to increase over the next five years Investors expect increased levels of demand among

More information

Global Real Estate Outlook

Global Real Estate Outlook Global Real Estate Outlook August 2014 The Hierarchy of Economic Performance, 2014-2015 China Indonesia India Poland South Korea Turkey Australia Mexico United Kingdom Sweden United States Canada South

More information

A Closer Look at Interest Rate Floors

A Closer Look at Interest Rate Floors A Closer Look at Interest Rate Floors CONTRIBUTOR Vishal Arora Director Global Index Research & Design vishal.arora@spdji.com Currently, there is much debate in the market surrounding if and when interest

More information

S&P GSCI Crude Oil Enhanced Index Methodology Supplement

S&P GSCI Crude Oil Enhanced Index Methodology Supplement S&P GSCI Crude Oil Enhanced Index Methodology Supplement S&P Dow Jones Indices: Index Methodology August 2015 S&P GSCI Crude Oil Enhanced Index S&P GSCI Crude Oil Enhanced Index Methodology Supplement

More information

Futures Trading: The Way to Go?

Futures Trading: The Way to Go? Futures Trading: The Way to Go? Terence Lee Private Client Service 25/02/11 Disclaimer The information contained in these course materials provided is the option of the Course Trainer and not Phillip Futures.

More information

2013 Distribution Summary Investor, Premium & e -Series Breakdown of Cumulative Distributions for the Period January 1, 2013 to December 31, 2013

2013 Distribution Summary Investor, Premium & e -Series Breakdown of Cumulative Distributions for the Period January 1, 2013 to December 31, 2013 2013 Summary Breakdown of Cumulative s for the Period January 1, 2013 to December 31, 2013 TD Comfort Portfolios Investor Series TD Comfort Conservative Portfolio 0.070042 0.024999 0.040647 0.051698 0.187386

More information

Define your goals, we ll do the rest

Define your goals, we ll do the rest SUB-FUNDS OF GOLDMAN SACHS FUNDS, SICAV Define your goals, we ll do the rest The GS Wealthbuilder Multi-Asset Portfolios can help you achieve your goals, whether you are looking to preserve, enhance or

More information

AN INSIDE LOOK AT S&P MILA 40

AN INSIDE LOOK AT S&P MILA 40 DID YOU KNOW? This article originally appeared in the Summer 2013 edition of INSIGHTS, a quarterly publication from S&P DJI, and summarizes key aspects of the S&P MILA 40 Index originally featured in Benchmarking

More information

MSCI Barra Portfolio Management Seminar

MSCI Barra Portfolio Management Seminar www.mscibarra.com MSCI Barra Portfolio Management Seminar April 28, 2010 Budapest Agenda Page 1 of 1 CLIENT SERVICE ASSISTANCE IS AVAILABLE 24 HOURS A DAY Americas 1.888.588.4567 (toll free) Amsterdam

More information

Considering Capex Efficiency

Considering Capex Efficiency EQUITY 101 U.S. Considering Capex Efficiency CONTRIBUTOR Kelly Tang, CFA Director, Global Research & Design kelly.tang@spdji.com Financial theory states that if management cannot find enough valuecreating

More information