The transition to a low-carbon economy may trigger a major transformation of the global economy, generating significant risks and opportunities for companies and investors.

In this article published in the Journal of Financial Data Science, coauthors from MSCI and MIT develop and describe a data-driven system using AI tools to capture market perception and, in turn, group companies into peer clusters.

The U.S. stock market has plunged 15% to start the year, while growth stocks have fallen even farther. Many firms are suffering through historic drawdowns and a resetting of their valuations.

The global market rally that began in April 2020 came to a halt with a sell-off that started at the end of last year and increased in intensity this February with the invasion of Ukraine.

The U.S. Treasury Dept. decided this week to effectively block payments to holders of two USD Russian sovereign bonds. These payments had been initiated by the Russian Ministry of Finance, but would have required the Russian government to access its reserves held at U.S. banks.

For markets, Russia’s build-up of military forces along its border with Ukraine last November reinforced the growth-to-value style-factor rotation across global and regional equity markets that began in late 2020.

Given the recent spike in energy prices we ask: How have higher energy prices affected the performance of climate indexes, which normally have less exposure to traditional energy companies?

One month after Russia’s invasion of Ukraine, we looked at the impact it has had on the equities of European firms, given their proximity to the theater and reliance on Russian oil, and investigated what role ESG has played.

Following up on our earlier research on contagion indicators, we looked at how the liquidity of corporate bonds from Eastern European countries (the Czech Republic, Hungary, Poland, Slovakia and the Baltic states) has changed since the start of the Russia-Ukraine war.

Russia’s invasion of Ukraine has added to an already-long list of concerns for global investors, which have led central banks around the world to reassess monetary policy, as they seek to balance economic growth and inflation.

Despite uncertainty around whether sanctions will bar creditors from receiving payments, Russia paid USD 117 million of interest due for two Russian hard-currency bonds, on March 16.

Higher energy prices have benefited developed-market energy-sector equities, generally, as illustrated by the fact that the MSCI USA Energy Index and the MSCI Europe Energy Index have significantly outperformed their respective broader market benchmarks, year to date through March 11.

We wrote previously that the March 9 reclassification of the MSCI Russia Index to the status of a stand-alone market had minimal impact on the characteristics of the MSCI Emerging Markets (EM) Index. The effects on the energy sector, however, were more pronounced.

The MSCI Emerging Markets (EM) Index has fallen 11.7% year to date through March 11. For further insight into equity markets, we can turn to the options market, which has historically served as a window into investors’ views.

Have the severe losses in the Ukrainian and Russian markets spread to other parts of the region, or beyond?

One of the biggest question marks around the Russia-Ukraine war has been about cyberattacks — would they come and when? 

Fears of stagflation loom large as investors look to the Fed and other central banks and consider the potential effects of the war in Ukraine.

Much like with Russian government bonds, we’ve seen signs of distress in Russia’s corporate bond market since Russia invaded Ukraine on Feb. 24. 

Russia’s invasion of Ukraine was followed by a marked increase in stock-market volatility. The Cboe Volatility Index® (VIX) spiked from 28 on Feb. 23 to 37.5 the next day.

Yesterday, MSCI announced that its Russia indexes will be reclassified from emerging markets (EM) to standalone markets status after a majority of global-market participants confirmed that the Russian equity market is currently uninvestable.

The Russian invasion of Ukraine is another reminder that geopolitics play an outsized role in determining economic relations between countries.

Signs of distress are everywhere in the Russian bond market following the Russian invasion of Ukraine and the imposition of sanctions on Russia.

As of the closing bell on Feb. 24, the market appeared to expect a dovish approach from the Fed.

As investors work to evaluate the effects of a growing list of economic sanctions against Russia, and the devastating impacts inside Ukraine, it can be difficult to keep perspective. 

Major societal shifts, led by technology, have changed the way we live our lives and have had a massive impact on the investment industry. Generational change driven by technological advancements has become central to the success of investment firms, affecting everything from the way investors build portfolios and conduct research to the way they communicate with clients.

In this episode of our new weekly podcast, Peter Zanagari, MSCI’s Head of Research and Product Development, details how MSCI has mobilized to provide critical research and insights to help investors navigate the volatility sparked by the COVID-19 pandemic. An industry veteran, Peter also offers lessons he’s learned in managing through previous market crises, and what to expect from this podcast – which will continue as long as markets demand – and from MSCI generally.

Asset owners use indexes as policy benchmarks and reference portfolios in their asset allocation. Index investors track cap-weighted indexes that seek to capture the market return. 

With the rise of factor investing, institutional investors increasingly have sought to understand whether their factor exposures are crowded. Current MSCI Barra equity factor risk models are designed to provide insight and detail to help institutional investors understand how a portfolio is positioned and what has driven its risk and return. The MSCI Integrated Factor Crowding Model is designed to complement the Barra model by providing investors with insight into how the rest of the market...

How might the Fed’s plan to reduce its bond-buying program affect returns and risk for Treasurys and mortgage-backed securities? After nine years of quantitative easing, the Fed plans to reduce the amount of Treasury and mortgage-back securities it buys every month. The first time the Fed broached this idea, the market responded with a “taper tantrum.” This time, however, the Fed has made clear that it plans to pursue a conservative tapering policy and has communicated its plan more clearly....

In this Research Insight, we introduce “Systematic Equity Strategies” (SES), which refers to a rules-based implementation of investment strategies and anomalies.  Our research finds that SES, when used as factors in risk models, can help predict both expected and abnormal stock returns, thus improving forecast accuracy. Some Systematic Equity Strategies may lead to crowding risk as large pools of capital pursue shared strategies; by using SES factors, investors can monitor...

The third part in the series examining how stock exposures to the Volatility Factor, as defined in the Barra Global Equity Model (GEM2), change over time.

Read the second of three installments of Managing through a Crisis: Practical Insights and Lessons Learned for Quantitatively Managed Equity Portfolios, written by Peter Zangari (MSCI's Managing Director for Equity Portfolio Management Analytics) while he was at Goldman Sachs. Peter's track record in the area of portfolio and risk management and his previous experiences at Goldman Sachs and J.P. Morgan helped shape this body of work.

Read the first of three instalments of Managing through a Crisis: Practical Insights and Lessons Learned for Quantitatively Managed Equity Portfolios, written by Peter Zangari, Managing Director for MSCI Equity Portfolio Management Analytics. Peter's track record in the area of portfolio and risk management and his previous experiences and Goldman Sachs and J.P. Morgan helped shape this body of work...