Bringing you live news and features since 2013
Bringing you news, views and analysis since 2013
Peter Zangari, MSCI

22265

MSCI upgrades fixed income model suite

RELATED TOPICS​

MSCI has made updates to its fixed income risk model suite.

The fourth-generation offering applies MSCI’s three decades of experience in fixed income to challenges in today’s markets and the need to more quickly recognise changes in the global credit markets.
 
Peter Zangari (pictured), managing director and global head of analytics for MSCI, says: “Recent consolidation among fixed income analytics providers has forced many investment managers to explore alternative solutions. This major upgrade demonstrates our commitment to helping clients manage fixed income in today’s yield-seeking environment.”
 
Key enhancements to the model include the addition of Duration Times Spread (DTS) factors as indicators of risk, and the introduction of basis factors. The advantages of the DTS approach include having the ability to reflect changing quality quickly, reducing dependence on ratings agencies, and recognising a return to calm in the market after crisis. Basis factors, such as cash versus CDS, provide insight and tools for managing liquidity risks.
 
MSCI plans to integrate the fourth-generation fixed income factor model suite with its best in class equity, commodity, and private asset class models in its integrated multi-asset class model. This model is widely used by asset managers and large pension plans to manage risk and attribute performance across asset classes.
 
Zangari says: “MSCI has been building factor models for over 40 years. Managers need independent, open, and customisable tools to better manage their portfolios, and more effectively communicate with their clients. Our flexible model delivery and implementation options allow managers to tightly integrate our best of breed models seamlessly with their unique investment process.”

Latest News

Irish domiciled funds surpassed EUR4.3 trillion AuM (Assets under Management) at end-March 2024, a 15..
New analysis by London-based Nickel Digital Asset Management reveals 38 listed companies with a combined..
Bloomberg has announced that for the first time, its proprietary Bloomberg Second Measure (BSM) transaction..

Related Articles

Global ESG Investing
On May 15 Florida’s Republican Governor Ron DeSantis signed legislation that furthers his ongoing campaign to oppose the role of climate change and ESG factors in state policymaking...
On May 15 Florida’s Republican Governor Ron DeSantis signed legislation that furthers his ongoing campaign to oppose the role of..
Trends
The trend to buyout among the UK’s smaller defined benefit (DB) schemes continues with a slew of new sub GBP100 million deals announced this month alone...
The trend to buyout among the UK’s smaller defined benefit (DB) schemes continues with a slew of new sub GBP100..
Different flavours
In what is believed to be the first survey of its kind in the UK market, Nedgroup Investments, the investment-led, multi-boutique global asset manager with over USD20 billion under management, recently undertook a survey with 204 UK investment professionals, seeking insights into their perceptions and attitudes towards boutique asset managers...
In what is believed to be the first survey of its kind in the UK market, Nedgroup Investments, the investment-led,..
UK map
UK local government pension schemes (LGPS) are leading the charge on investment in private markets issuing tenders set to be worth billions of pounds in the coming years...
UK local government pension schemes (LGPS) are leading the charge on investment in private markets issuing tenders set to be..
Subscribe to the Institutional Asset Manager newsletter

Subscribe for access to our weekly newsletter, newsletter archive, updates on the site and exclusive email content.

Marketing by