Msci Inc. · NYSE:MSCI
Msci — MSCI In Practice: Empowered MAC Investing webinar (June 2020)
25 slides from Msci's conference presentation, Jun 17, 2020
Slide 1: MSCI In Practice: Empowered MAC Investing
Information Classification: GENERAL MSCI In Practice Empowered MAC Investing SEEING THE BIGGER PICTURE WITH MAC SYSTEMATIC STRATEGY FACTORS June 17, 2020 © 2019 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.
Slide 2: Today's Speakers
Information Classification: GENERAL Today’s Speakers Domenico Manieri, Oleg Ruban, Executive Dan Sinnreich, Vice President, Client Director and Head of Managing Director, Coverage, MSCI Analytics Applied Analytics, MSCI Research for Asia Pacific, MSCI 2
Slide 3: MAC Strategies Can Be Complex to Untangle
Information Classification: GENERAL MAC Strategies Can Be Complex to Untangle Positions Exposures What are my key exposures? Volatility MAC How are they changing? Risk Correlations What is driving changes in risk? Systematic Themes 3
Slide 4: Zooming In and Out With the MSCI MAC Model
Information Classification: GENERAL Zooming In and Out With the MSCI MAC Model © 2020 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. 4
Slide 5: MAC Systematic Factor Insight: Momentum and Value
Information Classification: GENERAL MAC Systematic Factor Insight: Momentum and Value Oleg Ruban 5
Slide 6: Four COVID-19 narratives
Information Classification: GENERAL Four COVID-19 narratives V-shaped U-shaped • Pandemic fades in H2 2020 • Pandemic mostly fades in H2 2020, • V-shaped recovery, no long-term growth threat of new outbreaks managed shock • U-shaped recovery, limited long-term • Easing financial conditions, rising c
Slide 7: Where are markets now?
Information Classification: GENERAL Where are markets now? Provide context: MSCI USA cumulative performance compared to four COVID scenarios 7
Slide 8: Multi-asset class portfolio implications
Information Classification: GENERAL Multi-asset class portfolio implications 8
Slide 9: Any safe havens? Multi-asset class momentum
Information Classification: GENERAL Any safe havens? Multi-asset class momentum Factor correlations 9
Slide 10: Any safe havens? Multi-asset class momentum
Information Classification: GENERAL Any safe havens? Multi-asset class momentum 10
Slide 11: Is value investing dead?
Information Classification: GENERAL Is value investing dead? Value factor information ratios 11
Slide 12: Seeing the Big Picture with MAC Factors
Information Classification: GENERAL Seeing the Big Picture with MAC Factors Domenico Manieri 12
Slide 13: A typical factor-based MAC allocation
Information Classification: GENERAL A typical factor-based MAC allocation What are investors looking for in a model during a crisis? Responsiveness –compare insights from a stable model, aligned with the investment horizon, with indication from a reactive model, better suited to read fast-changing m
Slide 14: How different models read the crisis
Information Classification: GENERAL How different models read the crisis Portfolio Risk Pre-crisis Worst-month Rebound 30.00 MAC.L 23.11 25.00 23.67 MAC.S 20.24 20.00 15.00 12.36 10.00 13.59 6.26 11.87 5.00 6.20 0.00 12/31/2019 1/31/2020 2/29/2020 24/02/2020 3/31/2020 4/30/2020 5/31/2020 Model Half-
Slide 15: What caused the spike in risk in March 2020?
Information Classification: GENERAL What caused the spike in risk in March 2020? T1 Risk Delta: MAC Tier 1 Portfolio Portfolio Factor Volatility Correlation Risk Source Exposure Change Change Change Contribution Contribution Contribution Total Risk 2.26 12.25 2.40 Local Market Risk 2.28 12.09 2.68 C
Slide 16: The worst month for equity markets
Information Classification: GENERAL The worst month for equity markets T3 Country Factor Returns Risk Delta: MAC Tier 3 40.0% US UK Factor Volatility Portfolio Correlation Factor Change Change IT CN Tier 3 EM Americas Equity 5.05 0.32 20.0% CX World Tier 3 Equity 21.19 0.20 Tier 3 DM Americas Equity
Slide 17: The worst month for equity markets
Information Classification: GENERAL The worst month for equity markets T3 Equity Portfolio Tilts – MSCI FaCS Style Factor Returns Risk Delta MAC Tier 3 4.0% Portfolio Factor Volatility Quality 0.29 Factor Change Correlation Change 2.0% Liquidity 0.28 Tier 3 Equity Yield 1.50 0.59 Tier 3 Equity Value
Slide 18: The worst month for credit markets
Information Classification: GENERAL The worst month for credit markets T1 T2 Risk Delta: MAC Tier 1 Portfolio Portfolio Factor Volatility Correlation Risk Source Exposure Change Change Change Contribution Contribution Contribution Total Risk 2.26 12.25 2.40 Local Market Risk 2.28 12.09 2.68 Risk Del
Slide 19: The worst month for credit markets
Information Classification: GENERAL The worst month for credit markets T3 Risk Delta: MAC Tier 3 Portfolio Factor Portfolio Factor Exposure Volatility Correlation Change Change Change Tier 3 recognizes US Corporate Credit (IG) as the main force driving the Tier 3 United States IG Credit 2.11 160.27
Slide 20: The worst month for credit markets
Information Classification: GENERAL The worst month for credit markets T4 L Italian Sovereign Spread Factor Returns 0% Risk Delta: MAC Tier 4 -20% Portfolio Factor Portfolio Factor Exposure Volatility Correlation -40% Change Change Change 1Y -60% 2Y Tier 4 Portugal Sovereign Credit 0.21 58.31 0.29 5
Slide 21: The worst month for credit markets
Information Classification: GENERAL The worst month for credit markets T3 Systematic Credit Strategies: Worst FI Portfolio Tilts – MAC Tier 3 Risk Delta: MAC Tier 3 Month Returns Active Active Credit Value Factor Volatility Correlation Credit Carry 3.52 Change Change Tier 3 Credit Value 22.36 0.02 C
Slide 22: Conclusion: Global Investing with the MSCI MAC Model
Information Classification: GENERAL Conclusion: Global Investing with the MSCI MAC Model 1 Provides multiple levels of granularity to communicate global, MAC exposures Align factor granularity with reporting to maximize effectiveness Consistent risk and return attribution 2 Capture systematic strate
Slide 23: COVID-19 | MSCI Research
Information Classification: GENERAL COVID-19 | MSCI Research (www.msci.com/coronavirus) MSCI COVID-19 related research MSCI Factor Index Scorecard Global Markets overview Charting the COVID-19 Crisis MSCI blogs Upcoming MSCI webinars/events MSCI LinkedIn site
Slide 24: About MSCI
Information Classification: GENERAL About MSCI MSCI is a leading provider of critical decision support tools and services for the global investment community. With over 45 years of expertise in research, data and technology, we power better investment decisions by enabling clients to understand and
Slide 25: Notice and disclaimer
Information Classification: GENERAL Notice and disclaimer This document and all of the information contained in it, including without limitation all text, data, graphs, charts (collectively, the “Information”) is the property of MSCI Inc. or its subsidiaries (collectively, “MSCI”), or MSCI’s licenso
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