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Research Articles by ANAND Iyer

4 Published Papers

"Investing in Inflation Protection", MSCI Research Insight, November 2010

Topic: Asset Allocation and Asset Liability Management | Asset Class: Multi-Asset Class | Show/Hide Details >>

Both inflationary and deflationary concerns have emerged as global economies continue to struggle with recovery. In this confusing environment, inflation-protected bonds can play an important role in plan sponsors’ asset allocation dilemma especially in light of yesterday’s Fed announcement of Quantitative Easing (II) implementation plan. We find that IPBs have exhibited some distinct differences from other asset classes during the past decade.

Publication: MSCI Research Insight
Authors: ANAND Iyer, BENDER Jennifer

"The Curse of Olympian Spending with International Borrowing", MSCI Research Insight, June 2010

Topic: Investing (Investment Management), Risk Management | Asset Class: Fixed Income | Show/Hide Details >>

This Research Insight examines the impact of the unfolding European sovereign debt crisis, focusing on Greece, Portugal, Ireland, Spain, and Italy (GPISI). We use the new, short-horizon Barra Integrated Model (BIM Daily) to measure sovereign bond investment risk and provide insight into this market development. First, we highlight the background of this emerging crisis, in particular the links to government debt, fiscal deficits, maturity distribution, and levels of external borrowing. Then, we show how the recent volatility in European sovereign debt markets was reflected in BIM risk forecasts and led to high risk concentrations in a European government bond portfolio. Finally, we provide an historical and qualitative perspective to evaluate the potential widening of credit contagion.

Publication: MSCI Research Insight
Authors: ANAND Iyer, RUBAN Oleg, VANNEREM Philippe

"Assessing Interest Rate Risk Beyond Duration - Shift, Twist, Butterfly", MSCI Barra Research Insight, April 2010

Topic: Asset Allocation and Asset Liability Management, Investing (Investment Management), Risk Management | Asset Class: Fixed Income | Show/Hide Details >>

High fiscal deficits, a sharp rise in the issuance of sovereign debt from major developed economies, rising inflation expectations, and possible changes in central bank rates could cause the yield curves from around the world to change significantly. This poses challenges for fixed income professionals who need to address possible non-parallel changes to the term structure. This paper illustrates the capabilities of Shift-Twist-Butterfly (STB) factor models to help address these challenges. We provide a longer-term perspective on term structure changes in the Euro zone, US and Japan. Through four portfolio case studies, we show that the use of risk measures, such as duration, convexity or key rate durations, has limitations. These can be overcome by the complementary use of advanced fixed income risk models based on STB interest rate risk factors.

Publication: MSCI Barra Research Insight
Authors: ANAND Iyer, VANNEREM Philippe

"Risk Characteristics of Emerging Market Bonds", MSCI Barra Research Insights, March 2010

Topic: Investing (Investment Management), Risk Management | Asset Class: Fixed Income, Multi-Asset Class | Show/Hide Details >>

In 2009, emerging market bonds were among the top-performing assets in comparison to both global equity and fixed income. The recent, rapid rise in US Treasury yields and the concern over tightening monetary policies in certain countries led us to evaluate the relationship between global interest rate risks and emerging market bonds. We look at the risk characteristics of the market, along with the historical relationship of emerging market bonds with US Treasuries, other developed market sovereign bonds, and equity market volatility. We consider possible warning signals of impending volatility in emerging market bonds during the period we observed, as well as possible ways to have improved the diversification benefits with equities.

Publication: MSCI Barra Research Insights
Authors: ANAND Iyer, OWYONG David

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