With its extensively researched and intuitive fundamental factors, fund managers can use GEM3 to help them identify sources of global equity returns that are common across a broad set of securities and estimate their associated risks.

GEM3 has been specifically developed for global equity portfolio management and construction and leverages MSCI’s experience in developing and maintaining global equity multi-factor models and indices. It offers important enhancements over GEM2, an earlier model used by institutional fund managers worldwide.

Key Features

• Coverage of 22 new frontier markets with full coverage of the MSCI Frontier Markets Index bringing the total to 77 country factors and 62 currencies covered.
• 70,000+ assets covered including Depositary Receipts and cross-listed securities
• 5000+ new Frontier Market assets added
• Daily model updates are designed to improve risk monitoring, exposure control, intra-month portfolio rebalancing, scenario/stress testing and back-testing. Factor exposures, covariance matrices and specific risk forecasts are updated on a daily basis.
• Optimization Bias Adjustment improves risk forecasts for optimized portfolios. Forecasting bias is reduced within the factor covariance matrix by scaling up where risk is under-forecast and scaling down where risk is over-forecast.
• Volatility Regime Adjustment calibrates factor volatilities to current levels. It aims to reduce the under-prediction of risk when entering a regime of increased volatility and the over-prediction of risk when exiting a period of elevated volatility, resulting in a faster response to market trends.
• New factors include Residual Volatility and Beta (replacing the GEM2 Volatility factor) and the GEM2 Value factor is split into three factors: Book-to-Price, Earnings Yield and Dividend Yield.
• Daily model history back to January 1997
• 34 Industry factors based on GICS®
• 11 Style factors to model risk sources not captured by the market or industry factors
• Available in Short- and Long-Horizon versions
• Available in Aegis, Models Direct and Barra Portfolio Manager
• New MSCI Frontier Markets Indices available for Aegis clients