Showing 261 - 270 of 316 entries
Press ReleaseAlliance Trust Selects MSCI and Barra Products
Press ReleaseNew Australian Equity Model Provides Portfolio Managers with Insight on Risk and Return
Research PaperModel Insight - Barra Term Structure Models for BIM301
MSCI has enhanced Barra government bond models that cover all developed nominal and inflation-protected markets and added five new emerging market models. BIM301 models improve in-sample and risk forecasting by estimating more detailed and longer term structures and improved risk modeling, including higher frequency weekly returns, short and long horizon models, and improved specific risk models.
Research PaperThe Barra Australia Equity Model (AUE4) - Empirical Notes
This Model Insight provides empirical results and analysis for the new Barra Australia Equity Model (AUE4). These notes include extensive information on the structure, the performance, and the explanatory power of the factors. Furthermore, these notes also include a thorough side-by-side comparison of the forecasting accuracy of the AUE4 Model and the AUE3 Model, its predecessor.
Research PaperGlobal Equity Market Watch - May 2012
Global Equity Market Watch is a monthly publication that looks at global equity markets through the lens of the factors in the Barra Global Equity Model (GEM2). In each issue, we examine the various sources of global equity returns and risk - including the World factor, countries, industries, styles, currencies, and stock-specific sources - and monitor returns, volatilities, and correlations for those sources over the trailing 1-12 months. We also examine how the explanatory power and...
Research PaperGlobal Equity Market Watch - April 2012
Global Equity Market Watch is a monthly publication that looks at global equity markets through the lens of the factors in the Barra Global Equity Model (GEM2). In each issue, we examine the various sources of global equity returns and risk - including the World factor, countries, industries, styles, currencies, and stock-specific sources - and monitor returns, volatilities, and correlations for those sources over the trailing 1-12 months. We also examine how the explanatory power...
Research PaperQuantitative Insight - Frontier Markets: The Next Investment Frontier?
The new MSCI Global Equity Model (GEM3) incorporates advances in risk methodology, including the addition of 22 frontier markets to the estimation universe, with full coverage of the MSCI Frontier Markets Index. Frontier markets are a diverse niche for risk-tolerant investors willing to weather market volatility to reap potentially huge gains. The relative obscurity of frontier markets can raise important questions for investors: What are the valuation and risk characteristics of...
Research PaperQuantitative Insight - Comparing GEM2 and GEM3: Portfolio Construction and Turnover
The methodological enhancements introduced in the new Barra Global Equity Model (GEM3) are designed to improve risk forecasts for optimized portfolios. In this paper, we investigate the turnover and forecasting accuracy of optimized portfolios generated using GEM3, and compare them with those generated using the model’s predecessor, GEM2. By testing various investment strategies during the period 2007-2011, we found no systematic difference in turnover; in fact, the GEM3 risk forecasts...
Research PaperGlobal Market Report: Are All Recoveries Created Equal? March 2012
Over the last few years, global Financials have experienced a particularly rough ride, receding 20 percent relative to the MSCI ACWI IMI Index since the peak in October 2009. In this report, we use the Barra Global Equity model to compare two short rallies that interrupted the downward trend in Summer 2010 and Winter 2011. While the earlier recovery was dominated by pure industry effects, the most recent recovery can be explained largely by the changing fundamental valuations of banking...
Research PaperUS Market Report, March 2012: Does an Apple a Day Make the US Economy Healthier?
Because of its spectacular performance, Apple is seen by many as a special company that rises above the IT sector. In this market report, we use the Barra US Equity Model (USE4) to help answer these questions: What if Apple didn't exist? How would Apple’s disappearance impact investment in the IT sector? From a risk angle, our study shows Apple to be far from exceptional, showing only a minor impact when removed from an IT Sector portfolio.