Extended-lister
Showing 321 - 330 of 333 entries
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Research Report
Global Equity Market Watch - April 2011Global 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...
Portfolio Management Analytics
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Research Report
Treatment of Fixed Transaction Costs in Barra OptimizerThis paper deals with fixed transaction costs in the context of portfolio optimization. These are transaction costs that do not depend on the traded amount. We show how such costs need to be taken into account during the portfolio optimization process, and describe the algorithm Barra Optimizer uses to address the costs. Computational results demonstrate the performance of the algorithm.
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Research Report
Global Equity Market Watch - March 2011Global 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...
Portfolio Management Analytics
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Support Site Video
The Perils of ParityPortfolio Management Analytics
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Research Report
The Perils of ParityThis paper examines the recent trend of adding leverage to fixed income allocations of multi-asset class portfolios of large asset owners. We show that the optimality of adding leverage from a volatility-reduction perspective depends on the correlations between bonds and equities, the relative volatility of bonds versus equities, and the weights of the two asset classes in the portfolio. If correlations between bonds and equities are negative, adding leverage could reduce the volatility of a...
Portfolio Management Analytics
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Article
Barra Optimizer - Article
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Research Report
Currency Hedging: A Free Lunch?This Research Insight examines the question of whether currency hedging is a ‘free lunch' of risk reduction and zero expected returns. Using a long history of hedged and unhedged MSCI indices, we find that hedging does not always reduce risk, nor are mean returns zero. Contrary to some prior studies, we find there is no free lunch for the equity investor. Instead, we conclude that the usual, intuitive relationships hold: less risk usually means lower returns, and more risk, higher...
Portfolio Management Analytics
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Research Report
Currency HedgingWe investigate the question of whether currency hedging pays off in the long run using data from the hedged and unhedged versions of the MSCI Global Investable Market Indices. These data allow us to perform comparisons of unusually large breadth (4 base currencies and 40 markets) and history (1987 to 2008). Our research indicates that the answer depends not only on the base currency, market, and hedging horizon, but also on the investor's goals, e.g. risk reduction or return/risk...
Portfolio Management Analytics
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Research Report
Portfolio of Risk Premia: A New Approach to DiversificationTraditional asset allocation approaches have not provided the full potential of diversification. Here, we introduce a different approach and look at structuring portfolios using risk premia within the traditional asset classes or from systematic trading strategies. We confirm the potential benefits of such an approach by comparing a typical 60/40 equity/fixed income allocation with an equal weighted allocation across eleven risk premia.
Indexes Portfolio Management Analytics
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Research Report
Robust Portfolio Optimization: A Closer LookPortfolio Management Analytics Barra Open Optimizer