Showing 3481 - 3488 of 3,488 entries
Research PaperThe Road to Retirement
Defined Contribution (DC) plans are rapidly becoming the primary retirement investment vehicle for a majority of employees across the US and other markets around the globe. Asset allocation for DC plans has to strike a balance between growth and protection assets over the savings lifecycle while protecting the long-term purchasing power of the nest egg. Due to the long duration of retirement investing and various risks associated with it, implementing the right asset allocation has become...
Research PaperFoundations of ESG Investing in Corporate Bonds
Environmental, social, and governance (ESG) investing is a very broad field with many different investment approaches addressing various investment objectives across asset classes. While there are many studies relating to ESG in equities, the risk assessment of ESG considerations within fixed income may be equally if not more important. Bonds have limited upside, but in a negative scenario, investors can potentially lose all their invested capital. At a top level, we can break down ESG...
Research PaperModel Insight - The Barra Europe Equity Model (EUE4) - April 2013
This paper provides empirical results for the new Barra Europe Equity Model (EUE4), including details on factor structure, commentary on the performance of select factors, analysis of the explanatory power of the model, and an examination of the statistical significance of the factors. Furthermore, these notes include a side-by-side comparison of forecasting accuracy for EUE4 and EUE3.
Research PaperSummer 2006
Equity Risk Modeling: A Comparison of Factor ModelsExplaining Default Swap VariationA Prepayment Model for the Danish MBB MarketDynamic Volatility and Its Implications for Portfolio Management
Research PaperExploring Default Swap Spread Variation
We assess the effectiveness of the Barra Default Probability (BDP) model in explaining the cross-sectional variation of Credit Default Spreads. In order to establish the usefulness of the BDP model in forecasting real-world defaults, we test it against historical default experience. We find that the model shows good default discriminatory power relative to agency ratings.
Research PaperA Prepayment Model for the Danish MBB Market
We developed an Implied Prepayment model to calculate spread values and effective Durations for Danish Mortgage Backed Bonds (MBB). By using an implied prepayment model, constructed by fitting a generic functional form to market prices of liquid Danish MBB, we take the market price of prepayment risk into account and produce consistent results. Since only current pricing data are used as a model input this approach does not require access to a historical database of prepayment data. This will...
Research PaperDynamic Volatility and its Implications for Portfolio Management
A discussion on the implications of changing volatility levels on active and passive portfolio management. In the Summer 2005 Horizon Newsletters, we examined the sources of cross-sectional volatility in the Japan market. We extend the study to Europe and the US market and simulate the impact of dynamically changing volatility levels on active portfolio risk. We show that the optimal level of tracking error, the size of active exposures, and the optimal number of securities vary wildly with...
Research PaperFactor Models and Fundamentalism, MSCI Barra Newsletter, Summer 2006
Guy Miller compares Fundamental, Statistical, and 'Hybrid' Equity Factor Risk models. He discusses when the different types work best and when they are likely to fail in risk management and portfolio construction. When statistical factors are used to extend a fundamental factor model, we see modest improvements in risk forecasting. The improvement in portfolio optimization seems even slighter and should be applied only with caution