Research Report

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Research Report

Portfolio Management Analytics Risk Management Analytics BarraOne

Research Report

Different Portfolio Construction Methods in an Uncertain WorldWhy Accurate Stock Specific Risk Modeling MattersDynamic Volatility in the Japanese Equities Market and its Impact on Active Portfolio Management.Improved Risk Forecasting for Emerging Equity Markets Using Higher Frequency Data

Research Report

Since specific risk is the only risk that can be reduced through diversification, it is crucial to obtain an accurate specific risk forecast.  Stock pickers target specific returns, and the active return on which they base their businesses primarily bears specific risk. Specific risk models are especially vulnerable to misforecasting during periods of rapidly changing risk. Are there specific risk models that can follow such large variations and produce forecasts that do not mislead?...

Research Report

Since the collapse of the Internet bubble, many Japanese portfolio managers have observed a surprising contrast between trends in tracking error and market volatility: tracking errors have fallen dramatically for many portfolios, while the volatility of the TSE1 index has declined much more gradually.  The decrease in tracking error is related to a phenomenon occurring in markets around the globe.  The cross-sectional dispersion of asset returns within these markets is much smaller...

Research Report

We compared Screening and Optimization approaches to portfolio construction for the European market using the methodology found in Grinold and Kahn [1999] and Muller [1993]. We obtained similar results to those we previously saw in the US market. Optimization clearly outperformed the screening methods, producing the best IRs in 10 out of 12 cases. The worst-performing method was Cap-Weighted Screening. This is because the wide variation in market capitalization within the constructed...

Research Report

Strongly variable risk levels are common in emerging equity markets, and complicate modeling their risks.  Applying daily index returns to a model through the DEWIV methodology often enhances the quality of market risk forecasts — DEWIV has long been a feature of models for developed markets such as Japan and the UK.  Our research indicates that in about half of the 20 emerging markets for which we could obtain daily index returns, implementing DEWIV significantly improved...

Research Report

The MSCI Monthly Update is a monthly publication where we provide commentary on the market using MSCI Barra Equity Models, the MSCI Macroeconomic Model, the RiskMetrics Factor Model and MSCI Indexes.

Research Report

This note describes a new method for estimating the risk exposures of hedge funds and mutual funds when complete holdings are unavailable. Like MSCI’s previous fund models, the Fund Model enables returns-based analysis of funds together with holdings-based analysis of other portfolio components. The new methodology extends traditional returns-based style analysis to incorporate other holdings-based information, reduce noise, and overcome distortions from turnover and the smoothing of illiquid...

Risk Management Analytics

Research Report

An accumulating body of empirical research has found positive gross excess returns from exposure to risk factors (or risk premia). Our study was commissioned by the Norwegian Ministry of Finance to explore factor strategies, through the lens of risk premia indices, for large funds. The paper examines equity risk premia, such as value, size, low volatility and momentum, focusing on return, risk, and investability. For portfolios of large scale, we construct risk premia indices which have...

Indexes