Showing 1811 - 1820 of 1,829 entries
Research PaperUS Market Report - Do High Performing REITs Offer Diversification? - June 2012
Some portfolio managers think of REITs as a source of good returns, having low correlation with the broad equity market. This market report examines these claims by looking at sources of outperformance as well as sources of return, risk and correlation over the past five years. Using the Barra US Equity model (USE4), we show that recent REIT performance was mainly due to an industry effect; over the long run, exposures to style factors heavily influenced the return and risk of a REIT...
Research PaperResearch Insight - Risk and Return of Factor Portfolios - March 2013
Pure factor portfolios have unit exposure to the particular factor, and zero exposure to all other factors. Such portfolios, however, are not uniquely specified because they depend on the regression weighting scheme used for their construction. In this Research Insight, we investigate the risk and return characteristics of pure factor portfolios under several different regression weighting schemes.
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 PaperIs Your Portfolio Positioned for Shifts in Risk Aversion?
This article examines how stock exposures to the Volatility factor, as defined in the Barra Global Equity Model 2 (GEM2), can be used to understand how a portfolio is positioned for changes in risk aversion. In a previous note “The Volatility Factor and Risk Aversion,” presented in the Q1 2012 newsletter, we explained how returns to the Volatility factor can provide a measure of investors’ risk appetite. Now we extend this analysis and show how specific groups of stocks,...
Research PaperAsia Pacific Market Report - Asia Pacific Equities in a Correlated World
The 2008 financial crisis put global markets into a volatile “risk-on / risk-off” swing. When investors worry about recession or deflation, their risk aversion goes up and they shift to low-risk assets, thus hurting risky assets like equities. In contrast, when investors expect a recovery or inflation, their risk aversion goes down and they shift into high-risk assets. This binary attitude results in a high degree of correlation among global markets and may point to a...
Research PaperUS Market Report - The Effect of the Bush Dividend Tax Cut - April 2012
US investors are bracing themselves for the potential expiration of the 2003 Bush dividend tax cut. To help portfolio managers prepare for this potential change in the US tax code, this Market Report uses the rich factor structure of the Barra US Equity Model to examine these issues: (1) what effect the initial tax cut had on dividend-paying stocks, (2) the impact of this policy on the overall stock market, and (3) the change in dividend policies of the issuing firms.
Fact SheetMSCI Czech Republic Index (USD) (GROSS)
Research PaperComparing USE3 and USE4: Portfolio Construction and Turnover
The enhancements introduced in the new Barra US Equity Model (USE4) are designed to improve risk forecasts for optimized portfolios. In this paper, we investigate the turnover and forecasting accuracy of optimized portfolios generated using USE4S, and compare them with those generated using the model's predecessor, USE3S. By testing various investment strategies, rebalancing on a daily or weekly basis, during the period 2007-2012, we found no systematic difference in turnover, and, in fact,...
Research PaperQuant Insight - What Makes a Good Statistical Model? - December 2012
In this paper, we investigate whether the new Barra Europe Stochastic Factor Model (EURS1) performs differently in portfolio construction when compared to other statistical models commonly used by investors. In order to explore this, we built a typical principal component analysis (PCA) model and used both the PCA and EURS1 models to track two popular benchmarks using the Barra Open Optimizer. In all cases, we found EURS1 to have the lowest tracking error, and the EURS1 slow model...
Research PaperStress Testing Market Report - Credit Risk: Default, Migration and Correlation Shocks - October 2012
This stress test report uses CreditManager to examine the relative stability of sample credit portfolios. In a buy-and-hold context, our analysis suggests that 'book mode' generally produces lower risk figures that are more sensitive to ratings changes and correlation moves; conversely, in a mark-to-market context, 'migration mode' results produce larger risk figures that are less sensitive to ratings. In both test cases, the stresses demonstrate significant increases in capital, in the range...