Showing 2041 - 2050 of 3,164 entries
Research PaperMarket Spin Cycle - The Rotation Continues...
In "Market Spin-cycle: Uncovering Style and Sector Rotation in a Flat Market", we investigated the sector and investment style rotations in the US market from March 1st through May 8th, 2014. In particular, we identified declining performance in growth-oriented styles associated with risk-taking behavior, such as Beta, Growth, and Momentum, with improving performance in Value, Profitability, and Size suggesting rotation in investment styles.In this follow-up paper, we extend this...
Research PaperModel Insight - Modeling Exchange Traded Funds with Barra Premium ETF Analytics - February 2013
Exchange Traded Funds (ETFs) can provide investors with a low-cost, flexible, and transparent instrument to gain exposure to a number of markets and sectors; however, modeling ETFs present challenges because they are heterogeneous. In this white paper, we explain how Barra meets this challenge by using two methods—look-through and style analysis. These approaches can generate exposures to systematic risk factors and idiosyncratic risk for over 3,500 exchange traded instruments,...
Research PaperTechnical Note - Updates to the BarraOne Fixed-Rate Agency MBS Prepayment Model - November 2013
BarraOne uses the Barra Prepayment Model for Agency Mortgage-Backed Securities. On October 26, 2013, we updated the parameters of the fixed-rate MBS model to better capture evolving prepayment speeds and analytics. In this Technical Note we compare old and new tunings and look at collateral behavior, concentrating on the resulting risk analytics for mortgage indexes, index constituents, and the TBA coupon stack.
Research PaperPortfolio Optimization with Economic Exposure Custom Constraints
With continued growth in international trade, companies today operate in different regions across the globe. This exposes their assets, revenues, and earnings to multiple economic activities in regions other than their home country. The concept of Economic Exposure (EE) can be broadly defined as the sensitivity of a company’s performance to the economies of the countries where it does business. There are many ways of defining economic exposure; some of them are sales, assets, operating...
Research PaperEurope Market Report - The Relative Importance of Industries and Countries in Developed Europe - May 2013
In this Europe Market Report, we investigate the relative importance of industries and countries in Developed Europe, using a case study with the EUE4 Model. In particular, we explore whether the recent sovereign-debt crisis had altered the relative importance of these two sets of variables. We find that since the late 1990s, industries have dominated countries in Developed Europe. As the sovereign-debt crisis unfolded in 2011, the gap between the two narrowed, although countries never...
Research PaperGlobal Market Report - Relative Strength of Industries and Countries in Emerging Markets - September 2014
In this Global Market Report, we examine the latest developments in emerging markets through the lens of the Barra Emerging Markets Equity Model (EMM1), a risk model tailored for this specific investment universe. We examine whether there has been a change recently in the strength of industries and countries. We are also able to gauge how the inclusion of style factors modified the overall picture.
Research PaperMSCI China Auto Loan ABS Collateral Model
Research PaperMSCI China Non-Collaterized Consumer Loan ABS Collateral Model
This document describes the technical specification of MSCI China Non-Collateralized Consumer Loan (NCCL) ABS Collateral Model that covers NCCL ABS deals. The model has three components: Prepayment (CPR), default (CDR), and Loss Severity (LGD).
Research PaperMSCI China Credit Card ABS Collateral Model
This document describes the technical specification of MSCI China Credit Card ABS Collateral Model that covers Credit Card ABS deals. The model has three components: Prepayment (CPR), default (CDR), and Loss Severity (LGD).
Research PaperThe MSCI Minimum Volatility Indexes: 10 Years On
2018 marked the 10-year anniversary of the MSCI Minimum Volatility Indexes. Launching just prior to the global financial crisis, which caused sharp equity market falls, and the indexes’ behavior “out-of-sample” since launch have led to adoption by a large number of asset owners and the indexes’ serving as the basis for a wide range of ETFs that have gathered significant assets. Here, we contrast 10 years of live data with the previous 10 years of backtesting, investigating changes in the...