Research Paper

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 Paper

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...

Portfolio Management Analytics

Research Paper

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...

Risk Management Analytics

Research Paper

Euro area sovereign risks continue to dominate headlines as political uncertainty and market volatility increase. Investors have been preparing for the possibility that one or more countries may exit the common currency, and so has MSCI.  How will RiskMetrics and Barra risk models adjust for this event?  This paper discusses the challenges of modeling risk where no historical series exist for a new currency. We describe our preparation for the event day risk proxy, then we detail...

Research Paper

Oil prices have risen sharply during the last two years.  Investors concerned about further increases will want to guard against adverse effects on their portfolios.  In this Market Report, we investigate appropriate hedging strategies using the Barra Integrated Model, looking at how asset classes interact in different historical periods (and not simply relying on looking at previous periods of similar oil-price behavior).  The Barra Integrated Model allows investors to...

Fact Sheet

Methodology

Indexes

Research Paper

Over the last three years, the principal investors in the Spanish property market have provided MSCI and Tinsa with their forecasts of the major trends in the real estate market. Spanish economic growth, real estate yields and rent levels were among twenty variables predicted by an elite group of market players. In this eighth edition of the IPD®-Tinsa Barometer, our 14 panellists share their outlook for 2015 against the backdrop of economic recovery.

Real Estate Products & Services

Fact Sheet

Emerging Markets Indexes

Research Paper

In the 23rd edition of the French Barometer, the biggest investment companies adjust their anticipations on the French investment property market for 2018 and provide their vision for 2019.

Real Estate Products & Services