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Showing 3951 - 3960 of 3,994 entries

  1. Research Paper
    Comparing 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,...


  2. Research Paper
    What Makes a Good Statistical Model?

    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


  3. Research Paper
    Stress 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...

    Risk Management Analytics


  4. Research Paper
    Research Bulletin - Adjusting Risk Models for a Euro Exit

    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...


  5. Research Paper
    Multi-Asset Class Market Report: Hedging the Risk of $200 per Barrel

    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...


  6. Fact Sheet
    MSCI Saudi Arabia 20/35 Index  (USD) (GROSS)
    PDF


  7. Methodology
    MSCI Global Investable Market Indexes Methodology
    PDF

    Indexes


  8. Research Paper
    Barómetro IPD–Tinsa - 8 edición – Septiembre 2015

    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


  9. Fact Sheet
    MSCI Czech Republic Index  (USD) (GROSS)
    PDF

    Emerging Markets Indexes


  10. Research Paper
    French Barometer - 23rd Edition

    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


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