Extended-lister
Showing 4191 - 4200 of 5,807 entries
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Research Report
China Market Report - Analyzing the June Liquidity Squeeze - July 2013Chinese equities lost more than 14 percent during June 2013 when interbank rates rose rapidly. In this report, we analyze June’s substantial losses through the lens of the Barra China Equity Model (CNE5). Our analysis of factor returns and volatilities shows how different market segments reacted as the People’s Bank of China (PBOC) stated that the burden should be on the lenders to better manage their balance sheets. Finally, we examine two specific portfolios: minimum...
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Research Report
MSCI Risk Monitor - China Equities - August 2013This monthly MSCI Risk Monitor: China Equities report examines Chinese equity market risk and return through the lens of the Barra China Equity Model (CNE5). The report provides insights into market developments in the Chinese market using the intuitive dimensions of the Barra fundamental factors. The report looks at the evolution of correlations and volatilities, as well as exploring the risk-adjusted index, factor, and asset performance over the last month.
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Research Report
MSCI Risk Monitor - China Equities - September 2013This monthly MSCI Risk Monitor: China Equities report examines Chinese equity market risk and return through the lens of the Barra China Equity Model (CNE5). The report provides insights into market developments in the Chinese market using the intuitive dimensions of the Barra fundamental factors. The report looks at the evolution of correlations and volatilities, as well as exploring the risk-adjusted index, factor, and asset performance over the last month.
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Research Report
MSCI Risk Monitor - RiskMetrics Global - August 2013The monthly MSCI Risk Monitor: RiskMetrics Global report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The report provides a broad view of changes in global market risks, and assists...
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Research Report
MSCI Risk Monitor - RiskMetrics Global - November 2013The monthly MSCI Risk Monitor: RiskMetrics Global report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The report provides a broad view of changes in global market risks, and assists...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
MSCI Risk Monitor - RiskMetrics Global - October 2013The monthly MSCI Risk Monitor: RiskMetrics Global report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The report provides a broad view of changes in global market risks, and assists...
Risk Management Analytics RiskMetrics RiskManager
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Research Report
MSCI Risk Monitor - RiskMetrics Global - September 2013The monthly MSCI Risk Monitor: RiskMetrics Global report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The report provides a broad view of changes in global market risks, and assists...
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Research Report
Global Investing: The Importance of Currency Returns and Currency HedgingThere is a continuing trend for investors to reduce their home bias in equity allocation and increase the allocation to international equities. An important consideration in move towards global investing is the impact of currencies. An adverse movement in the exchange rate can dramatically change the performance of an international investment. In this research bulletin we review the performance of currencies, both in nominal and real terms, compare domestic and international equity returns...
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Research Report
Barra Prepayment Model Incorporating Home Price Effects - May 2011
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Research Report
Quantitative Insight - The Impact of Macro Factors for Canada EquitiesThe characteristics of the Canadian economy suggest that commodity returns are an important risk driver for Canadian equities. One of the highlights of the new Barra Canada Equity model (CAE5) is an enhanced style factor structure, which includes two commodity-related factors: oil and gold sensitivity. These factors explain the return differences between stocks caused by sensitivity to spot commodity returns. We illustrate how these factors add value by providing information in addition to...