Research Report

This document provides additional commentary on the results found in the CNE5 Empirical Notes.  Since 2005, the broad A-share universe in China has expanded in the number of issues by nearly 40 percent, which has had profound implications for the design of the CNE5 industry factor structure, allowing a large expansion from 24 industries in CHE2 to 32 industries in CNE5.  At the same time, the new model is more responsive to rapidly changing market conditions.   And the...

Research Report

This paper considers the changing value of the yen and its impact on the Japanese stock market during the last three decades, examining how this currency sensitivity has varied substantially across Japanese firms and during the observed period. In addition, we found the response to a rising or falling yen to be asymmetric. The dispersion of yen sensitivity is also seen to vary over time, which has implications for the passive-active investment debate under volatile exchange rate conditions....

Research Report

Research Report

By Yulia Reuter & Dana Sasarean The American Petroleum Institute (API) estimated that both facility and consumer carbon emission costs for the U.S. refining industry would reach USD 42.8 billion by 2015 under carbon emission regulation known as "ACES" (American Clean Energy & Security Act) proposed to the U.S. Senate. We reviewed the US downstream operations of the 13 companies from the Integrated Oil & Gas and Oil & Gas Refining & Marketing sectors covered by...

Research Report

Low-volatility indexes have been attractive to some investors, mainly due to their defensive and low-risk characteristics. This has been especially true in times of market uncertainty and heightened volatility. In this paper we investigate the possibility of incorporating the defensive characteristics of the MSCI Minimum Volatility Indexes into the construction of other factor indexes with the aim of achieving the highest “factor exposure-to-risk ratio.”

Indexes

Research Report

Research Report

This monthly publication examines the global equity markets through the lens of the Barra Global Equity Model (GEM2). Barra model factors represent important drivers of both risk and return in the global equity markets.

Portfolio Management Analytics Equity Risk Models

Research Report

Since the global financial crisis, Dutch pension plans have faced a dual challenge of disappointing asset returns and low interest rates, resulting in a decline of their funding ratios. This has led regulators to consider revised pension funding rules, including the possible introduction of the ultimate forward rate (UFR) in the construction of the yield curve used to discount pensions’ liabilities to their present value. In this Research Insight, we examine the implications for pension...

Risk Management Analytics

Research Report

In an introductory paper, we explained Systematic Equity Strategies (SES) and how they can be used as factors in a risk model.  In this paper, we use data from the Japan equity markets to define seven new SES factors and study their empirical behavior.  Our findings illustrate the important role that these factors play in portfolio construction and risk management. Our study also shows problems associated with omitting these factors from a risk model, and explain why models that...

Portfolio Management Analytics Equity Risk Models

Research Report

Many investors recognize that a broader mix of stocks, including both developed and emerging markets, and large, mid and small cap ("all cap") segments have provided return, risk, and diversification benefits compared with narrower portfolios. The insights and benefits of working from a global all cap perspective can be extended to sector investing. Some sectors have significant small cap representation, for example, and their inclusion can help rectify some of the biases which can...

Indexes