Extended-lister
Showing 291 - 295 of 295 entries
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Research Paper
Model Insight - The Barra US Small Cap Equity Model Empirical Notes - December 2013This Model Insight provides empirical results for the new Barra US Small Cap Model, including detailed information on the structure, the performance, and the explanatory power of the factors. Furthermore, these notes also include backtesting results and a thorough side-by-side comparison of the forecasting accuracy of the new model and its predecessor.
Portfolio Management Analytics Equity Risk Models
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Research Paper
Model Insight - Barra Global Equity Model (GEM3) Empirical Notes - January 2012Portfolio Management Analytics
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Research Paper
The Barra US Sector Equity Model Methodology and Empirical NotesThis Model Insight explains MSCI's motivation for building the Barra US Sector Equity Models, describes the methodology and factor structure, and provides empirical results for the US Sector model family, which includes 10 individual sector models and a fully integrated model.
Portfolio Management Analytics Equity Risk Models
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Research Paper
RiskMetrics Journal - Winter 2007Portfolio Credit Spread Risk Backtesting Risk Methodologies from One Day to One Year Measuring Risk on Credit Indices: On the Use of the Basis Developing an Equity Factor Model for Risk Merger Arbitrage Risk Model
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Research Paper
Global Equity AllocationAnalysis of Issues Related to Geographic Allocation of Equities. Prepared for the Ministry of Finance of Norway. March 2012