Showing 201 - 207 of 207 entries
Research PaperIndex Performance in Changing Economic Environments
Over the recent years, the impact of the macroeconomic regime on their investments has grown in importance for institutional investors. As a result, institutional investors have started explicitly accounting for macroeconomic conditions in their asset allocation decisions.This paper attempts to provide a framework for designing macro-sensitive portfolios, building on historical analysis using our 40+ years' history of MSCI Factor and Sector Indexes, and a long-term analysis based on the...
Research PaperModel Insight - The Barra Europe Equity Model (EUE4) - April 2013
This paper provides empirical results for the new Barra Europe Equity Model (EUE4), including details on factor structure, commentary on the performance of select factors, analysis of the explanatory power of the model, and an examination of the statistical significance of the factors. Furthermore, these notes include a side-by-side comparison of forecasting accuracy for EUE4 and EUE3.
Research PaperModel Insight - The Barra US Small Cap Equity Model Empirical Notes - December 2013
This 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.
Research PaperModel Insight - Barra Global Equity Model (GEM3) Empirical Notes - January 2012
Research PaperThe Barra US Equity Model (USE4) - Empirical Notes
Research PaperModel Insight - The Barra US Sector Equity Model Methodology and Empirical Notes - December 2013
This 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.
Research PaperRiskMetrics Journal - Winter 2007
Portfolio 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