Showing 9601 - 9610 of 9,731 entries
Research PaperDoes Historical Performance Predict Future Performance?
Which mutual funds will be next year's winners? Conventional wisdom in the investment community says that to predict future performance, look at past performance. But does it help to know last year's? Do winners repeat? The idea that winners repeat is so obvious and popular, it has spawned an entire mini-industry devoted to documenting past winners. Mutual fund performance reviews regularly appear in publications like Barron's, Business Week, and Consumer Reports. Services...
Research PaperValuation and Risk Analysis of International Bonds," Chapter 35 of The Handbook of Fixed Income Securities, Fourth Edition, Frank J. Fabozzi (Ed.), Business One Irwin, Homewood, IL, 1995, pp. 733-749.
This article presents approaches first for constructing valuation models for fixed-income securities and second for assessing the risk in portfolios of these assets. The linkages across markets in the form of currencies are also addressed in a manner which facilitates the analysis of risk by separating the local market aspects from those purely attributable to currency fluctuations.
Research PaperA Look at the Nikkei 300
This article compares the NK300 to the NK225, the Tokyo Stock Exchange 1 (TSE1), and other international benchmarks such as the Financial Times (FT) Japan and the Morgan Stanley Capitalization Index (MSCI) Japan. The characteristics of the NK300 (risk and return sources) will be examined as of the end of September, 1993, and its historical performance investigated.
Research PaperNew Canadian Bond Market Index
Barra, in association with RBC Dominion Securities, Inc. of Canada, released on December 6, 1993 a new Canadian fixed-income index, the DS Barra Canadian Bond Market Index. The new index provides the investment community with a benchmark that isfair, accurate and replicable and represents the investable fixed-income market in Canada. Because the constituents are known, the DS Barra Canadian Bond Market Index and sub-indices will allow portfolio managers to perform analyzes and test strategies...
Research PaperU.S. B2 Adds Asset-Backed Securities
Barra has developed an asset-backed securities (ABS) model and database for use in U.S. B2. The ABS model is targeted for release in January, 1994 and will include credit card, automobile, home equity loan and other securitized receivable issues. The new database will cover about 450 issues in the initial release and another 180 soon after. This article describes the asset-backed securities market, introduces the primary ABS deal structures, and briefly presents the practical implementation...
Research PaperTracking EAFE with Index Futures Portfolios
With index futures covering most of the developed country markets, can an all-index futures portfolio be used to track a global benchmark? We used the Global Equity Performance system to compare two index futures portfolios against the Morgan Stanley Capital International Europe-Australia-Far East (EAFE) index. While futures-only portfolios for tracking EAFE may have several advantages over all-stock portfolios, their recent performance raises some questions concerning their ability to...
Research PaperNeural Nets and Fixed Income Strategies
Neural nets have gained wide publicity over the past few years through their application to a spectrum of investment problems. Called by John Denker "the second best way of doing just about anything," neural nets have proven themselves to be a powerful analytic tool in problems involving high signal-to-noise ratios. But in problems of low signal-to-noise ratios, in particular the search for investment strategies, their applicability is controversial.
Research PaperCanada Equity Model (CNE3) - Risk Model Handbook
This handbook outlines the theoretical background of the Canadian Equity Model, and then describes the model in greater detail. It is designed to be a technical reference manual for the model.
Research PaperAlpha is Volatility Times IC Times Score
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Research PaperBuilding a Truly Global Portfolio Risk Model
Barra's strategy for international risk modeling has been to treat developed markets and emerging markets separately. The developed markets are addressed in the Global Equity Model (GEM) whereas the emerging markets are included in the Emerging Markets Model (EMM). Can the two markets be integrated into GEM? The advantages of such an integration are numerous but disadvantages exist as well. This article (the first in a series) will approach the problem from the perspective of...