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Beat Briner

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Articles by Beat Briner

    Asia Pacific Equity Model (ASE1) Research Notes

    Research Report | Apr 2, 2010 | Beat Briner, Rachael Smith, Paul Ward

    From a modeling perspective, the heterogeneous character of the Asia Pacific region poses a particular challenge. The Barra ASE1 model takes this heterogeneity into account, striking an attractive balance between broad coverage and local detail. It provides regional market, industry, and style factors that help institutional investors compare drivers of risk on a pan-regional scale. Where necessary, the model adds local style and industry factors to enhance the explanatory power....

    How Much Structure is Best? A Comparison of market model, factor model, and unstructured equity covariance matrices

    Research Report | Jun 1, 2008 | Beat Briner, Gregory Connor

    This paper compares three approaches to estimating equity covariance matrices: a factor model, a market model and an unstructured asset-byasset model. These approaches make different trade-offs between estimation variance and model specification error. We explore this trade-off with a simulation experiment and with an empirical analysis of UK equity portfolios. The factor model is found to perform best for large investment universes and typical sample lengths. The market model underperforms...