Extended Viewer

D.j. Orr

Research and Insights

Articles by D.j. Orr

    The Barra China Equity Model (CNE5) - Supplementary Notes

    Report | Jul 15, 2014 | D.j. Orr , Igor Mashtaler

    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...

    The Barra China Equity Model (CNE5) - Empirical Notes

    Report | Jul 15, 2014 | D.j. Orr , Igor Mashtaler

    This document provides empirical results for the new Barra China Equity Model (CNE5), including extensive information on the structure, the performance, and the explanatory power of the factors. These notes also include a thorough side-by-side comparison of the forecasting accuracy of the CNE5 Model and the CHE2 Model, its predecessor.  The CNE5 Model leverages the same methodologies used for the Barra US Equity Model (USE4); these details can be found in the companion document: USE4...

    The Barra Australia Equity Model (AUE4) - Empirical Notes

    Report | Jul 15, 2014 | Adam Nagy , Igor Mashtaler , D.j. Orr

    This Model Insight provides empirical results and analysis for the new Barra Australia Equity Model (AUE4). These notes include extensive information on the structure, the performance, and the explanatory power of the factors. Furthermore, these notes also include a thorough side-by-side comparison of the forecasting accuracy of the AUE4 Model and the AUE3 Model, its predecessor.