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Kelly Chang

Research and Insights

Articles by Kelly Chang

    NAFTA and Markets: US Economic Impacts on Canadian Equities

    Research Report | Jan 14, 2010 | Kelly Chang

    The Canadian and US economies are highly integrated.  The US is Canada’s largest trading partner and the health and strength of the US economy has important ramifications for the Canadian economy and markets.  In this Research Bulletin, we use the Barra Canadian Equity Model (CNE4) to explore the relationship between the US economy and Canadian markets.  We find a statistically significant relationship between new orders in the US manufacturing sector and equity returns...

    Modeling Value at Risk with Factors

    Research Report | Oct 1, 2009 | Angelo Barbieri, Kelly Chang, Vladislav Dubikovsky, John Fox

    Factor models are standards in investment management. For decades, Barra factor models have provided valuable risk forecasts and inputs for the portfolio construction process. Most uses of factor models have targeted longer horizons of months or years. However, we demonstrate in this paper that factor models can also provide accurate risk forecasts for shorter horizons of one to ten days. Furthermore, factor models have the advantage of explaining risk sources and providing consistency in...

    Currency Hedging: A Free Lunch?

    Research Report | Apr 1, 2009 | Kelly Chang

    This Research Insight examines the question of whether currency hedging is a ‘free lunch' of risk reduction and zero expected returns. Using a long history of hedged and unhedged MSCI indices, we find that hedging does not always reduce risk, nor are mean returns zero. Contrary to some prior studies, we find there is no free lunch for the equity investor. Instead, we conclude that the usual, intuitive relationships hold: less risk usually means lower returns, and more risk, higher...