Research and Insights
Articles by Paul Ward
Model Insight - The Barra Emerging Markets Model Empirical Notes - February 2014Research Report | Feb 25, 2014 |
This Model Insight provides empirical results for the new Barra Emerging Markets 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 Emerging Markets Model and the Global Equity Model (GEM3).
Model Insight - Barra North America Stochastic Factor Model (NAMS1) Research Notes - April 2013Research Report | Apr 12, 2013 |
The Barra North America Stochastic Model (NAMS1) applies the stochastic methodology framework to the US and Canada equity markets. These detailed Research Notes discuss an overview of the model specifications, offer insights into the model behavior and applications, and provide the results of extensive backtests from 1995-2012.
Model Insight - Barra North America Stochastic Factor Model (NAMS1) Highlights - February 2013Research Report | Feb 24, 2013 |
The Barra North America Stochastic Factor Model (NAMS1) is the second in a family of statistical factor models developed by MSCI, following the launch of the Barra Europe Stochastic Factor Model (EURS1) in September 2012. This overview document succinctly describes the NAMS1 specifications and provides the results of extensive backtests from 1995-2012.
Barra Europe Stochastic Factor Model (EURS1) - September 2012Research Report | Sep 4, 2012 |
The Barra Europe Stochastic Factor Model (EURS1) is the first in a family of statistical factor models developed by MSCI. This document describes the EURS1 functionality and estimation process, with insights into market dynamics and the drivers of risk and return that EURS1 offers. The paper also provides the results of extensive backtests from 1997-2012.
Asia Pacific Equity Model (ASE1) Research NotesResearch Report | Apr 2, 2010 |
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....