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Ross Curds

Research and Insights

Articles by Ross Curds

    United Kingdom Model (UKE7S and UKE7L) Research Notes - Forecasting US Equity Risk Over Different Horizons

    Research Report | Feb 2, 2006 | Ross Curds

    This report introduces the Multiple-Horizon UK Equity Model, available in two versions, UKE7S and UKE7L, which have been constructed explicitly to meet the needs of near-term and long-term investors. Both versions employ daily returns data. Daily data provide denser intra-horizon volatility information than is available from monthly returns, and allow both versions of the new model to make more responsive forecasts than UKE7, the model they replace.

    Introducing Barra's New United Kingdom Equity Model

    Research Report | Mar 1, 2005 | Ross Curds, Neil Gilfedder

    UKE7, Barra's new model of UK equity risk, has much in common with UKE6. It incorporates all of UKE6's innovations, and refines one, the thin industry correction. The principal difference is in the industry schemes, with UKE6 using FTSE's GCS scheme and UKE7 basing its scheme on the sub-industries of the MSCI/S&P GICS scheme. The performance of the models, in terms of the accuracy of their risk forecasts, is comparable. Users should expect to see risk forecasts of similar magnitude in the...