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Contributions by Igor Mashtaler

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  1. This Research Insight, second in a series, introduces the Seasonality factor in our equity models; this factor was identified as part of MSCI's Systematic Equity Strategies (SES) research program. Seasonal behavior of stock returns is widely discussed in finance literature. The most prominent is the "January Effect," where prices tend to rise during January after stock sell-offs in December. In this paper, we examine how the SES Seasonality factor identifies seasonal pricing patterns for US equities, and how the Seasonality factor can help capture risk associated with manager crowding.

  2. PAPER

    Research Insight - Introducing the Prospect Factor - December 2013 

    Dec 5, 2013 Igor Mashtaler , Nicolas Meng , Mehmet Bayraktar , Stan Radchenko

    Factor and Risk Modeling , Portfolio Construction and Optimization , Risk Management

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    In this Research Insight, we introduce the Prospect factor. Systematic implementation of Prospect theory may be thought of as a contrarian investment strategy that takes long positions in stocks with poor historical performance and short positions in stocks with historical good performance. We find that the Prospect factor is significant in explaining risk and return characteristics of Japanese and US securities. The Prospect factor was identified as part of our Systematic Equity Strategies (SES) research program.

  3. PAPER

    Model Insight - The Barra US Small Cap Equity Model Empirical Notes - December 2013 

    Dec 4, 2013 Igor Mashtaler , Mehmet Bayraktar , Nicolas Meng

    Factor and Risk Modeling , Portfolio Construction and Optimization , Risk Management

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    This Model Insight provides empirical results for the new Barra US Small Cap 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 model and its predecessor.

  4. PAPER

    Research Insight - Systematic Equity Strategies - A Test Case Using Empirical Results from the Japan Equity Market - June 2013 

    Jun 19, 2013 Jun Wang , Jay Yao , Jyh-huei Lee , Mehmet Bayraktar , Igor Mashtaler , Nicolas Meng

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    In an introductory paper, we explained Systematic Equity Strategies (SES) and how they can be used as factors in a risk model.  In this paper, we use data from the Japan equity markets to define seven new SES factors and study their empirical behavior.  Our findings illustrate the important role that these factors play in portfolio construction and risk management. Our study also shows problems associated with omitting these factors from a risk model, and explain why models that include SES risk factors should lead to improved portfolio risk forecasts.

  5. PAPER

    Model Insight - Barra Japan Equity Model (JPE4) Empirical Notes - October 2013 

    Jun 18, 2013 Jun Wang , Jay Yao , Mehmet Bayraktar , Igor Mashtaler , Nicolas Meng

    Factor and Risk Modeling

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    This Model Insight provides empirical results for the new Barra Japan Equity Model (JPE4), 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 JPE4 Model and the JPE3 Model, its predecessor.

  6. This document provides empirical results and analysis for the new Barra US Equity Daily Model (USE4D). 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 USE4D Model and the USE4S Model, the short-horizon monthly version.

  7. 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 CNE5 Daily model is the first in a new class of equity models with a daily horizon.

  8. 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 Methodology Notes by Menchero, Orr and Wang (2011).

  9. PAPER

    The Barra Australia Equity Model (AUE4) - Empirical Notes 

    May 9, 2012 Igor Mashtaler , D.j. Orr , Adam Nagy

    Factor and Risk Modeling

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    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.

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