Extended Viewer

Jun Wang

Jun Wang
Vice President, MSCI Research

About the Contributor

Jun Wang is a Vice President in the Equity Core Research team at MSCI. His focus is on research and development of global, regional and single-country fundamental equity models. Previously, Jun explored experimental physics research in laser and radiofrequency spectroscopy of molecular systems at Yale University. Jun received his Ph.D. in Physics from Yale University, and a Bachelor of Science degree in Physics from the University of Science and Technology of China. Jun is a CFA charterholder.

HTML Displayer Portlet

Contributions by Jun Wang

Extended-lister

Nothing was found.
  1. BLOG

    Are Momentum’s Wings Finally Starting to Melt? 

    Nov 13, 2020 George Bonne , Jun Wang

    Factor Investing , Factors

    Learn More

    Positive vaccine news on Nov. 9 caused big moves in industry and style factors. Those hit hardest this year jumped, while previous high performers slumped. Did this mark new factors leadership and a long-awaited rotation from momentum to value?

  2. Linear regression models have been the workhorses of finance and economics. However, given increasing attention to nonlinear methods, we investigate the extent to which nonlinearities not captured by standard linear models within equity factor risk models are present. Adding nonlinear factors in simple polynomial functions of their linear counterparts contributed some additional explanatory power to the cross-section of security returns. Furthermore, some generated factor returns and information ratios higher than corresponding linear factors. Overall, we found linear models created a robust framework to identify relationships between factor exposures and security returns through simple linear factors or transformed (e.g., polynomial) variants.

  3. BLOG

    Hunting a COVID-19 factor 

    Apr 29, 2020 George Bonne , Jun Wang

    Factor Indexes , Factor Investing , Factors

    Learn More

    Can we identify a COVID-19 factor and quantify companies’ exposure to it? We explored three ways to do so — from very simple to more complex methods.

  4. BLOG

    The coronavirus market impact spreads globally 

    Mar 5, 2020 Jun Wang , Jay Yao , George Bonne

    Factor Investing , Global Investing

    Learn More

    Fear of a coronavirus pandemic and ensuing economic impacts caused sharp drops in global markets after an initially mild response. We look at recent performance from a factor perspective and how quickly factor returns and volatility reverted in past crises.

  5. BLOG

    新型冠状病毒肺炎疫情对全球市场的影响 

    Feb 12, 2020 Jun Wang , Thomas Verbraken , Zhen Wei

    Learn More

    The toll from the coronavirus has been felt throughout societies, leading to repercussions on the global economy and financial markets. We examine investor impact through markets’ economic exposures to China and factors and by stress testing portfolios.

  6. BLOG

    The coronavirus epidemic: Implications for markets 

    Feb 12, 2020 Jun Wang , Zhen Wei , Thomas Verbraken

    Economic Exposure , Emerging Markets , Factor Investing , Fixed Income , Global Investing , Risk Management

    Learn More

    The toll from the coronavirus has been felt throughout societies, leading to repercussions on the global economy and financial markets. We examine investor impact through markets’ economic exposures to China and factors and by stress testing portfolios.

  7. BLOG

    Did FAANG stocks lead the US stock market drop? 

    Oct 15, 2018 Jun Wang , Andrei Morozov

    Factor Investing

    Learn More

    Fears of a global slowdown have sent U.S. stock markets plummeting recently. Given FAANG stocks (Facebook, Apple, Amazon, Netflix and Google) have been a dominant force in driving U.S. market performance higher over the past few years, did these stocks lead the market’s downward trajectory?

  8. BLOG

    Managing Risk Over Different Investment Horizons 

    Sep 25, 2018 Jun Wang , Andrei Morozov

    Risk Management , Integrated Risk Management

    Learn More

    Given high market valuations, some investors worry that a market pullback may be at hand. We saw markets gyrate earlier this year — what if volatility returns? How investors respond to changing market conditions may depend on their time horizons.

  9. PAPER

    Model Insight - Barra South Africa Equity Model (ZAE4) Empirical Notes - June 2014 

    Jun 12, 2014 Mehmet Bayraktar , Jay Yao , Jun Wang

    Factor and Risk Modeling

    Download Document

    This Model Insight summarizes the methodology and empirical results for the fourth-generation Barra South Africa Equity Model (ZAE4). This paper includes extensive information on factor structure, commentary on the performance of select factors, an analysis of the explanatory power of the model, and an examination of its effectiveness in portfolio construction using minimum volatility and index tracking portfolios. It also includes a side-by-side comparison of the forecasting accuracy and backtesting performance of the ZAE4 Model and its predecessor, the Barra SAE3 Model.  The new Barra South Africa Equity Model captures the dynamics of the South African market through the latest advances in MSCI research methodology and a comprehensive factor set, including the expanded Systematic Equity Strategy (SES) factors.

  10. PAPER

    Model Insight - Barra Korea Equity Model (KRE3) Empirical Notes - November 2013 

    Nov 1, 2013 Jun Wang , Mehmet Bayraktar , Jay Yao

    Factor and Risk Modeling

    Download Document

    This Model Insight provides empirical results for the new Barra Korea Equity Model (KRE3), including detailed information about the structure, the performance, and the explanatory power of the factors. Furthermore, these notes also include backtesting results and a side-by-side comparison of the forecasting accuracy of the KRE3 Model and the KRE2 Model, its predecessor.

  11. 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

    Download Document

    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.

  12. 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

    Download Document

    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.

  13. PAPER

    Model Insight - The Barra Europe Equity Model (EUE4) - April 2013 

    Apr 29, 2013 Andrei Morozov , Laszlo Borda , Jun Wang

    Factor and Risk Modeling

    Download Document

    This paper provides empirical results for the new Barra Europe Equity Model (EUE4), including details on factor structure, commentary on the performance of select factors, analysis of the explanatory power of the model, and an examination of the statistical significance of the factors. Furthermore, these notes include a side-by-side comparison of forecasting accuracy for EUE4 and EUE3.

  14. PAPER

    Model Insight - Barra Global Equity Model (GEM3) Empirical Notes - January 2012 

    Jan 15, 2012 Jun Wang , Andrei Morozov

    Download Document

  15. PAPER

    The Barra US Equity Model (USE4) - Empirical Notes 

    Sep 20, 2011 Jun Wang , Yang Liu , Jose Menchero , D.j. Orr

    Factor and Risk Modeling

    Download Document

  16. PAPER

    GEM2 Factor Returns and Volatilities 

    Jan 14, 2010 Jose Menchero , Jun Wang

    Factor and Risk Modeling

    Download Document

    In this Model Insight, we present the volatilities and cumulative returns for every factor and currency in the GEM2 global equity model.  The analysis period runs from January 1997 through August 2009.

  17. PAPER

    Introducing Multiple Horizon Versions of the Canada Equity Model (CNE4) - Research Notes 

    Jan 2, 2010 Jun Wang , Andrei Morozov

    Download Document

    This report introduces the new multiple horizon versions of the Barra Canada Equity Model (CNE4) - Canada Equity Model Short Term (CNE4S) and Canada Equity Model Long Term(CNE4L). Both versions use daily returns data while accounting for serial correlations in aggregating daily factor returns to longer horizons. The new multiple horizon models provide more responsive risk forecasts than the existing model,CNE4. In addition to using higher frequency returns the new multiple horizon models also benefit from improvements in estimation universe construction and in specific risk forecasts.

Regulation