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Portfolio Management Analytics Update - October 2011

last modified on 13 May 2019 UTC

categories: Portfolio Management Analytics, Newsletter, general


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Portfolio Management Analytics Update

From MSCI | October 2011

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I'm listening… what is my Risk Model saying?

Find out how a portfolio manager of a deep value fund solves the problem of his fund displaying negative exposure to the value factor.... Read more

Quant Corner

What a Difference a Day Makes

After Standard and Poor's downgrade of the US credit rating on August 8, 2011 there is undeniable value in ensuring risk model inputs are updated daily... Read more

Assessing the Risks of a Yield-Tilted Equity Portfolio

Explore the risk characteristics of the yield-tilted portfolio... Read more

Got Quant?

The London Quant Group celebrated its 25th Anniversary... Read more

Product News

Equity Risk Update

The monthly Barra Equity Risk Updates analyze risk trends in Barra's major single-country and regional equity models. This - "client only" - material is available to all for October 2011.

» Europe Equity Risk Update, September 2011
» US Equity Risk Update, September 2011


Mitigating Risk Forecast Biases of Optimized Portfolios - Webinar


Mitigating Risk Forecast Biases of Optimized Portfolios

In this paper, we show how estimation error may lead to under-forecasting the risk of optimized portfolios and review MSCI's new Optimization Bias Adjustment for reducing this forecasting bias... Read more

Risk Forecast Biases of Optimized Portfolios – A Quantitative Analysis

An in-depth technical paper extending the above paper,
Mitigating Risk Forecast Biases of Optimized Portfolios...
Read more

A Long Hot Summer

Stock correlations reach an all-time high with implications for active portfolios... Read more


USE4 Model


Does Style Make the Sector

Style factor contributions to European sector returns are examined... Register for the webinar

Active Portfolio Construction with Barra Aegis when Risk and Alpha Factors are Misaligned

MSCI held a series of webinars highlighting risk and alpha misalignment. Find out how to overcome this problem in portfolio construction... Read more



Portfolio Management Analytics Events Calendar

Monthly Global Equity Market Watch

October 11, 2011 - LiveMeeting



Does Style Make the Sector? Style Factor Contributions to European Sector Returns

October 13, 2011 - LiveMeeting



Barra Portfolio Manager: Correlation Risk Attribution Decomposition and Performance Attribution

October 17, 2011 - Sydney, Australia



Mitigating Risk Forecast Biases of Optimized Portfolios

October 17, 2011 - LiveMeeting



Monthly Global Equity Market Watch

November 15, 2011 - LiveMeeting



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