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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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Feature

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

Research

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

Events

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

Webinar

Register!

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

October 13, 2011 - LiveMeeting

Webinar

Register!

Barra Portfolio Manager: Correlation Risk Attribution Decomposition and Performance Attribution

October 17, 2011 - Sydney, Australia

Workshop

Register!

Mitigating Risk Forecast Biases of Optimized Portfolios

October 17, 2011 - LiveMeeting

Webinar

Register!

Monthly Global Equity Market Watch

November 15, 2011 - LiveMeeting

Webinar

Register!
 

This free newsletter subscription is separate from and does not impact any subscriptions to the MSCI Index Announcement Service and the monthly Barra Releases Notices or News and Re-Release notices.

 

If you have any questions, comments or concerns, please let us know at MarketingTeam@msci.com

MSCI Marketing Department, Ten Bishops Square, London, E1 6EG, United Kingdom

 

 

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Download file

RB_USE4_A_Long_Hot_Summer.pdf
US_Equity_Risk_Update_September_2011.pdf
Research_Brief_-_Assessing_the_Risks_of_a_Yield-Tilted_Equity_Portfolio_2011_for_MSCI.CA.pdf
Europe_Equity_Risk_Update_September_2011.pdf
RI_Mitigating_Risk_Forecast_Biases_of_Optimized_Portfolios.pdf