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
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
The London Quant Group celebrated its 25th Anniversary... Read more
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
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...
A Long Hot Summer
Stock correlations reach an all-time high with implications for active portfolios... Read more
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