Analyzing Systematic Risk Premia Indices via Barra Equity Factor Models
Please join us for our second webinar in the Barra Insight Series: Analyzing Risk, Capturing Return and Hedging Exposures with Systematic, Thematic and Market Neutral Indices.
Institutional investors increasingly recognize that there can be additional sources of systematic return associated with certain investment styles and strategies (such as small size, value, momentum, or volatility). Such investors may prefer to seek exposure to risk premia strategy indices - indices that often use weighting methods other than price.
This practical webinar explores the analysis of MSCI Systematic Risk Premia Indices using Barra Models. We discuss risk and return drivers for Risk Premia indices through the lens of Barra factors and explore how these factors have behaved in different volatility regimes. Our analysis also explores strategies that look to combine a set of Risk Premia strategies to outperform the market.
- Systematic Risk Premia Indices
- Barra Portfolio Manager
- The Barra Equity Model (GEM3/EUE4)
- Case Study 1: Analysing risk and performance of Risk Premia Indices using Barra Models
- Case Study 2: Combining multiple Risk Premia Indices to outperform market
Video - Client Only »