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Barra Global Equity Models: GEM2 vs GEM3

Model Choice and Turnover Implications Driven by the Model Differences

MSCI is launching a new Barra Global Equity Model (GEM3) in January 2012 that includes daily updates as well as a volatility regime adjustment to dynamically respond to changing risk environments.

Join Senior Associate of the Applied Research EMEA team, Rachael Smith and Executive Director and Head of Equity and Applied Research for the Americas, Frank Nielsen as they analyze the impact different risk models may have on “risk-induced” portfolio turnover.

Topics Include:

  • Comparison of monthly variability of volatility forecasts at the factor level between models with different investment horizons as well as models with and without the volatility regime adjustments
  • Analysis of the turnover differences across models for common investment strategies will be presented as well as the trade-off between risk forecast accuracy and turnover

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