Comparing Statistical Models Using Passive Management

Please join us for a webinar where we will present research comparing the performance of the new Barra Europe Stochastic Factor Model (EURS1) with more traditional statistical models.  By testing investment strategies, in particular tracking various European benchmarks, we focus on the portfolio turnover, exposure volatility as well as the accuracy of the risk forecasts.

EURS1 is the first product in the family of statistical factor models developed by MSCI. The model incorporates numerous innovative techniques to generate accurate, stable and tractable risk forecasts using a parsimonious factor structure that is able to uncover subtle and dynamic drivers of risk and return.  

Agenda Topics Include:

• An innovative modeling approach incorporating machine learning and signal processing techniques
• Stable and interpretable factor structures: twenty equity factors and four currency factors
• A new, wavelet-based asset volatility modeling approach that adjusts to rapid changes in asset volatilities to provide accurate and smooth risk forecasts
• Six model versions: daily, weekly, and monthly return horizons, each available in fast and slow variants to cater for differing investment horizons and strategies