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Introducing the Barra North America Stochastic Factor Model

The Barra stochastic models provide insights into market structure and dynamics that complement the Barra fundamental factor models. The models incorporate innovative techniques to generate responsive risk forecasts with a parsimonious, dynamic and interpretable factor structure.

This webinar introduces the Barra North America Stochastic Factor Model (NAMS1). The main principles of the model methodology, its behaviour, and forecasting accuracy are reviewed. We also investigate the complementary natures of the stochastic and fundamental model frameworks, with examples of how the models can be used in tandem to provide better insights into market behaviour, and a case study in portfolio construction and attribution.

Agenda Topics Include:

  • Overview of stochastic model approach
  • Model highlights and performance
  • Insights using stochastic and fundamental risk models

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