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The Barra China Equity Model (CNE5)

The Barra China Equity Model (CNE5) captures the short and long term dynamics of the Chinese local market and includes the latest advances in risk methodology, allowing institutional investors the ability to align the risk model with their investment process. The model provides significantly more explanatory power than its predecessor (CHE2).

CNE5 offers:

  • Responsive model forecasts
  • Daily forecast horizon model
  • Enhanced style factors
  • Better understanding of risk and return

Agenda Topics Include:

  • Factor Structure Change in CNE5
  • Volatility Regime Adjustment
  • Optimization Bias Adjustment
  • Specific Risk Model Enhanced

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