Extended-lister
Showing 41 - 50 of 76 entries
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Research Report
Global Equity Market Watch - April 2014The Global Equity Market Watch is a monthly publication that looks at global equity markets through the lens of the Barra Global Equity Model (GEM2). In each issue, we examine the various sources of global equity returns and risk - including the World factor, countries, industries, styles, currencies, and stock-specific sources - and monitor returns, volatilities, and correlations for those sources over the trailing 1-12 months. We also examine how the explanatory power and statistical...
Portfolio Management Analytics Equity Risk Models
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Research Report
Global Market Report - Inside the Tech Wreck - April 2014Earlier this month, market observers were puzzled by the recent information technology and health care stock sell-off. But the granularity of the Barra Global Equity Model (GEM3) offers some solid answers. In this Global Market Report, we analyze the recent sell-off in technology and healthcare stocks using MSCI Indexes and GEM3. First we look at the GICS industry sectors of Information Technology and Health Care, drilling down to those GICS industry groups hit hardest by...
Portfolio Management Analytics Equity Risk Models
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Research Report
Research Insight - Capturing Factor Premia - April 2014Using the lens of the Barra US Equity Model (USE4S), this Research Insight provides a practical guide to constructing investable factor portfolios. This paper begins by discussing the general concept of a factor portfolio. We then explore the role of optimization in making a 'pure factor portfolio' investable. We assess how investability constraints impact the performance of factor-replicating portfolios. Finally, we discuss how MSCI Market Neutral Barra Factor Indexes can be used in an...
Portfolio Management Analytics Equity Risk Models
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Research Report
Research Insight - Introducing the Seasonality Factor - March 2014This Research Insight, second in a series, introduces the Seasonality factor in our equity models; this factor was identified as part of MSCI's Systematic Equity Strategies (SES) research program. Seasonal behavior of stock returns is widely discussed in finance literature. The most prominent is the "January Effect," where prices tend to rise during January after stock sell-offs in December. In this paper, we examine how the SES Seasonality factor identifies seasonal pricing patterns for US...
Portfolio Management Analytics Equity Risk Models
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Research Report
Global Equity Market Watch - March 2014The Global Equity Market Watch is a monthly publication that looks at global equity markets through the lens of the Barra Global Equity Model (GEM2). In each issue, we examine the various sources of global equity returns and risk - including the World factor, countries, industries, styles, currencies, and stock-specific sources - and monitor returns, volatilities, and correlations for those sources over the trailing 1-12 months. We also examine how the explanatory power and statistical...
Portfolio Management Analytics Equity Risk Models
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Research Report
Research Insight - Combining Multiple Sources of Alpha in Portfolio Construction - March 2014In this Research Insight, we present a methodology for efficiently combining multiple sources of alpha when constructing a portfolio. The first part of our study shows that the most efficient implementation for a single source of alpha is the minimum-volatility factor portfolio, which has the lowest risk for a given level of expected return and, therefore, the maximum expected information ratio. &In the second part of our study, we examine how to efficiently combine multiple sources...
Portfolio Management Analytics Equity Risk Models
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Research Report
Model Insight - The Barra Emerging Markets Model Empirical Notes - February 2014This Model Insight provides empirical results for the new Barra Emerging Markets Model, including detailed information on the structure, the performance, and the explanatory power of the factors. Furthermore, these notes also include backtesting results and a thorough side-by-side comparison of the forecasting accuracy of the new Emerging Markets Model and the Global Equity Model (GEM3).
Portfolio Management Analytics Equity Risk Models
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Research Report
Research Insight - Identifying the Drivers of Predicted Beta - February 2014In this Research Insight, we present a methodology for attributing the predicted beta of an asset or portfolio to an underlying set of factors. This provides investors with important insights into the drivers of predicted beta for a particular portfolio. We also present a technique for decomposing the cross-sectional dispersion of stock-level predicted betas. This analysis provides useful insight into how changing factor volatilities and correlations affect cross-sectional differences in the...
Portfolio Management Analytics Equity Risk Models
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Research Report
Global Equity Market Watch - February 2014The Global Equity Market Watch is a monthly publication that looks at global equity markets through the lens of the Barra Global Equity Model (GEM2). In each issue, we examine the various sources of global equity returns and risk - including the World factor, countries, industries, styles, currencies, and stock-specific sources - and monitor returns, volatilities, and correlations for those sources over the trailing 1-12 months. We also examine how the explanatory power and statistical...
Portfolio Management Analytics Equity Risk Models
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Research Report
Global Market Report - Global Small Cap Outperformance in 2013 - January 2014This Market Report uses the Barra Global Equity Model (GEM3) to analyze which factors drove the global Small Cap rally in 2013. We also identify the incidental bets that a sample small cap portfolio makes against the broad market. Our results demonstrate the major impact that incidental exposures can have on portfolio performance, highlighting the importance of monitoring such exposures with our model.
Portfolio Management Analytics Equity Risk Models