Extended-lister
Showing 51 - 60 of 76 entries
-
Research Report
Global Equity Market Watch - January 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
-
Research Report
Europe Market Report - The Mid-Cap Effect - December 2013Since the outbreak of the global financial crisis in 2008, global mid-cap stocks have been unique, providing a better risk-adjusted return than a combination of large and small-cap stocks. Recent global trends, such as low interest rates, decreasing risk aversion and the availability of cash for acquisitions, may have favored the outperformance of mid-cap stocks. In this Europe Market Report, we look at this trend through the lens of the Barra Europe Equity Model (EUE4) and...
Portfolio Management Analytics Equity Risk Models
-
Research Report
Global Equity Market Watch - December 2013The 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
-
Research Report
Research Insight - Introducing the Prospect Factor - December 2013In this Research Insight, we introduce the Prospect factor. Systematic implementation of Prospect theory may be thought of as a contrarian investment strategy that takes long positions in stocks with poor historical performance and short positions in stocks with historical good performance. We find that the Prospect factor is significant in explaining risk and return characteristics of Japanese and US securities. The Prospect factor was identified as part of our Systematic Equity Strategies...
Portfolio Management Analytics Equity Risk Models
-
Research Report
Model Insight - The Barra US Small Cap Equity Model Empirical Notes - December 2013This Model Insight provides empirical results for the new Barra US Small Cap 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 model and its predecessor.
Portfolio Management Analytics Equity Risk Models
-
Research Report
The Barra US Sector Equity Model Methodology and Empirical NotesThis Model Insight explains MSCI's motivation for building the Barra US Sector Equity Models, describes the methodology and factor structure, and provides empirical results for the US Sector model family, which includes 10 individual sector models and a fully integrated model.
Portfolio Management Analytics Equity Risk Models
-
Research Report
Research Insight - Benefits of Including Systematic Equity Strategy (SES) Factors - November 2013In the MSCI Japan Equity Model (JPE4), we include some well-known Systematic Equity Strategies as risk factors (SES factors, for short). Incorporating these SES factors can help identify and measure risk in investment strategies typically used by fundamental and quantitative managers. In this paper, we find that models including the SES factors produced more accurate risk forecasts for portfolios tilted toward those investment strategies. Furthermore, for optimized portfolios tilting on...
Portfolio Management Analytics Equity Risk Models
-
Research Report
Global Equity Market Watch - November 2013The 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
-
Research Report
Model Insight - Barra Korea Equity Model (KRE3) Empirical Notes - November 2013This Model Insight provides empirical results for the new Barra Korea Equity Model (KRE3), including detailed information about the structure, the performance, and the explanatory power of the factors. Furthermore, these notes also include backtesting results and a side-by-side comparison of the forecasting accuracy of the KRE3 Model and the KRE2 Model, its predecessor.
Portfolio Management Analytics Equity Risk Models
-
Research Report
Global Equity Market Watch - October 2013The 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