Extended-lister
Showing 61 - 70 of 76 entries
-
Research Report
Research Insight - Employing Systematic Equity Strategies - June 2013In this Research Insight, we introduce “Systematic Equity Strategies” (SES), which refers to a rules-based implementation of investment strategies and anomalies. Our research finds that SES, when used as factors in risk models, can help predict both expected and abnormal stock returns, thus improving forecast accuracy. Some Systematic Equity Strategies may lead to crowding risk as large pools of capital pursue shared strategies; by using SES factors, investors can monitor...
Portfolio Management Analytics Equity Risk Models
-
Research Report
Systematic Equity Strategies: A Test Case Using Empirical Results from the Japan Equity MarketIn an introductory paper, we explained Systematic Equity Strategies (SES) and how they can be used as factors in a risk model. In this paper, we use data from the Japan equity markets to define seven new SES factors and study their empirical behavior. Our findings illustrate the important role that these factors play in portfolio construction and risk management. Our study also shows problems associated with omitting these factors from a risk model, and explain why models that...
Portfolio Management Analytics Equity Risk Models
-
Research Report
Model Insight - Barra Japan Equity Model (JPE4) Empirical Notes - October 2013This Model Insight provides empirical results for the new Barra Japan Equity Model (JPE4), 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 JPE4 Model and the JPE3 Model, its predecessor.
Portfolio Management Analytics Equity Risk Models
-
Research Report
MSCI Risk Monitor - Global Equities - April 2013This monthly MSCI Risk Monitor: Global Equities report examines global equity market risk and return through the lens of the Barra Global Equity Model (GEM3). The report provides insights into market developments for global investment using the intuitive dimensions of the Barra fundamental factors. The report looks at the evolution of correlations and volatilities, as well as exploring the risk-adjusted index, factor and asset performance over the last month.
Portfolio Management Analytics Equity Risk Models
-
Research Report
MSCI Risk Monitor - Global Equities - March 2013This monthly MSCI Risk Monitor: Global Equities report examines global equity market risk and return through the lens of the Barra Global Equity Model (GEM3). The report provides insights into market developments for global investment using the intuitive dimensions of the Barra fundamental factors. The report looks at the evolution of correlations and volatilities, as well as exploring the risk-adjusted index, factor and asset performance over the last month.
Portfolio Management Analytics Equity Risk Models
-
Research Report
Model Insight - Modeling Exchange Traded Funds with Barra Premium ETF Analytics - February 2013Exchange Traded Funds (ETFs) can provide investors with a low-cost, flexible, and transparent instrument to gain exposure to a number of markets and sectors; however, modeling ETFs present challenges because they are heterogeneous. In this white paper, we explain how Barra meets this challenge by using two methods—look-through and style analysis. These approaches can generate exposures to systematic risk factors and idiosyncratic risk for over 3,500 exchange traded instruments,...
Portfolio Management Analytics Equity Risk Models
-
Press Release
MSCI Launches New Barra Stochastic Factor ModelsPDF
-
Press Release
New China Equity Model Captures New Reality of the Chinese MarketPDF
-
Research Report
Is Your Portfolio Positioned for Shifts in Risk Aversion?This article examines how stock exposures to the Volatility factor, as defined in the Barra Global Equity Model 2 (GEM2), can be used to understand how a portfolio is positioned for changes in risk aversion. In a previous note “The Volatility Factor and Risk Aversion,” presented in the Q1 2012 newsletter, we explained how returns to the Volatility factor can provide a measure of investors’ risk appetite. Now we extend this analysis and show how specific groups of stocks,...
-
Product Documentation
Aegis/Models Direct Euro Contingency PlanBarra Aegis Equity Risk Models