Extended-lister
Showing 71 - 76 of 76 entries
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Press Release
New Australian Equity Model Provides Portfolio Managers with Insight on Risk and ReturnPDF
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Research Report
The Barra Australia Equity Model (AUE4) - Empirical NotesThis Model Insight provides empirical results and analysis for the new Barra Australia Equity Model (AUE4). These notes include extensive information on the structure, the performance, and the explanatory power of the factors. Furthermore, these notes also include a thorough side-by-side comparison of the forecasting accuracy of the AUE4 Model and the AUE3 Model, its predecessor.
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Research Report
Quantitative Insight - Frontier Markets: The Next Investment Frontier?The new MSCI Global Equity Model (GEM3) incorporates advances in risk methodology, including the addition of 22 frontier markets to the estimation universe, with full coverage of the MSCI Frontier Markets Index. Frontier markets are a diverse niche for risk-tolerant investors willing to weather market volatility to reap potentially huge gains. The relative obscurity of frontier markets can raise important questions for investors: What are the valuation and risk characteristics of...
Portfolio Management Analytics Equity Risk Models
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Press Release
MSCI Launches New Barra Global Equity Model (GEM3)PDF
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Research Report
The Barra US Equity Model (USE4) - Empirical Notes
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Research Report
The Barra US Equity Model (USE4)This Model Insight describes the methodological advances that underpin the new Barra US Equity Model (USE4). One highlight of the USE4 Model is the Optimization Bias Adjustment, which builds corrections directly into the factor covariance matrix to reduce the forecasting biases of optimized portfolios. Another modeling innovation is the Volatility Regime Adjustment, which uses cross-sectional observations to calibrate factor volatilities and specific risk to current market levels. We discuss...