Extended-lister
Showing 221 - 230 of 331 entries
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Research Report
Global Equity Market Watch - January 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
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Research Report
Alpha-Risk Factor MisalignmentPortfolio managers have long worried that discrepancies between risk and alpha factors may somehow detract from the performance of their optimized portfolios. This paper presents a comprehensive overview of alpha-risk factor alignment and its consequences, showing how penalizing the residual alpha may help reduce the unintended bets resulting from misalignment. However, we also illustrate that correcting for misalignment may not always be necessary and can sometimes be...
Portfolio Management Analytics
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Case Study
Quotient and MSCI: Enhancing the ClientPortfolio Management Analytics
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Research Report
MSCI Risk Monitor - Global Equities - January 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
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Newsletter
Portfolio Management Analytics Update - December 2012Online Version | Contact Us Portfolio Management Analytics UpdateFrom MSCI | December 2012 Barra InsightThe Volatility Factor: How do Exposures Change over Time?The third part in the Barra Insight series examining how stock exposures to the Volatility Factor, as defined in the Barra Global Equity Model (GEM2), change over time. Read moreA Message for our ClientsAn Exciting Year at MSCIClients Only - A letter to our clients from the desk of Managing Director...
Portfolio Management Analytics
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Research Report
The Volatility Factor: How do Exposures Change over Time?This article examines how stock exposures to the Volatility factor, as defined in the Barra Global Equity Model (GEM2), change over time. We show how the exposure to the Volatility factor of some sectors and regions have evolved over time. Exposures to the Volatility factor can change significantly, reflecting market events that affect the relative riskiness of a country, region or sector.
Portfolio Management Analytics
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Research Report
Practical Insights and Lessons Learned for Quantitatively Managed Equity Portfolios - Third InstallmentThe third part in the series examining how stock exposures to the Volatility Factor, as defined in the Barra Global Equity Model (GEM2), change over time.
Portfolio Management Analytics
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Research Report
Global Equity Market Watch - December 2012The 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
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Research Report
What Makes a Good Statistical Model?In this paper, we investigate whether the new Barra Europe Stochastic Factor Model (EURS1) performs differently in portfolio construction when compared to other statistical models commonly used by investors. In order to explore this, we built a typical principal component analysis (PCA) model and used both the PCA and EURS1 models to track two popular benchmarks using the Barra Open Optimizer. In all cases, we found EURS1 to have the lowest tracking error, and the EURS1 slow model...
Portfolio Management Analytics
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Research Report
MSCI Risk Monitor - Global Equities - December 2012This 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