Extended-lister
Showing 231 - 240 of 331 entries
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Research Report
Global Market Report - The Mid-Cap Effect - December 2012In this paper, we show how Barra models capture the risk and return characteristics of mid-cap stocks using the Non-Linear Size factor. This factor describes the return difference between mid-cap stocks and the overall market, net other factors. We show that since the global financial crisis of 2008, the impressive performance of global mid-caps was attributed, in large part, to their exposure to Non-Linear Size. Monitoring the exposure to this factor provides investors with a view of...
Portfolio Management Analytics
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Support Site Video
Barra Portfolio Manager and Optimization Series: Part 3: Advanced Equity Portfolio Optimization Techniques and Use Cases in Barra Portfolio ManagerPortfolio Management Analytics
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Support Site Video
Barra Portfolio Manager and Optimization Series Part 2: Advanced Optimization Techniques in Barra Portfolio ManagerPortfolio Management Analytics
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Support Site Video
AFTER THE STORM: Navigating the US Equity Markets after Hurricane SandyPortfolio Management Analytics
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Research Report
Global Equity Market Watch - November 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
Barra US Equity Daily Model (USE4D) - November 2012This document provides empirical results and analysis for the new Barra US Equity Daily Model (USE4D). 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 USE4D Model and the USE4S Model, the short-horizon monthly version.
Portfolio Management Analytics
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Research Report
MSCI Risk Monitor - Global Equities - November 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
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Research Report
US Market Report - After the Storm - Navigating US Equity Markets in the Aftermath of Hurricane Sandy - November 2012In the aftermath of Hurricane Sandy, we examine the impact of past US natural disasters on the cross-section of US equity returns. Investors might expect the recent hurricane to have an impact on the broad market, as well as pronounced effects in certain industries and sectors. Based on our analysis, we conclude that few predictable patterns emerged in the cross-section of equity returns following the natural disasters that we analyzed.
Portfolio Management Analytics
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Support Site Video
Barra Portfolio Manager and Optimization Series: Part 1: Introduction to Equity Portfolio Construction & Optimization in Barra Portfolio Manager: Theory and Use CasesPortfolio Management Analytics
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Support Site Video
Advanced Optimization Implementation Using Barra Open Optimizer - Programming in RPortfolio Management Analytics