Extended-lister
Showing 241 - 250 of 331 entries
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Support Site Video
Enhanced Indexing Using the Barra China Equity Model (CNE5)Portfolio Management Analytics
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Support Site Video
Advanced Optimization Implementation Using Barra Open Optimizer - Programming in MatlabPortfolio Management Analytics
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Research Report
Global Equity Market Watch - October 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
Manager Crowding and Portfolio ConstructionFollowing the “quant meltdown” of August 2007, market observers became concerned that quant strategies were leading to crowded trades. This paper analyzes the impact that a risk model used in portfolio construction has on manager crowding by identifying the drivers of crowding and by illustrating their impact. A risk model’s effect on manager crowding depends, in part, on how alphas used by different managers are related to each other, and to the risk model factors. We...
Portfolio Management Analytics
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Support Site Video
Is Your Risk Model Letting Your Optimized Portfolio Down?Portfolio Management Analytics
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Research Report
MSCI Risk Monitor - Global Equities - October 2012This monthly MSCI Risk Monitor: Global Equities report examines the evolution of global equity market risk and return through the lens of the Barra Global Equity Model (GEM3). The report provides insights on 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
Model Insight - The MSCI Bond Liquidity Measure (BLM) - Sep. 2012This Model Insight introduces the MSCI Bond Liquidity Measure (BLM), a model-based estimate of bond bid-ask spreads for a broad universe of quoted and non-quoted bonds. The BLM provides both a liquidity scoring metric and a way to quantify potential transaction costs. Applications of BLM include portfolio construction, risk control, risk limits, regulatory compliance, and liquidity provisioning. Furthermore, BLM opens the way for the consistent assessment of liquidity...
Portfolio Management Analytics Risk Management Analytics
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Research Report
Global Equity Market Watch - September 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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Support Site Video
The Barra China Equity Model (CNE5)Portfolio Management Analytics
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Case Study
A History Of Ground-Breaking Research And Investment: Denali Advisors & MSCIPortfolio Management Analytics