Extended-lister
Showing 251 - 260 of 331 entries
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Press Release
MSCI Launches New Barra Stochastic Factor ModelsPDF
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Research Report
Barra Europe Stochastic Factor Model (EURS1) - September 2012The Barra Europe Stochastic Factor Model (EURS1) is the first in a family of statistical factor models developed by MSCI. This document describes the EURS1 functionality and estimation process, with insights into market dynamics and the drivers of risk and return that EURS1 offers. The paper also provides the results of extensive backtests from 1997-2012.
Portfolio Management Analytics
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Research Report
Is Your Risk Model Letting Your Optimized Portfolio Down?Many portfolio managers use multi-factor models, but not all factor models are equally effective in forecasting risk. Flawed model construction can result in optimized portfolios that are not efficient. This paper addresses the concern of portfolio managers that some risk models used in optimization may not be forecasting risk accurately, or may be creating suboptimal portfolios. We review pitfalls in portfolio construction and explain how MSCI’s best practices in model building are...
Portfolio Management Analytics
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Research Report
US Market Report - Volatility Regimes - August 2012This report analyzes USE4 factor returns during different volatility regimes during the last 17 years, with a focus on regimes with rapidly increasing volatility. Although these regimes were often associated with a decline in equity prices, some style and industry factors offered a hedge during these periods. Among styles: Momentum, Dividend Yield and Earnings Yield performed well in this environment. Among industry factors: Health Care, Utilities, and Consumer...
Portfolio Management Analytics
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Support Site Video
GEM2 in Factor-based Performance AttributionPortfolio Management Analytics
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Support Site Video
Comparing Barra US Equity Model (USE3) to Barra US Equity Model (USE4): Portfolio Construction and TurnoverPortfolio Management Analytics
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Research Report
Global Equity Market Watch - August 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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Interview
MSCI on CNBC's, Investment Edge: The Credit Crisis: What have we learnt?Portfolio Management Analytics Risk Management Analytics
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Support Site Video
Barra Portfolio Manager: Introducing the Formula Builder, New Optimization Functionality & Analytical EnhancementsPortfolio Management Analytics
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Press Release
Rogge Global Partners Selects MSCI's BarraOne for its Fixed Income Portfolio RiskPDFPortfolio Management Analytics BarraOne