Extended-lister
Showing 281 - 290 of 331 entries
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Research Report
Global Equity Market Watch - April 2012Global Equity Market Watch is a monthly publication that looks at global equity markets through the lens of the factors in 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...
Portfolio Management Analytics
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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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Research Report
Quantitative Insight - Comparing GEM2 and GEM3: Portfolio Construction and TurnoverThe methodological enhancements introduced in the new Barra Global Equity Model (GEM3) are designed to improve risk forecasts for optimized portfolios. In this paper, we investigate the turnover and forecasting accuracy of optimized portfolios generated using GEM3, and compare them with those generated using the model’s predecessor, GEM2. By testing various investment strategies during the period 2007-2011, we found no systematic difference in turnover; in fact, the GEM3 risk forecasts...
Portfolio Management Analytics
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Research Report
Global Market Report: Are All Recoveries Created Equal? March 2012Over the last few years, global Financials have experienced a particularly rough ride, receding 20 percent relative to the MSCI ACWI IMI Index since the peak in October 2009. In this report, we use the Barra Global Equity model to compare two short rallies that interrupted the downward trend in Summer 2010 and Winter 2011. While the earlier recovery was dominated by pure industry effects, the most recent recovery can be explained largely by the changing fundamental valuations of banking...
Portfolio Management Analytics
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Research Report
US Market Report, March 2012: Does an Apple a Day Make the US Economy Healthier?Because of its spectacular performance, Apple is seen by many as a special company that rises above the IT sector. In this market report, we use the Barra US Equity Model (USE4) to help answer these questions: What if Apple didn't exist? How would Apple’s disappearance impact investment in the IT sector? From a risk angle, our study shows Apple to be far from exceptional, showing only a minor impact when removed from an IT Sector portfolio.
Portfolio Management Analytics
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Research Report
Global Equity Market Watch - March 2012Global Equity Market Watch is a monthly publication that looks at global equity markets through the lens of the factors in 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...
Portfolio Management Analytics
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Support Site Video
The Impact of Macro Factors for Canadian EquitiesPortfolio Management Analytics
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Research Report
Global Rebound in January - Comparing the Performance of BRIC and GreeceThe January 2012 cumulative performance of country factors in the Barra Global Equity Model (GEM3) allows us to compare country performances. Was the January rebound driven by a recovery from last year’s depressed valuation levels, or can the Barra Global Equity Model add more color to this story? This report uncovers some differences between BRIC and Greece by looking at performance attribution of the MSCI Greece and MSCI BRIC indices.
Portfolio Management Analytics
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Research Report
Normalized Earnings-to-Price signalLooking at recent performance of typical alpha signals, Normalized Earnings-to-Price stands out with its 9.5% performance since August 2011. This signal offered interesting hedging possibilities over the long run. Our report analyzes this alpha signal and discusses various ways to implement alpha strategies.
Portfolio Management Analytics
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Research Report
The Barra Canada Equity Model (CAE5) Empirical NotesPortfolio Management Analytics