Extended-lister
Showing 3951 - 3960 of 4,987 entries
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Research Report
MSCI Risk Monitor - RiskMetrics - January 2013The monthly MSCI Risk Monitor: RiskMetrics report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The report provides a broad view of changes in global market risks, and assists risk...
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Research Report
Stress-Testing in RiskManager: Contemplating a Eurozone Breakup - February 2012Since the beginning of the Eurozone crisis in 2009, it is apparent that structural issues persist, particularly in the European peripheral economies. Stress testing plays a pivotal role in the risk management process. This paper shows how a well-specified scenario can be used to understand and mitigate contagion effects resulting from a hypothetical sovereign default in Greece, Spain or Italy. Global asset and factor representative portfolios are stressed to reflect the impact of default on...
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Research Report
MSCI Risk Monitor - RiskMetrics - November 2012The monthly MSCI Risk Monitor: RiskMetrics report examines recent levels of volatility and correlation for 12 key global risk drivers, using a common RiskMetrics risk forecasting model. The report compares recent volatility and correlation forecasts to longer term historical averages, and examines forecast performance by highlighting recent returns that were large relative to the risk forecast. The report provides a broad view of changes in global market risks, and assists risk...
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Research Report
Finding Value: Understanding Factor Investing
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Research Report
Low Volatility over the Market Cycle: Understanding Factor Investing
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Research Report
Quantitative Insight - The Impact of Macro Factors for Canada EquitiesThe characteristics of the Canadian economy suggest that commodity returns are an important risk driver for Canadian equities. One of the highlights of the new Barra Canada Equity model (CAE5) is an enhanced style factor structure, which includes two commodity-related factors: oil and gold sensitivity. These factors explain the return differences between stocks caused by sensitivity to spot commodity returns. We illustrate how these factors add value by providing information in addition to...
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Research Report
Delta-Sigma Attribution: Understanding Differences in RiskInvestors face the challenge of understanding changes in risk. Did a recent increase in risk come from turnover into more aggressive positions, a spike in market volatility, or a loss of diversification? Which of the investor's positions drove the change? Which parts of the market became more risky? A related issue is understanding differences among risk models. Do such differences indicate a weakness of one of the models, or do they provide insight into the evolving structure of the...
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Research Report
Global Investing: The Importance of Currency Returns and Currency HedgingThere is a continuing trend for investors to reduce their home bias in equity allocation and increase the allocation to international equities. An important consideration in move towards global investing is the impact of currencies. An adverse movement in the exchange rate can dramatically change the performance of an international investment. In this research bulletin we review the performance of currencies, both in nominal and real terms, compare domestic and international equity returns...
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Research Report
Barra Prepayment Model Incorporating Home Price Effects - May 2011
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Research Report
Factor Allocation to Asset AllocationAsset-allocation approaches have evolved from the traditional 60/40 split to the recent adoption of risk, rather than capital, budgeting across asset classes. However, asset-class buckets are not always clear-cut risk and return drivers. We present a factor-based asset-allocation framework to help investors who have begun to look through asset classes to factors — the underlying drivers of risk and returns.
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