Extended-lister
Showing 311 - 320 of 327 entries
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Research Report
China and the Future of Equity AllocationsWith the partial inclusion of China A shares in the MSCI ACWI and Emerging Market Indexes, institutional investors are reconsidering how Chinese equities fit into their global and emerging-market portfolios. In this paper, we analyze and contrast different ways of configuring policy benchmarks, considering two broad options: an “integrated option,” with China as an indispensable part of a wider equity opportunity set; and a “dedicated option,” where China is treated as a separate equity...
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Research Report
The Barra Canada Equity Model (CAE5) Empirical NotesPortfolio Management Analytics
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Methodology
MSCI Global Investable Market Indexes MethodologyPDF
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Research Report
Model Insight - Barra South Africa Equity Model (ZAE4) Empirical Notes - June 2014This Model Insight summarizes the methodology and empirical results for the fourth-generation Barra South Africa Equity Model (ZAE4). This paper includes extensive information on factor structure, commentary on the performance of select factors, an analysis of the explanatory power of the model, and an examination of its effectiveness in portfolio construction using minimum volatility and index tracking portfolios. It also includes a side-by-side comparison of the forecasting accuracy and...
Portfolio Management Analytics Equity Risk Models
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Research Report
Model Insight - The Barra Emerging Markets Model Empirical Notes - February 2014This Model Insight provides empirical results for the new Barra Emerging Markets Model, including detailed information on the structure, the performance, and the explanatory power of the factors. Furthermore, these notes also include backtesting results and a thorough side-by-side comparison of the forecasting accuracy of the new Emerging Markets Model and the Global Equity Model (GEM3).
Portfolio Management Analytics Equity Risk Models
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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
Model Insight - Barra Korea Equity Model (KRE3) Empirical Notes - November 2013This Model Insight provides empirical results for the new Barra Korea Equity Model (KRE3), including detailed information about the structure, the performance, and the explanatory power of the factors. Furthermore, these notes also include backtesting results and a side-by-side comparison of the forecasting accuracy of the KRE3 Model and the KRE2 Model, its predecessor.
Portfolio Management Analytics Equity Risk Models
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Research Report
The Barra China Equity Model (CNE5) - Empirical NotesThis document provides empirical results for the new Barra China Equity Model (CNE5), including extensive information on the structure, the performance, and the explanatory power of the factors. These notes also include a thorough side-by-side comparison of the forecasting accuracy of the CNE5 Model and the CHE2 Model, its predecessor. The CNE5 Model leverages the same methodologies used for the Barra US Equity Model (USE4); these details can be found in the companion document: USE4...
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Research Report
Index Performance in Changing Economic EnvironmentsOver the recent years, the impact of the macroeconomic regime on their investments has grown in importance for institutional investors. As a result, institutional investors have started explicitly accounting for macroeconomic conditions in their asset allocation decisions.This paper attempts to provide a framework for designing macro-sensitive portfolios, building on historical analysis using our 40+ years' history of MSCI Factor and Sector Indexes, and a long-term analysis based on the...
Indexes Factor Indexes Minimum Volatility Indexes MSCI Size Indexes MSCI Sector Indexes
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Research Report
Model Insight - Barra Japan Equity Model (JPE4) Empirical Notes - October 2013This Model Insight provides empirical results for the new Barra Japan Equity Model (JPE4), including detailed information on the structure, the performance, and the explanatory power of the factors. Furthermore, these notes also include backtesting results and a thorough side-by-side comparison of the forecasting accuracy of the JPE4 Model and the JPE3 Model, its predecessor.
Portfolio Management Analytics Equity Risk Models