Extended-lister
Showing 41 - 50 of 10,000 entries
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Research Report
Korea Equity Model (KRE2) Research NotesSection 1 defines the KRE2 estimation universe. The industry and risk index (style) factors are described in Section 2. In Section 3, the discussion turns to how factor returns are calculated from asset returns and factor exposures. The factor return calculation differs from KRE1 in that it includes (i) a thin industry correction that helps to provide meaningful factor returns even when the number of assets in an industry is relatively small, and (ii) a bounded influence feature that prevents...
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Research Report
Australia Equity Model (AUE3) Research NotesThis document details the estimation of the third version of Barra's Australia Equity Model, AUE3, and highlights important advantages of this model over its predecessor, AUE2. Section 1 focuses on the model's estimation universe and its industry and risk index factors. Section 2 discusses the estimation of the factor model and refinements made. AUE3's common-factor and specific risk forecasts are discussed in Section 3. Section 4 looks at the performance of the model and Section 5 compares...
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Research Report
Brazil Equity Model (BRE2) Research NotesBarra’s new equity risk model for Brazil, BRE2, adopts a new industry classification based on the Global Industry Classification Standard (GICS)--a scheme developed by Morgan Stanley Capital International (MSCI) and Standard and Poor's. It also adds new risk indices, in particular taking account of the changed monetary regime in Brazil over the last few years, following the end of the currency fix against the dollar. This report describes BRE2 and reviews its performance.The outline of...
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Research Report
Canada Equity Model (CNE4) Research NotesThis document describes the fourth version of Barra’s Canada Equity Model, CNE4, and highlights advantages of this model over its predecessor, CNE3. Section 1 focuses on the model’s estimation universe and its industry and risk index factors. Section 2 discusses the estimation of the factor model and refinements made. CNE4’s common-factor and specific risk forecasts are discussed in Section 3. Section 4 looks at the performance of the model and Section 5 compares the risk...
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Research Report
Research Insight - Tracking the Earnings Yield FactorEarnings yield - typically defined as the inverse of the price-to-earnings ratio - is viewed as a strong value signal. In this paper, we provide examples of portfolios that track the Earnings Yield factor return from the Barra US Equity Model (USE4). We examine different sets of constraints - including long-only, turnover and number of assets and leverage - to see how they affect the performance of tracking portfolios.
Portfolio Management Analytics
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Research Report
Global Equity Model (GEM2) Research NotesThis document describes the new Barra Global Equity Model, GEM2, and provides an in-depth comparison with the model it replaces, the Global Equity Model (GEM). With GEM, originally released in 1989, Barra pioneered the use of factor models for the forecasting of global equity portfolio risk. In the nearly 20 years since the launch of GEM, changes have occurred that warrant the introduction of a completely new model. These changes fall into two categories.First, additional data sources are...
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Research Report
MSCI Real Estate Research Snapshot Part 1Part 1 of this year’s MSCI Real Estate Research Snapshot is a compilation of our research published through the first half of 2020. At the start of the year we suggested that 2020 may prove to be a watershed year in terms of the way investors consider real estate as an asset class. On the face of it, it seems that due to the ongoing COVID-19 pandemic we may have been right, albeit for entirely different reasons. Download File Real_Estate_Research_Snapshot_2020_Part1.pdf
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Research Report
MSCI Real Estate Research Snapshot Part 2Part 2 of this year’s MSCI Real Estate Research Snapshot is a compilation of our research published through the second half of 2020 including research on missed rents impact on income and how COVID-19 has impacted infrastructure returns.
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Research Report
Issue Brief Corporate Issuers and MSCI ESG ResearchThe MSCI ESG Corporate Communications team is the dedicated point of contact for corporate issuers, answering all corporate queries and overseeing the corporate data review process across all ESG products. Since the beginning of 2014, the team has experienced a substantial increase in the number of issuers providing feedback or obtaining additional information. In the 12 month period ending in June 2016, we note that over 25% of the constituents of the MSCI ACWI Index have contacted MSCI ESG...
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Webcast
The Controversial Weapons Landscape: Recent Regulations and Research TrendsCanada recently ratified the Convention on Cluster Munitions, becoming the 92nd State Party to the Treaty. An increasing number of institutional investors are looking to implement investment policies that exclude companies involved in the production of Cluster Munitions, as well as other types of so-called 'controversial weapons'. What constitutes a controversial weapon varies by region, country and institution, with some investors focusing on chemical and biological weapons, cluster...