New Barra US Equity Model (USE4) helps portfolio managers get a better
understanding of their sources of risk and return
NEW YORK--(BUSINESS WIRE)--
MSCI Inc. (NYSE: MSCI), a leading provider of investment decision
support tools worldwide, including indices, portfolio risk and
performance analytics and corporate governance services , announced
today the launch of the first in a family of new Barra Equity Models -
Barra US Equity Model (USE4). Barra USE4 includes the latest advances in
risk methodology, providing institutional investors with the ability to
align factor structure with their investment processes, and improve
responsiveness and accuracy.
Key advances in Barra USE4 include:
Eigenfactor Risk Adjustment adjusts the covariance matrix and
improves risk forecasts for optimized portfolios. Forecasting bias is
removed from the factor covariance matrix by scaling up where risk is
under-forecast, and scaling down where risk is over-forecast.
Volatility Regime Adjustment calibrates factor volatilities to
current market levels. The model responds quicker to market trends by
reducing the under-prediction of risk when entering a regime of
increased volatility and the over-prediction of risk when exiting a
period of elevated volatility.
MSCI Managing Director and Head of Equity Portfolio Management
Analytics, Peter Zangari said, "Barra USE4 is a new model with a new
methodology and an updated factor structure that gives portfolio
managers a better understanding of their sources of risk and return, and
the ability to analyze how their factor tilts affect their portfolio
risk and performance. Our recent MSCI survey, Shifting Realities: Myths
& Models, which captured the opinions of over 600 portfolio managers and
investment professionals, demonstrated the need in the market a greater
choice of more models and how important it is to have a wide variety."
This innovative new family of equity models will significantly expand
the range of Barra models currently available. The roll out of models
will continue with the release of a new Barra Global Equity Model, as
well as models for other major markets later in the year. The new models
will be initially available in Barra Portfolio Manager, Barra Models
Direct and Barra Aegis.
Mr Zangari added, "The new Barra Equity Models are designed to deliver
better risk forecasts for optimized portfolios through these new
innovative methodologies. These models are not a replacement for
existing Barra Equity Models, which will continue to be available.
Current clients will have the option to transition to the new models or
retain their existing subscription."
-Ends-
About MSCI
MSCI Inc. is a leading provider of investment decision support tools to
investors globally, including asset managers, banks, hedge funds and
pension funds. MSCI products and services include indices, portfolio
risk and performance analytics, and governance tools.
The company's flagship product offerings are: the MSCI indices which
include over 148,000 daily indices covering more than 70 countries;
Barra portfolio risk and performance analytics covering global equity
and fixed income markets; RiskMetrics market and credit risk analytics;
ISS governance research and outsourced proxy voting and reporting
services; FEA valuation models and risk management software for the
energy and commodities markets; and CFRA forensic accounting risk
research, legal/regulatory risk assessment, and due-diligence. MSCI is
headquartered in New York, with research and commercial offices around
the world.
For further information on MSCI, please visit our web site at www.msci.com
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or
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McCann
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or
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