Enhanced equity models set new standard for
measuring and managing risk
MSCI Inc. (NYSE:MSCI), a leading provider of investment decision
support tools worldwide, today announced two next generation Barra
risk models aimed at helping firms who invest in China and
greater-Asia markets better understand risk and performance.
The new Barra Asia Pacific Equity and Barra China International
Equity models, which cover pan-Asian and China markets,
respectively, have been significantly enhanced to include
Systematic Equity Strategies (SES), marking a new era for advancing
the standard for measuring and managing risk.
SES, when represented as factors in risk models, allow
investment managers to better understand and monitor the sources of
risk and return in equity portfolios while capturing volatility and
correlation among stocks consistent with their short, medium or
long-term investment horizons. Using models enhanced with SES also
enables investors to better manage their exposure to crowded
factors.
Rene Veerman, Managing Director and Head of Equity Analytics for
Asia Pacific at MSCI, said, “Today marks a new milestone in
providing institutional investors investing in China and Asia a new
level of insight into uncovering important new sources of risk and
return."
Each model includes:
- The ability to adapt to rapid risk-on
risk-off market movements with Volatility Regime
Adjustment
- Improved portfolio optimization with
Optimization Bias Adjustment
- Robust Specific Risk Model
incorporating Bayesian Adjustments for greater forecast
accuracy
- New Daily-horizon model to track
very short term volatility. Long and Short versions are also
available.
- Daily updates
Peter Zangari, Managing Director and Head of MSCI’s Portfolio
Management Analytics, said, “For over 30 years MSCI’s Barra models
have helped investors uncover risk in their portfolios through
research-based innovation. The rollout of these new enhanced models
is another example of our continued investment in innovation and
our commitment to helping investment professionals by delivering
ground-breaking research, models and software to help identify risk
and sources of return.”
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
indexes, portfolio risk and performance analytics, and ESG data and
research.
The company’s flagship product offerings are: the MSCI indexes
with over USD 9.5 trillion estimated to be benchmarked to them on a
worldwide basis1; Barra multi-asset class factor models, portfolio
risk and performance analytics; RiskMetrics multi-asset class
market and credit risk analytics; IPD real estate information,
indexes and analytics; MSCI ESG (environmental, social and
governance) Research screening, analysis and ratings; and FEA
valuation models and risk management software for the energy and
commodities markets. MSCI is headquartered in New York, with
research and commercial offices around the world.
1 As of June 30, 2014, as reported on September 30 2014 by
eVestment, Morningstar and Bloomberg
1 As of January, 2013, Institutional Investor, The Hedge Fund
100
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Media Enquiries:MSCI, New YorkKristin Meza, +
1-212-804-5330orMSCI, LondonPaul Griffin, + 44-20-7618-2594orMHP
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