GEM2 extends these concepts to the international equity markets, setting new standards for global equity multi-factor models. Through rigorous research and enhanced data management processes, MSCI has identified an enhanced set of fundamental factors that explain asset returns, and uncover the risks associated with global equity portfolios.
These common factors can be grouped into World, country, industry, style and currency components. By using more frequent data, new style factors, and a new specific risk model, GEM2 provides improved global portfolio risk forecasts and better explanatory power of common sources of assets return.
GEM2 is more responsive to market trends. It uses a factor covariance matrix based on weekly data, adjusted for auto-correlation effects. The unique and intuitive structure of GEM2 accommodates the different investment processes used in developed and emerging markets. The GEM2 design incorporates a World factor, and does not impose a hierarchy to country and industry factors. Leveraging the breadth and high quality of the MSCI Equity Indices database, the two GEM2 model versions are estimated on a universe of stocks covering developed and emerging markets.
The model covers circa 45, stocks across 55 markets, including the GCC region and China A securities. Delivered through the Barra Portfolio Manager , Barra Aegis System, or Models Direct flat files, the Barra Global Equity Model provides equity managers with an intuitive understanding of asset-level portfolio exposures, and the sources of risk unique to international investing.
By attributing risk and returns to common fundamental factors of GEM2 - such as countries, industries, styles see below , and currencies - global equity managers can act to magnify or neutralize exposures according to their own judgment, and different market insights. The numbers above are indicative as of September GEM2 asset coverage is expected to increase month by month.
Learn More. Fact Sheet Press Release. MSCI's research, data management and production departments consists of more than professionals, who are constantly monitoring new securities, global market shifts and industry trends in every major world market.
Data accuracy, a crucial piece of risk modeling, is one of the elements that sets Barra risk models apart. The data used in our models is developed and refined by teams of experienced professionals who aggregate and cleanse raw data from more than third party sources around the world, creating a database that is without peer in its depth and accuracy. EUE3 captures the common characteristics of the expanded European region, such as the Europe market, styles, industries, countries and currencies.
Barra Integrated Model - Offers a clear and detailed view of your risk exposures across markets, asset classes and currencies. Barra Multiple-Horizon Equity Models - Incorporate daily returns and investment horizon into the proven factor structure of Barra's industry-leading risk models. Barra Single Country Equity Models - Cover the world's major equity markets - offering sources of risk and return specific to local markets.
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