What is Barra risk model?
What is Barra risk model?
The Barra Risk Factor Analysis model measures a security’s relative risk with a single value-at-risk (VaR) number. This number represents a percentile rank between 0 and 100, with 0 being the least volatile and 100 being the most volatile, relative to the U.S. market.
How are Barra factors constructed?
The MSCI Barra Factor Index is constructed using the Barra Optimizer in combination with the relevant Barra Equity Model. The optimization uses the MSCI Parent Index as the universe of eligible securities and the specified optimization objective and constraints to determine the optimal Barra Factor Index.
What is Gemlt?
The standard is based on the factor structure in MSCI’s latest global equity factor risk model, the Barra Global Total Market Equity Model for Long-Term Investors (GEMLT). The standard groups the 16 factors of GEMLT into eight factor groups – Value, Size, Momentum, Volatility, Quality, Yield, Growth and Liquidity.
What is residual volatility?
Residual volatility measures how much an investment’s price jumps around relative to its relationship to an index or other benchmark. It is directly tied to beta, which is a measure of whether a given investment’s fluctuations are larger or smaller than that of another index.
What is long term reversal?
The long-term reversal effect is the tendency of securities with high returns over the past three to five years to underperform relative to securities with low returns through the same period.
What is the Fama French 5 factor model?
Construction: The Fama/French 5 factors (2×3) are constructed using the 6 value-weight portfolios formed on size and book-to-market, the 6 value-weight portfolios formed on size and operating profitability, and the 6 value-weight portfolios formed on size and investment.
What is residual stock?
Residual Stock is (as the term suggests) the stock of apartments remaining unsold in a development, against which a developer seeks to borrow for one reason or another.
What is the difference between momentum and long run reversals?
The momentum return was computed as the average monthly excess return on an index in months t − 12 to t – 1, and the long-run reversal return was computed as the average monthly excess return on an index in months t − 72 to t – 13 (one-year lagged five-year period).
Can the Barra global equity model be used in gem-MSCI?
Global Equity Case Studies This chapter includes three GEM-MSCI case studies that demon- strate the use of the BARRA Global Equity Model. The first case study analyzes an active portfolio. The second case study describes how the model can be used to track the MSEAFE with a basket of 250 stocks.
What is a Barra risk model?
It is these models that help our products forecast risk for equity, fixed income, cash and derivative instruments, at both the asset and portfolio level. Barra risk models are developed by a cross-functional team of mathematicians, statisticians, financial engineers and investment industry experts.
Does Barra have a warranty on the global equity risk model?
RISK MODEL HANDBOOK BARRA makes no warranty, express or implied, regarding the Global Equity Risk Model or any results to be obtained from the use of the Global Equity Risk Model.
What is the total risk of a total gem2l?
Gem2l World Min Vol Gem2l W/o TO World Min Vol Gemltl V1 World Min Vol Gemltl V1 W/o TO Absolute Risk Metrics Total Risk* (%) 15.5 10.5 10.1 10.3 10.0
