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The Relative Strengths of Industry and Country Factors in Global Equity Markets, April 2011 全球股票市场中产业和国家因素的相对优势，2011年4月
MSCI Research Paper Series Pub Date : 2011-04-25 DOI: 10.2139/ssrn.1915233
J. Menchero, A. Morozov
{"title":"The Relative Strengths of Industry and Country Factors in Global Equity Markets, April 2011","authors":"J. Menchero, A. Morozov","doi":"10.2139/ssrn.1915233","DOIUrl":"https://doi.org/10.2139/ssrn.1915233","url":null,"abstract":"We investigate the relative strength of industry versus country effects in the global equity markets during the sample period 1994-2010. In particular, we examine three market segments: (a) the world market, (b) emerging markets, and (c) developed Europe. We employ a factor-based approach to construct portfolios that capture the “pure” effect of each industry or country, and measure the relative strength of the two effects. For the world market, we find that industry and country effects are of comparable strength, although each dominates during different sub-periods. For emerging markets, we find that countries have dominated industries during the entire sample period. In developed Europe, by contrast, we find that industries have dominated countries since the introduction of the euro. We also investigate the size dependency of the relative strength of industry versus country effects. In particular, we find that in the small-cap segment, industry effects become weaker, whereas country effects retain their full strength.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"105 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128278168","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Post-Earthquake Japan Equity Update 震后日本股票更新
MSCI Research Paper Series Pub Date : 2011-03-31 DOI: 10.2139/SSRN.1823632
H. Shimizu, David T. Owyong
{"title":"Post-Earthquake Japan Equity Update","authors":"H. Shimizu, David T. Owyong","doi":"10.2139/SSRN.1823632","DOIUrl":"https://doi.org/10.2139/SSRN.1823632","url":null,"abstract":"This paper looks through the lens of the Barra Japan Equity model (JPE3) to analyze how the Japan equity market reacted to the recent earthquake on March 11. We also review the Japan equity market just after Kobe Earthquake in 1995, and see if there are similarities or differences in the behavior of Japanese stocks after these two events from a style and industry perspective. Given the sharp appreciation of the yen after the recent earthquake, we considered the differences in yen sensitivity of different Japanese stocks.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128295312","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Pitfalls in Risk Attribution 风险归因的陷阱
MSCI Research Paper Series Pub Date : 2011-02-16 DOI: 10.2139/ssrn.1823628
B. Davis, J. Menchero
{"title":"Pitfalls in Risk Attribution","authors":"B. Davis, J. Menchero","doi":"10.2139/ssrn.1823628","DOIUrl":"https://doi.org/10.2139/ssrn.1823628","url":null,"abstract":"While performance analysis is typically conducted on a benchmark-relative basis, risk analysis is often presented on an absolute-return basis. This mismatch between sources of risk and return leads to the pitfall that active management decisions cannot be evaluated on a risk-adjusted basis. In particular, usage of absolute return sources in risk attribution may lead to non-intuitive marginal contributions to risk and flagging aggressive positions as risk reducing. These pitfalls can be addressed by using relative MCARs, which result in a set of consistent and intuitive effects across securities, sectors, and factors.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127971332","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Third Quarter Ends with a Blast: Tech, Small Caps, and Beta 第三季度以爆炸结束:科技股，小盘股和Beta
MSCI Research Paper Series Pub Date : 2010-10-26 DOI: 10.2139/ssrn.1708261
Msci Inc.
{"title":"The Third Quarter Ends with a Blast: Tech, Small Caps, and Beta","authors":"Msci Inc.","doi":"10.2139/ssrn.1708261","DOIUrl":"https://doi.org/10.2139/ssrn.1708261","url":null,"abstract":"The US equity markets showed their strongest gains for any September on record in the 40-year history of the MSCI USA Index. Here, we highlight a few main observations through the lens of the Barra US Equity Model: •The Growth story was really a Technology story. •The Small Cap story was partially a real small cap effect, but in fact had an important Volatility story behind it (i.e., small caps benefited from being high beta and high volatility). •Certain sectors, like Health Care and Financial, benefited indexes across the board.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"163 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114526062","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
AH Premium and Short Sale Constraints AH溢价和卖空限制
MSCI Research Paper Series Pub Date : 2010-10-26 DOI: 10.2139/ssrn.1708260
Msci Inc.
{"title":"AH Premium and Short Sale Constraints","authors":"Msci Inc.","doi":"10.2139/ssrn.1708260","DOIUrl":"https://doi.org/10.2139/ssrn.1708260","url":null,"abstract":"This year, the government of China approved the launch of index futures, margin trading, and short selling of stocks. The trial program for short selling rolled out with 90 stocks in the program as of March 31, 2010. In this paper, we explore the effect of the relaxation of short sale constraints on AH premium (the price differential between the domestic listed A-shares and the Hong Kong listed H-shares). We examine the AH premium movements of the group of dual-listed Chinese shares that are permitted to short, versus the group not permitted to short, both before and after the launch of the new short selling program. We found that the two groups of stocks traded on a different AH premium range and exhibited drastically different risk characteristics. Further analysis of the correlation of AH premium of the two groups with shorting demand in the China A-share market suggests that the relaxation of short sale constraints could potentially be playing a role in lowering AH premium.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124995297","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Capturing Equity Risk Premia (August 2010) 捕捉股票风险溢价(2010年8月)
MSCI Research Paper Series Pub Date : 2010-08-03 DOI: 10.2139/ssrn.1708245
J. Menchero, A. Morozov
{"title":"Capturing Equity Risk Premia (August 2010)","authors":"J. Menchero, A. Morozov","doi":"10.2139/ssrn.1708245","DOIUrl":"https://doi.org/10.2139/ssrn.1708245","url":null,"abstract":"In this paper we examine three approaches for capturing equity risk premia. In the \"simple\" approach, the manager goes long stocks with positive exposure and shorts stocks with negative exposure, but makes no effort to control for other exposures or to minimize risk. In the \"pure\" approach, the manager selectively retains only exposure to the desired factor, while hedging all other exposures. In the \"optimized\" approach, the manager constructs the minimum-risk portfolio with unit exposure to the desired factor. We document the performance of these three factor approaches for the World factor and the eight GEM2 style factors over the period January 1997 through December 2010.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"100 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124774871","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Beyond Brinson: Establishing the Link Between Sector and Factor Models, April 2010 超越布林森:建立部门和要素模型之间的联系，2010年4月
MSCI Research Paper Series Pub Date : 2010-04-20 DOI: 10.2139/ssrn.1601929
B. Davis, J. Menchero
{"title":"Beyond Brinson: Establishing the Link Between Sector and Factor Models, April 2010","authors":"B. Davis, J. Menchero","doi":"10.2139/ssrn.1601929","DOIUrl":"https://doi.org/10.2139/ssrn.1601929","url":null,"abstract":"Brinson sector-based attribution explains active return in terms of intuitive allocation and selection decisions. However, it cannot easily disentangle competing industry and style effects. We introduce a special type of factor model with five defining characteristics that exactly replicates the classic Brinson model. We show that this “Brinson-replicating” factor model easily extends to explain more general types of investment processes. In this extension, returns are decomposed into style effects and pure industry effects, net of styles. Moreover, much of the classic Brinson model “stock selection effect” is attributed to contributions from a handful of style factors. We show that in this framework risk and return can be attributed to the same set of decision variables. This provides a means of comparing return contributions on a risk-adjusted basis.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133258763","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Characteristics of Factor Portfolios, March 2010 因子投资组合的特征，2010年3月
MSCI Research Paper Series Pub Date : 2010-03-30 DOI: 10.2139/ssrn.1601414
J. Menchero
{"title":"Characteristics of Factor Portfolios, March 2010","authors":"J. Menchero","doi":"10.2139/ssrn.1601414","DOIUrl":"https://doi.org/10.2139/ssrn.1601414","url":null,"abstract":"A key to deeper understanding of factor models lies in the concept of factor-mimicking portfolios, whose returns exactly replicate the payoffs to the factors. Simple factor portfolios are obtained by considering each factor in isolation, whereas pure factor portfolios are constructed by treating all factors jointly. In this paper, we derive the holdings of simple factors portfolios for the World factor, as well as for countries, industries, and styles. We also discuss the characteristics of pure factor portfolios, and how differences between simple and pure factor portfolios arise due to collinearity between factors. We introduce several intuitive measures of collinearity in factor models, and present their empirical distributions in the context of a global equity model. Finally, we describe how collinearity can be reduced through factor rotation, and discuss the interpretation of such factors.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"100 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121284886","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Risk Characteristics of Emerging Market Bonds 新兴市场债券的风险特征
MSCI Research Paper Series Pub Date : 2010-03-10 DOI: 10.2139/ssrn.1601503
David T. Owyong, Anand S. Iyer
{"title":"Risk Characteristics of Emerging Market Bonds","authors":"David T. Owyong, Anand S. Iyer","doi":"10.2139/ssrn.1601503","DOIUrl":"https://doi.org/10.2139/ssrn.1601503","url":null,"abstract":"In 2009, emerging market bonds were among the top-performing assets in comparison to both the global equity and fixed income asset classes. The recent, rapid rise in US Treasury yields and the concern over tightening monetary policies in certain countries led us to evaluate the relationship between global interest rate risks and emerging market bonds. In this publication, we attempt to address this relationship with an emphasis on the risk characteristics of the market, along with the historical relationship of emerging market bonds with US Treasuries, other developed market sovereign bonds, and equity market volatility. We consider possible warning signals of impending volatility in emerging market bonds during the period we observed, as well as possible ways to have improved the diversification benefits with equities during this period.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115892007","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The Effects of Risk Aversion on Optimization, February 2010 风险规避对优化的影响，2010年2月
MSCI Research Paper Series Pub Date : 2010-02-22 DOI: 10.2139/ssrn.1601412
Scott Liu, Rong Xu
{"title":"The Effects of Risk Aversion on Optimization, February 2010","authors":"Scott Liu, Rong Xu","doi":"10.2139/ssrn.1601412","DOIUrl":"https://doi.org/10.2139/ssrn.1601412","url":null,"abstract":"In this paper, we examine the influences of risk aversion on various aspects of portfolio optimization. Our main message is that the risk aversion parameters in the Barra Optimizer provide users with the flexibility to control or adjust the risk levels of their optimal portfolios. They are valuable tools for portfolio managers to explore and customize their portfolio optimization results and investment processes.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133181024","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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