Characteristics of Factor Portfolios, March 2010 by Jose.

New groundbreaking research from MSCI solves this dilemma by demonstrating that it is not only possible to backtest Expected Shortfall, but that the methodology MSCI has created is a more.

The MSCI Index was created by Morgan Stanley Capital International. Each MSCI Index measures a different aspect of global stock market performance. The MSCI indices are now managed by MSCI Barra. The MSCI World Index measures the market performance of 1,500 companies that have a global presence. It is often quoted by financial media to describe.

MSCI Barra, a leading provider of benchmark indices and risk management analytics products, has further strengthened its research capability by hiring Jose Menchero as a Senior Researcher and.

The Barra Europe Stochastic Factor Model (EURS1) is the first in a family of statistical factor models developed by MSCI. This document describes the EURS1 functionality and estimation process, with insights into market dynamics and the drivers of risk and return that EURS1 offers. The paper also provides the results of extensive backtests from 1997-2012.

MSCI Inc. (formerly Morgan Stanley Capital International and MSCI Barra), is an American finance company headquartered in New York City and serving as a global provider of equity, fixed income, hedge fund stock market indexes, and multi-asset portfolio analysis tools. It publishes the MSCI BRIC, MSCI World and MSCI EAFE Indexes.

Portfolios September 2010 September 28 2010 MSCI Barra Research Paper No 2010 32 Available at SSRN Factor Investing amp Smart Beta ETF com Find the Right ETF msci com 1 Factor Investing amp Smart Beta Raina Oberoi MSCI Market Neutral Barra Volatility MSCI Momentum MSCI’s market leading Barra Global Equity Model GEM2 Energy Equipment amp.

Scott Liu's 6 research works with 5 citations and 299 reads, including: Treatment of Fixed Transaction Costs in Barra Optimizer, April 2011.

November 25, 2008 (PLANSPONSOR.com) - MSCI Barra is expanding the MSCI Global Islamic Indexes family by extending Emerging Markets coverage to include the Small Cap segment, and by adding coverage of 16 Frontier Markets countries.

This paper describes an empirical study of shortfall optimization with Barra Extreme Risk. We compare minimum shortfall to minimum variance portfolios in the US, UK, and Japanese equity markets.

As Head of Equity Applied Research for the Americas and EMEA, Raman Aylur Subramanian conducts research on MSCI product applications, and presents the results in interactive sessions with clients. Raman joined MSCI in 1999, and has been working in a variety of research roles and is a member of MSCI Equity Index Committee. Raman has established.

Jennifer Bender of MSCI Barra has a paper from 2007 entitled: To Beta or Not to Beta: A Comparison of Historical Versus Fundamental Betas for Hedging Market Risk. She deals specifically and exclusively with which method is superior for hedging long-only portfolios. Not surprisingly, she finds that Barra's approach is better. She tests long-only.

Since joining MSCI Barra in January of 2007, Jose developed a general framework for attributing return, risk, and information ratio to custom investment factors. He also led the research team that developed the Barra Global Equity Model, GEM2. Before joining MSCI Barra, Jose was Head of Quantitative Research at Thomson Financial, where he.