New Australian Equity Model Provides Portfolio Managers with Insight on Risk and Return
13 Maio 2012 - 7:00PM
Business Wire
MSCI Inc. (NYSE: MSCI), a leading provider of investment
decision support tools worldwide, announced today the launch of the
Barra Australia Equity Model (AUE4), designed to rapidly adjust to
market trends and shocks while providing portfolio managers with a
more intuitive understanding of what is driving risk and returns in
the Australian equity market.
Chief investment officers, portfolio managers, researchers and
risk managers working with Australian equity portfolios can now
benefit from enhanced style factors that provide detailed forecasts
for long-only or long-short portfolios alike. By incorporating the
new Volatility Regime Adjustment methodology, which calibrates
volatility forecasts to current levels, Barra AUE4 provides more
responsive model forecasts, improved risk and performance analysis
and insight into the investment process.
Senior Portfolio Manager, Todd Kennedy, of Plato Investment
Management Limited in Australia said, “The new Barra AUE4 model
gives us a risk management tool that adapts to changing market
volatility automatically. This allows us to build investment
strategies that deliver an expected amount of active risk, and
ensures that we make good on the risk targets despite changing
market conditions.”
“The addition of new risk factors gives us insights into sources
of portfolio risk not previously available such as currency risk,
an important driver of earnings in Australia for many companies.
Beta and residual volatility risk factors give us new tools to
construct low volatility strategies that have excellent defensive
characteristics in crisis periods,” he added.
“AUE4 provides an important advancement in risk model design and
construction,” said Peter Zangari, Managing Director of Equity
Portfolio Management Analytics at MSCI. “Equity risk models help
our clients identify key sources of risk in their portfolios. As
such, they help guide investment. MSCI is always focused on what’s
coming next, what our clients’ needs are and what’s happening in
the marketplace. This helps us continue to build next-generation
models and innovate.”
For more information on the Barra AUE4 Equity Model, please
visit msci.com.
-Ends-
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
indices, portfolio risk and performance analytics, and governance
tools.
The company’s flagship product offerings are: the MSCI indices
with approximately USD 7 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; ISS governance research and
outsourced proxy voting and reporting services; FEA valuation
models and risk management software for the energy and commodities
markets; and CFRA forensic accounting risk research,
legal/regulatory risk assessment, and due‐diligence. MSCI is
headquartered in New York, with research and commercial offices
around the world.
1As of June 30, 2011, based on eVestment, Lipper and Bloomberg
data
For further information on MSCI, please visit our web site
at www.msci.com
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