理解MSCI||Barra起源及现状

• www.mscibarra.com

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

  Initially the company used eight factors in developing its indexes: momentum, volatility, value, size, growth, size nonlinearity, liquidity, and financial leverage.

  In 2018 MSCI announced it would begin including mainland Chinese “A” shares in its Emerging Markets Index.

  Barra是MSCI的子公司。

• Barra Risk Factor Analysis

  The Barra Risk Factor Analysis was pionerred by Bar Rosenberg, founder of Barra Inc., and is discussed at length in Grinold and Kahn(2000), Conner etal(2010) and Carino et al(2010).

• Barra’s Risk Models

  Barra is the leading provider of global investment decision support tools and innovative risk management technology.

  Barra products are a combination of advanced technology and superior analytics, reserach, models, and data that provide clients around the world with comprehensive risk management solutions.

  Barra uses the best data available to develop econometric financial models. In turn, these models are the basis of software products designed to enhance portfolio performance through returns forecasting, risk analysis, portfolio construction, transaction cost analysis, and historical performance attribution.

  With more than 80 researchers in offices around the world and products that cover most of the world’s traded securities, Barra maintains one of the stongest risk management research practices in the world today.

  Barra risk models are products of a thorough and exacting model estimation process.