UKE7, Barra's new model of UK equity risk, has much in common with UKE6. It incorporates all of UKE6's innovations, and refines one, the thin industry correction. The principal difference is in the industry schemes, with UKE6 using FTSE's GCS scheme and UKE7 basing its scheme on the sub-industries of the MSCI/S&P GICS scheme. The performance of the models, in terms of the accuracy of their risk forecasts, is comparable. Users should expect to see risk forecasts of similar magnitude in the two models. While we will continue to produce UKE6, our continuing research on the UK equity market will be based on UKE7.
Publication: MSCI Barra Newsletter
Authors: CURDS Ross, GILFEDDER Neil
