Horizon

Horizon is a research newsletter from MSCI Barra, featuring the latest articles and papers written by MSCI Barra's Analytics Research Team, and a listing of recently published articles. The latest issue of Horizon is available below, along with archived issues.

Date Topics Q1 2008 Factoring Shortfall: An Alternative to a Normal Model of Return 130/30 Implementation Challenges Risk Management for Hedge Funds Q3/Q4 2007 Macroeconomic Factors in a Fundamental World International Investing: Managing Multiple Layers of Alpha To Beta or Not to Beta: A Comparison of Historical Versus Fundamental Betas for Hedging Market Risk Stress Testing in a Multi-Factor Framework Summer 2006 Equity Risk Modeling: A Comparison of Factor Models Explaining Default Swap Variation A Prepayment Model for the Danish MBB Market Dynamic Volatility and Its Implications for Portfolio Management Summer 2005 Different Portfolio Construction Methods in an Uncertain World Why Accurate Stock Specific Risk Modeling Matters Dynamic Volatility in the Japanese Equities Market and its Impact on Active Portfolio Management. Improved Risk Forecasting for Emerging Equity Markets Using Higher Frequency Data Spring 2005 New United Kingdom Equity Model Correlations in Global Credit Markets The Long Term US Equity Model — Practical Comparisons for Model Transition Active Global Equity Management with the BarraOne Optimizer and the Barra Integrated Model Autumn 2004 The Challenges of Declining Cross-Sectional Volatility The Barra Integrated Model,Version 203: Implications for Risk Forecasts Merton and Beyond – The State of the Art in Credit Modeling and Trading Spring 2004 Empirical Credit Risk The Barra Multiple-Horizon Equity Model The Barra Integrated Model: The Next Generation of Global Risk Models Rising Betas in the US Short-Term Model Winter 2004 Improving Performance with Credit Default Swaps Introduction to the Barra Probability Model The Barra Integrated Model: A Breakthrough in Modeling Global Equity Autumn 2003 Flexible Performance Attribution Six Steps to Better Credit Returns Spring 2003 The Barra Integrated Model, Part Two Spending the Risk Budget Wisely Fall 2002 Market Implied Ratings The Barra Integrated Model, Part One Barra's Global Credit Spread Model in Use Spring 2002 Currency Dependency in Global Markets Aggregating Risk Across Multiple Asset Classes: Chapter Two Long-Short Equity Investing Summer 2001 On the Relation Between Mortgage Rates, Swap, and Treasury Rates Aggregating Risk Across Multiple Asset Classes European Credit: The Pfandbrief Market Summer 2000 The Mechanics of Market Neutral in The Barra Aegis System EMU Local Market Override Winter 1999 Estimation of the European Equity Model European Bond and Currency Markets in Anticipation of Monetary Union Volatile Markets and Barra Models The Case for Market Neutral, Part One Fall 1998 Developing and Implementing Risk Management Systems Case Study: Technology Solutions for Central Risk Management American Depository Receipts in the Global Equity Model Analyzing the Performance of Crossing Networks The Market Impact Model - Testing the Market Impact Model, Part Four