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	Latest Articles

Title	Abstract
"Efficient Replication of Factor Returns", MSCI Barra Research Insights, June 2009	We present alternative methods for constructing factor mimicking portfolios in practice. We illustrate how portfolios with a limited number of assets and relatively low turnover can be used to track pure factor returns. These portfolios provide an effective instrument to support the practice of investment management. We illustrate how they can be used to hedge out unintended factor exposures of a passive benchmark thus facilitating the optimal management of beta exposure. We illustrate how they can be used to hedge out unintended factor exposures of an active strategy thus isolating pure alpha and facilitating the management of alternative sources of alpha.
"Maximizing the Sharpe Ratio and Information Ratio in the Barra Optimizer", MSCI Barra Research Insights, June 2009	In this paper we introduce a new feature of the Barra Optimizer -- the ability to maximize the Sharpe Ratio (SR) and the Information Ratio (IR). We discuss the portfolio optimization problems that focus on SR and IR, their properties and relationship to the standard mean-variance portfolio optimization problem, and the methods the Barra Optimizer utilizes to solve them.
"Shortfall in Portfolio Construction", MSCI Barra Research Bulletin, June 2009	In this bulletin we illustrate how Barra Extreme Shortfall (xShortfall), forecast from a factor model, can provide useful information that complements volatility. Shortfall is a natural guide to potential losses in extreme market conditions. Forecasting extreme risk through a multi-factor framework not only provides the advantage of more accurately reflecting the return properties of the portfolio based on up-to-date exposures, but also gives helpful information regarding portfolio exposures during extreme market turmoil.