MSCI Inc. (NYSE: MSCI), a leading provider of investment decision support tools worldwide, today announced the launch of a new series of single-country multi-factor models with Systematic Equity Strategies (SES), MSCI’s new approach to risk modeling. SES factors help capture previously hidden sources of risk and return that managers bet on, which result in greater transparency within portfolios. They also improve the accuracy and explanatory power of a risk model, especially during periods of economic crisis. The Barra Japan Equity Model (JPE4) is the first model in the new SES series.
“Continued market uncertainty and volatility have led to greater demand from institutional investors for better risk management and MSCI’s introduction of SES factors directly addresses this demand,” said Mehmet Bayraktar, Head of MSCI Equity Analytics Research, who led the research initiative. “With this innovative new approach to risk modeling, portfolio managers can capture unique sources of risk, especially as they relate to crowding risk, and for the first time obtain more meaningful insight into the risk and return drivers of their proprietary strategy.”
In addition to SES factors, JPE4 also includes Daily Model Update and Volatility Regime Adjustment features, which aid managers in forecasting risks that reflect the current market environment. The model also incorporates new Japanese data for better forecasting of local securities and has broad coverage of the Japanese equity market covering over 3,600 Japanese securities.
Peter Zangari, Managing Director of Equity Portfolio Management Analytics at MSCI said, “JPE4 offers an unprecedented view into new sources of risk across a broad set of securities in Japan. Its development, and the introduction of the Barra SES Series, is another important step in our mission to provide investors with the tools they seek to help them manage their portfolios.”Learn more about the Barra Japan Equity Model. 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.