In this Research Bulletin, we take a look at the performance of the BRIC countries - Brazil, Russia, India, and China - in 2009. These equity markets have experienced significant gains since the start of the year. We decompose the performance of the MSCI indices for these markets using the Barra...

Globalization has brought about a major rethinking of the equity investment. Thought leaders in the industry are questioning the merit of the existing equity allocation practices and are increasingly looking towards an integrated global equity investment process. The partitioned...

The US equity markets showed their strongest gains for any September on record in the 40-year history of the MSCI USA Index. Here, we highlight a few main observations through the lens of the Barra US Equity Model:•The Growth story was really a Technology story. •The Small Cap story was...

In this Research Bulletin, we examine market exposures to the crisis in Greece and the risk of contagion in the event of credit default swaps. The memory of 2008, and the central role played by credit derivatives, is painfully fresh. Our findings show that while plenty of risks exist, credit...

Investors face the challenge of understanding changes in risk. Did a recent increase in risk come from turnover into more aggressive positions, a spike in market volatility, or a loss of diversification? Which of the investor's positions drove the change? Which parts of the market became more...

This paper considers the changing value of the yen and its impact on the Japanese stock market during the last three decades, examining how this currency sensitivity has varied substantially across Japanese firms and during the observed period. In addition, we found the response to a rising or...

There is a continuing trend for investors to reduce their home bias in equity allocation and increase the allocation to international equities. An important consideration in move towards global investing is the impact of currencies. An adverse movement in the exchange rate can dramatically...

The Markowitz mean-variance framework is the foundation of modern portfolio theory. One problem with this approach, however, is how sample covariance matrices tend to underestimate risk. Since the biases of optimized portfolios are closely related to eigenfactor portfolios, we present a...

We investigate the relative strength of industry versus country effects in the global equity markets during the sample period 1994-2010. In particular, we examine three market segments: (a) the world market, (b) emerging markets, and (c) developed Europe. We employ a factor-based approach to...

This paper deals with fixed transaction costs in the context of portfolio optimization. These are transaction costs that do not depend on the traded amount. We show how such costs need to be taken into account during the portfolio optimization process, and describe the algorithm Barra Optimizer...