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Barra US Equity Model (USE4) Empirical Notes

Model Insight The Barra US Equity Model (USE4) Empirical Notes Yang Liu Jose Menchero D. J. Orr Jun Wang September 2011 MSCI Portfolio Management Analytics 2011 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document RV May 2011 Model Insight USE4 Empirical Notes September 2011 2 of 62 Contents 1. Introduction .. 4 Model 4 2. Methodology Highlights .. 5 Optimization Bias Adjustment .. 5 Volatility Regime Adjustment .. 5 Country 6 Specific Risk Model with Bayesian Shrinkage .. 6 3. Factor Structure Overview .. 7 Estimation 7 Industry Factors .. 7 Multiple Industry Exposures.

A potential shortcoming of the pure time-series approach is that specific volatilities may not fully persist out-of-sample. In fact, as shown in the USE4 Methodology Notes, there is a tendency for time-series volatility forecasts to overpredict the specific risk of high-volatility stocks, and underpredict the risk of low-volatility stocks.

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