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The Barra US Equity Model (USE4)

Model InsightThe Barra US Equity Model ( use4 ) Methodology Notes Jose Menchero Orr Jun Wang August 2011 MSCI Research 2011 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document RV May 2011 Model InsightUSE4 MethodologyAugust 2011 2of 44 Contents 1. Introduction .. 3 Model Highlights .. 3 Modern portfolio Theory and Barra Risk Models: A Brief History .. 3 Forecasting portfolio Risk with Factor Models .. 6 2. Factor Exposures .. 7 General Considerations .. 7 Data Quality and Outlier Treatment .. 8 Style Exposures .. 9 Industry Factors .. 9 Multiple-Industry Exposures .. 10 3. Factor Returns .. 13 Country Factor .. 13 Relation to Traditional Approach.

For modeling global portfolios, an important milestone came in 1989 with the development of the first Barra Global Equity Risk Model (GEM). This model was estimated via monthly cross-sectional regressions using countries, industries, and styles as explanatory factors, as described by Grinold, Rudd, and Stefek (1989).

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