Horizon Archive
Horizon is a research newsletter from MSCI Barra, featuring articles and papers written by MSCI Barra's Analytics Research Team, and a listing of recently published articles. The last issue of Horizon was published in Q1 of 2008. You can now stay on top of our latest research by registering to Research News.
16 Published Papers
"Q1 2008", MSCI Barra Horizon Newsletter
Factoring Shortfall: An Alternative to a Normal Model of Return
130/30 Implementation Challenges
Risk Management for Hedge Funds
Publication: MSCI Barra Horizon Newsletter
"Q3/Q4 2007", MSCI Barra Horizon Newsletter
Macroeconomic Factors in a Fundamental World
International Investing: Managing Multiple Layers of Alpha
To Beta or Not to Beta: A Comparison of Historical Versus Fundamental Betas for Hedging Market Risk
Stress Testing in a Multi-Factor Framework
Publication: MSCI Barra Horizon Newsletter
"Summer 2006", MSCI Barra Horizon Newsletter
Equity Risk Modeling: A Comparison of Factor Models
Explaining Default Swap Variation
A Prepayment Model for the Danish MBB Market
Dynamic Volatility and Its Implications for Portfolio Management
Publication: MSCI Barra Horizon Newsletter
"Summer 2005", MSCI Barra Horizon Newsletter
Different Portfolio Construction Methods in an Uncertain World
Why Accurate Stock Specific Risk Modeling Matters
Dynamic Volatility in the Japanese Equities Market and its Impact on Active Portfolio Management.
Improved Risk Forecasting for Emerging Equity Markets Using Higher Frequency Data
Publication: MSCI Barra Horizon Newsletter
"Spring 2005", MSCI Barra Horizon Newsletter
New United Kingdom Equity Model
Correlations in Global Credit Markets
The Long Term US Equity Model — Practical Comparisons for Model Transition
Active Global Equity Management with the BarraOne Optimizer and the Barra Integrated Model
Publication: MSCI Barra Horizon Newsletter
"Winter 2004", MSCI Barra Horizon Newsletter
Improving Performance with Credit Default Swaps
Introduction to the Barra Probability Model
The Barra Integrated Model: A Breakthrough in Modeling Global Equity
Publication: MSCI Barra Horizon Newsletter
"Autumn 2004", MSCI Barra Horizon Newsletter
The Challenges of Declining Cross-Sectional Volatility
The Barra Integrated Model,Version 203:
Implications for Risk Forecasts
Merton and Beyond – The State of the Art in Credit Modeling and Trading
Publication: MSCI Barra Horizon Newsletter
"Spring 2004", MSCI Barra Horizon Newsletter
Empirical Credit Risk
The Barra Multiple-Horizon Equity Model
The Barra Integrated Model: The Next Generation of Global Risk Models
Rising Betas in the US Short-Term Model
Publication: MSCI Barra Horizon Newsletter
"Autumn 2003", MSCI Barra Horizon Newsletter
Flexible Performance Attribution
Six Steps to Better Credit Returns
Publication: MSCI Barra Horizon Newsletter
"Spring 2003", MSCI Barra Horizon Newsletter
The Barra Integrated Model, Part Two
Spending the Risk Budget Wisely
Publication: MSCI Barra Horizon Newsletter
"Fall 2002", MSCI Barra Horizon Newsletter
Market Implied Ratings
The Barra Integrated Model, Part One
Barra's Global Credit Spread Model in Use
Publication: MSCI Barra Horizon Newsletter
"Spring 2002", MSCI Barra Horizon Newsletter
Currency Dependency in Global Markets
Aggregating Risk Across Multiple Asset Classes: Chapter Two
Long-Short Equity Investing
Publication: MSCI Barra Horizon Newsletter
"Summer 2001", MSCI Barra Horizon Newsletter
On the Relation Between Mortgage Rates, Swap, and Treasury Rates
Aggregating Risk Across Multiple Asset Classes
European Credit: The Pfandbrief Market
Publication: MSCI Barra Horizon Newsletter
"Summer 2000", MSCI Barra Horizon Newsletter
The Mechanics of Market Neutral in The Barra Aegis System
EMU Local Market Override
Publication: MSCI Barra Horizon Newsletter
"Winter 1999", MSCI Barra Horizon Newsletter
Estimation of the European Equity Model
European Bond and Currency Markets in Anticipation of Monetary Union
Volatile Markets and Barra Models
The Case for Market Neutral, Part One
Publication: MSCI Barra Horizon Newsletter
"Fall 1998", MSCI Barra Horizon Newsletter
Developing and Implementing Risk Management Systems
Case Study: Technology Solutions for Central Risk Management
American Depository Receipts in the Global Equity Model
Analyzing the Performance of Crossing Networks
The Market Impact Model - Testing the Market Impact Model, Part Four
Publication: MSCI Barra Horizon Newsletter
