Asia Pacific Equity Model (ASE1) Research Notes

Apr 2, 2010

From a modeling perspective, the heterogeneous character of the Asia Pacific region poses a particular challenge. The Barra ASE1 model takes this heterogeneity into account, striking an attractive balance between broad coverage and local detail. It provides regional market, industry, and style factors that help institutional investors compare drivers of risk on a pan-regional scale. Where necessary, the model adds local style and industry factors to enhance the explanatory power. Consequently, ASE1 is equally applicable to diversified Asia Pacific and more concentrated portfolios that span only a few countries within Asia Pacific. This makes ASE1 an excellent choice for portfolios benchmarked against indices such as MSCI EM Far East IMI, MSCI AC Pacific ex Japan, MSCI EM Asia IMI, or MSCI Broad China.

ASE1 is published in three versions to serve various coverage needs. ASE1JPN is the most comprehensive version. It includes Japan, and its dual-industry structure helps to compare the drivers of risk between the Japanese and Asia Pacific ex Japan markets. The ASE1XJP version excludes Japan but is otherwise identical to the comprehensive version. The ASE1XJC version offers somewhat reduced coverage and detail: it excludes the China Domestic and Japanese markets and does not provide local style and industry factors.