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Barra Europe Stochastic Factor Model (EURS1) - September 2012

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Barra Europe Stochastic Factor Model (EURS1) - September 2012

Sep 4, 2012

The Barra Europe Stochastic Factor Model (EURS1) is the first in a family of statistical factor models developed by MSCI. This document describes the EURS1 functionality and estimation process, with insights into market dynamics and the drivers of risk and return that EURS1 offers.  The paper also provides the results of extensive backtests from 1997-2012.


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Research authors

  • Paul Ward
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