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Model Insight - Barra North America Stochastic Factor Model (NAMS1) Highlights - February 2013

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Model Insight - Barra North America Stochastic Factor Model (NAMS1) Highlights - February 2013

Feb 24, 2013

The Barra North America Stochastic Factor Model (NAMS1) is the second in a family of statistical factor models developed by MSCI, following the launch of the Barra Europe Stochastic Factor Model (EURS1) in September 2012. This overview document succinctly describes the NAMS1 specifications and provides the results of extensive backtests from 1995-2012.


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Research authors

  • Andrei Morozov, Executive Director, Equity Factor Modeling Research
  • Imre Balint
  • Paul Ward
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