Model Insight - Barra South Africa Equity Model (ZAE4) Empirical Notes - June 2014

Jun 12, 2014

This Model Insight summarizes the methodology and empirical results for the fourth-generation Barra South Africa Equity Model (ZAE4). This paper includes extensive information on factor structure, commentary on the performance of select factors, an analysis of the explanatory power of the model, and an examination of its effectiveness in portfolio construction using minimum volatility and index tracking portfolios. It also includes a side-by-side comparison of the forecasting accuracy and backtesting performance of the ZAE4 Model and its predecessor, the Barra SAE3 Model.  The new Barra South Africa Equity Model captures the dynamics of the South African market through the latest advances in MSCI research methodology and a comprehensive factor set, including the expanded Systematic Equity Strategy (SES) factors.