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Research Insight - Attribution Benefits of Aligning a Risk Model to Investment Universe - May 2014
May 20, 2014
In this Research Insight, we use the Barra Emerging Markets Model (EMM1) and the Barra Global Equity Model (GEM3) to attribute the returns of a representative set of emerging market portfolios. We show that by aligning the estimation universe with the investment universe, the EMM1 model provides a more accurate and meaningful description of emerging market portfolios.
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Research authors
- Zoltán Nagy, Executive Director, MSCI Research
- Jyh-huei Lee
- Jose Menchero