The Barra China Equity Model (CNE5) - Empirical Notes

Jul 12, 2012

This document provides empirical results for the new Barra China Equity Model (CNE5), including extensive information on the structure, the performance, and the explanatory power of the factors. These notes also include a thorough side-by-side comparison of the forecasting accuracy of the CNE5 Model and the CHE2 Model, its predecessor.  The CNE5 Model leverages the same methodologies used for the Barra US Equity Model (USE4); these details can be found in the companion document: USE4 Methodology Notes by Menchero, Orr and Wang (2011).