The Barra China Equity Model (CNE5) - Supplementary Notes

Jul 12, 2012

This document provides additional commentary on the results found in the CNE5 Empirical Notes.  Since 2005, the broad A-share universe in China has expanded in the number of issues by nearly 40 percent, which has had profound implications for the design of the CNE5 industry factor structure, allowing a large expansion from 24 industries in CHE2 to 32 industries in CNE5.  At the same time, the new model is more responsive to rapidly changing market conditions.   And the CNE5 Daily model is the first in a new class of equity models with a daily horizon.