USE4_Empirical_Notes
上传者:孙希延|上传时间:2015-05-10|密次下载
USE4_Empirical_Notes
use model
Model Insight
The Barra US Equity Model (USE4) Empirical Notes
Yang Liu
Jose Menchero
D. J. Orr
Jun Wang
September 2011
http://wendang.chazidian.com
内容需要下载文档才能查看
use model
内容需要下载文档才能查看
Model Insight USE4 Empirical Notes September 2011
Contents
1. Introduction ........................................................................... 4
1.1. Model Highlights.............................................................................................. 4 2. Methodology Highlights ........................................................ 5
2.1. Optimization Bias Adjustment ....................................................................... 5
2.2. Volatility Regime Adjustment ......................................................................... 5
2.3. Country Factor.................................................................................................. 6
2.4. Specific Risk Model with Bayesian Shrinkage ............................................... 6 3. Factor Structure Overview .................................................... 7
3.1. Estimation Universe......................................................................................... 7
3.2. Industry Factors ............................................................................................... 7
3.3. Multiple Industry Exposures ........................................................................ 13
3.4. Style Factors .................................................................................................. 15
3.5. Performance of Select Factors..................................................................... 17 4. Model Characteristics and Properties ................................ 22
4.1. Country and Industry Factors ...................................................................... 22
4.2. Style Factors .................................................................................................. 25
4.3. Explanatory Power ....................................................................................... 27
4.4. Cross-Sectional Dispersion ........................................................................... 28
4.5. Specific Risk .................................................................................................... 32 5. Forecasting Accuracy........................................................... 34
5.1. Overview of Testing Methodology ............................................................. 34
5.2. Backtesting Results ....................................................................................... 37 6. Conclusion ........................................................................... 50
Appendix A: Descriptors by Style Factor ................................. 51
Beta ........................................................................................................................... 51
Momentum .............................................................................................................. 51
Size ............................................................................................................................. 51
Earnings Yield ........................................................................................................... 52
MSCI Portfolio Management Analytics © 2011 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document 2 of 62 http://wendang.chazidian.com
RV May 2011
use model
内容需要下载文档才能查看
Model Insight USE4 Empirical Notes September 2011
Residual Volatility ..................................................................................................... 52
Growth ...................................................................................................................... 53
Dividend Yield ........................................................................................................... 53
Book-to-Price ............................................................................................................ 53
Leverage .................................................................................................................... 54
Liquidity ..................................................................................................................... 55
Non-linear Size .......................................................................................................... 55
Non-linear Beta ........................................................................................................ 55
Appendix B: Decomposing RMS Returns ................................ 56
Appendix C: Review of Bias Statistics ...................................... 57
C1. Single-Window Bias Statistics .......................................................................... 57
C2. Rolling-Window Bias Statistics ......................................................................... 58
REFERENCES ............................................................................. 61
MSCI Portfolio Management Analytics © 2011 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document 3 of 62 http://wendang.chazidian.com
RV May 2011
use model
内容需要下载文档才能查看
Model Insight USE4 Empirical Notes September 2011
1. Introduction
1.1. Model Highlights
This document provides empirical results and analysis for the new Barra US Equity Model (USE4). These notes include 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 the statistical
significance of the factors. Furthermore, these notes also include a thorough side-by-side comparison of the forecasting accuracy of the USE4 Model and the USE3 Model, its predecessor. The methodological details underpinning the USE4 Model may be found in the companion document: USE4 Methodology Notes, described by Menchero, Orr, and Wang (2011).
Briefly, the main advances of USE4 are:
? An innovative Optimization Bias Adjustment that improves risk forecasts for optimized portfolios by reducing the effects of sampling error on the factor covariance matrix
? A Volatility Regime Adjustment designed to calibrate factor volatilities and specific risk forecasts to current market levels
? The introduction of a country factor to separate the pure industry effect from the overall market and provide timelier correlation forecasts
? A new specific risk model based on daily asset-level specific returns
? A Bayesian adjustment technique to reduce specific risk biases due to sampling error
? A uniform responsiveness for factor and specific components, providing greater stability in sources of portfolio risk
? A set of multiple industry exposures based on the Global Industry Classification Standard (GICS®) ? An independent validation of production code through a double-blind development process to assure consistency and fidelity between research code and production code
? A daily update for all components of the model
The USE4 Model is offered in short-term (USE4S) and long-term (USE4L) versions. The two versions have identical factor exposures and factor returns, but differ in their factor covariance matrices and specific risk forecasts. The USE4S Model is designed to be more responsive and provide more accurate forecasts at a monthly prediction horizon. The USE4L model is designed for longer-term investors willing to trade some degree of accuracy for greater stability in risk forecasts. MSCI Portfolio Management Analytics © 2011 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document 4 of 62 http://wendang.chazidian.com
RV May 2011
use model
内容需要下载文档才能查看
Model Insight USE4 Empirical Notes September 2011
2. Methodology Highlights
2.1. Optimization Bias Adjustment
One significant bias of risk models is the tendency to underpredict the risk of optimized portfolios, as demonstrated empirically by Muller (1993). More recently, Shepard (2009) derived an analytic result for the magnitude of the bias, showing that the underforecasting becomes increasingly severe as the
number of factors grows relative to the number of time periods used to estimate the factor covariance matrix. The basic source of this bias is estimation error. Namely, spurious correlations may cause certain stocks to appear as good hedges in-sample, while these hedges fail to perform as effectively out-of-sample.
An important innovation in the USE4 Model is the identification of portfolios that capture these biases and to devise a procedure for correcting these biases directly within the factor covariance matrix. As shown by Menchero, Wang, and Orr (2011), the eigenfactors of the sample covariance matrix are systematically biased. More specifically, the sample covariance matrix tends to tends to underpredict the risk of low-volatility eigenfactors, while overpredicting the risk of high-volatility eigenfactors. Furthermore, removing the biases of the eigenfactors essentially removes the biases of optimized portfolios.
In the context of the USE4 Model, eigenfactors represent portfolios of the original pure factors. The eigenfactor portfolios, however, are special in the sense that they are mutually uncorrelated. Also note that the number of eigenfactors equals the number of pure factors within the model.
As described in the USE4 Methodology Notes, we estimate the biases of the eigenfactors by Monte Carlo simulation. We then adjust the predicted volatilities of the eigenfactors to correct for these biases. This procedure has the benefit of building the corrections directly into the factor covariance matrix, while fully preserving the meaning and intuition of the pure factors.
2.2. Volatility Regime Adjustment
Another major source of risk model bias is due to the fact that volatilities are not stable over time, a characteristic known as non-stationarity. Since risk models must look backward to make predictions about the future, they exhibit a tendency to underpredict risk in times of rising volatility, and to overpredict risk in times of falling volatility.
Another important innovation in the USE4 Model is the introduction of a Volatility Regime Adjustment for estimating factor volatilities. As described in the USE4 Methodology Notes, the Volatility Regime Adjustment relies on the notion of a cross-sectional bias statistic, which may be interpreted as an instantaneous measure of risk model bias for that particular day. By taking a weighted average of this quantity over a suitable interval, the non-stationarity bias can be significantly reduced.
Just as factor volatilities are not stable across time, the same holds for specific risk. In the USE4 Model, we apply the same Volatility Regime Adjustment technique for specific risk. We estimate the adjustment by computing the cross-sectional bias statistic for the specific returns.
MSCI Portfolio Management Analytics © 2011 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document 5 of 62 http://wendang.chazidian.com
RV May 2011
下载文档
热门试卷
- 2016年四川省内江市中考化学试卷
- 广西钦州市高新区2017届高三11月月考政治试卷
- 浙江省湖州市2016-2017学年高一上学期期中考试政治试卷
- 浙江省湖州市2016-2017学年高二上学期期中考试政治试卷
- 辽宁省铁岭市协作体2017届高三上学期第三次联考政治试卷
- 广西钦州市钦州港区2016-2017学年高二11月月考政治试卷
- 广西钦州市钦州港区2017届高三11月月考政治试卷
- 广西钦州市钦州港区2016-2017学年高一11月月考政治试卷
- 广西钦州市高新区2016-2017学年高二11月月考政治试卷
- 广西钦州市高新区2016-2017学年高一11月月考政治试卷
- 山东省滨州市三校2017届第一学期阶段测试初三英语试题
- 四川省成都七中2017届高三一诊模拟考试文科综合试卷
- 2017届普通高等学校招生全国统一考试模拟试题(附答案)
- 重庆市永川中学高2017级上期12月月考语文试题
- 江西宜春三中2017届高三第一学期第二次月考文科综合试题
- 内蒙古赤峰二中2017届高三上学期第三次月考英语试题
- 2017年六年级(上)数学期末考试卷
- 2017人教版小学英语三年级上期末笔试题
- 江苏省常州西藏民族中学2016-2017学年九年级思想品德第一学期第二次阶段测试试卷
- 重庆市九龙坡区七校2016-2017学年上期八年级素质测查(二)语文学科试题卷
- 江苏省无锡市钱桥中学2016年12月八年级语文阶段性测试卷
- 江苏省无锡市钱桥中学2016-2017学年七年级英语12月阶段检测试卷
- 山东省邹城市第八中学2016-2017学年八年级12月物理第4章试题(无答案)
- 【人教版】河北省2015-2016学年度九年级上期末语文试题卷(附答案)
- 四川省简阳市阳安中学2016年12月高二月考英语试卷
- 四川省成都龙泉中学高三上学期2016年12月月考试题文科综合能力测试
- 安徽省滁州中学2016—2017学年度第一学期12月月考高三英语试卷
- 山东省武城县第二中学2016.12高一年级上学期第二次月考历史试题(必修一第四、五单元)
- 福建省四地六校联考2016-2017学年上学期第三次月考高三化学试卷
- 甘肃省武威第二十三中学2016—2017学年度八年级第一学期12月月考生物试卷
网友关注
- Windows注册表全解
- Windows Server 2003搭建流媒体服务器
- 第二章 Windows XP操作系统及其应用
- h3c wx系列无线控制器与windows ias配合实现用户acl属性的下发典型配置案例
- 802.1X in Windows(PPT-32)
- 毕业设计__Windows_Mobile_个人管家软件设计
- windows 7巧借网络平台赢口碑(选自实战商业智慧)
- 第7章Windows 98中文版的使用
- Windows操作系统概述
- windows常见进程
- Windows 2003 Server 技术文章
- Windows_Server2003的安全管理
- windows 7安装过程
- 微软Windows 8支持“早期启动反病毒功能”
- U盘杀毒,U盘专杀软件,U盘数据恢复软件等网络上大部分
- 在PC上运行WINDOWS CE
- Windows注册表全解
- Windows域与802.1X
- 适用于DELL POWEREDGE 系统的MICROSOFT WINDOWS SERVER 2012 安装 ...
- Windows操作系统学习平台
- Windows System Programming(PPT-45)
- Windows_Server_2003 实验指导书
- Windows技巧大全
- 办公软件应用技巧-课程简介及Windows操作系统等
- [图鉴]Windows 8 Metro 界面多幅概念图赏
- U盘安装Windows 7系统方法
- Windows Vista局域网共享问题全攻略
- 第五章 Windows Server 2003磁盘管理
- Windows 7操作系统使用文档
- Windows 2003 操作系统下MMS服务器安装配置
网友关注视频
- 外研版英语三起5年级下册(14版)Module3 Unit2
- 苏科版数学八年级下册9.2《中心对称和中心对称图形》
- 二年级下册数学第三课 搭一搭⚖⚖
- 沪教版八年级下册数学练习册21.3(2)分式方程P15
- 北师大版八年级物理下册 第六章 常见的光学仪器(二)探究凸透镜成像的规律
- 二年级下册数学第一课
- 北师大版数学四年级下册3.4包装
- 冀教版英语五年级下册第二课课程解读
- 【部编】人教版语文七年级下册《泊秦淮》优质课教学视频+PPT课件+教案,广东省
- 《小学数学二年级下册》第二单元测试题讲解
- 第19课 我喜欢的鸟_第一课时(二等奖)(人美杨永善版二年级下册)_T644386
- 冀教版小学英语五年级下册lesson2教学视频(2)
- 六年级英语下册上海牛津版教材讲解 U1单词
- 二次函数求实际问题中的最值_第一课时(特等奖)(冀教版九年级下册)_T144339
- 沪教版牛津小学英语(深圳用) 四年级下册 Unit 4
- 沪教版牛津小学英语(深圳用) 四年级下册 Unit 3
- 苏科版数学七年级下册7.2《探索平行线的性质》
- 冀教版小学数学二年级下册第二单元《租船问题》
- 8.对剪花样_第一课时(二等奖)(冀美版二年级上册)_T515402
- 第8课 对称剪纸_第一课时(二等奖)(沪书画版二年级上册)_T3784187
- 二年级下册数学第二课
- 七年级英语下册 上海牛津版 Unit5
- 冀教版小学数学二年级下册第二单元《有余数除法的简单应用》
- 【部编】人教版语文七年级下册《逢入京使》优质课教学视频+PPT课件+教案,安徽省
- 冀教版英语三年级下册第二课
- 沪教版八年级下册数学练习册21.3(3)分式方程P17
- 【部编】人教版语文七年级下册《泊秦淮》优质课教学视频+PPT课件+教案,辽宁省
- 北师大版小学数学四年级下册第15课小数乘小数一
- 化学九年级下册全册同步 人教版 第18集 常见的酸和碱(二)
- 19 爱护鸟类_第一课时(二等奖)(桂美版二年级下册)_T502436
精品推荐
- 2016-2017学年高一语文人教版必修一+模块学业水平检测试题(含答案)
- 广西钦州市高新区2017届高三11月月考政治试卷
- 浙江省湖州市2016-2017学年高一上学期期中考试政治试卷
- 浙江省湖州市2016-2017学年高二上学期期中考试政治试卷
- 辽宁省铁岭市协作体2017届高三上学期第三次联考政治试卷
- 广西钦州市钦州港区2016-2017学年高二11月月考政治试卷
- 广西钦州市钦州港区2017届高三11月月考政治试卷
- 广西钦州市钦州港区2016-2017学年高一11月月考政治试卷
- 广西钦州市高新区2016-2017学年高二11月月考政治试卷
- 广西钦州市高新区2016-2017学年高一11月月考政治试卷
分类导航
- 互联网
- 电脑基础知识
- 计算机软件及应用
- 计算机硬件及网络
- 计算机应用/办公自动化
- .NET
- 数据结构与算法
- Java
- SEO
- C/C++资料
- linux/Unix相关
- 手机开发
- UML理论/建模
- 并行计算/云计算
- 嵌入式开发
- windows相关
- 软件工程
- 管理信息系统
- 开发文档
- 图形图像
- 网络与通信
- 网络信息安全
- 电子支付
- Labview
- matlab
- 网络资源
- Python
- Delphi/Perl
- 评测
- Flash/Flex
- CSS/Script
- 计算机原理
- PHP资料
- 数据挖掘与模式识别
- Web服务
- 数据库
- Visual Basic
- 电子商务
- 服务器
- 搜索引擎优化
- 存储
- 架构
- 行业软件
- 人工智能
- 计算机辅助设计
- 多媒体
- 软件测试
- 计算机硬件与维护
- 网站策划/UE
- 网页设计/UI
- 网吧管理