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Equity Model Details

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Research notes
  Model Short code Long code Risk Indices Industries Products Assets Est Univ Data Inception Features More Info
Argentina   ARE1 more 7 less
  1. Index Flag
  2. Size
  3. Yield
  4. Momentum
  5. Market Sensitivity
  6. Volatility
  7. Value
more 12 less
  1. Energy Sources
  2. Utilities-Electrical and Gas
  3. Metals-Steel
  4. Construction and Housing
  5. Appliances and Household Durables
  6. Automobiles
  7. Beverages and Tobacco
  8. Merchandising
  9. Banking
  10. Financial Services
  11. Multi-Industry
  12. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
128 Buenos Aires Stock Exchange moreCommon stocks listed on Buenos Aires Stock Exchange, excluding foreign assets less Oct-97b
  • Exp. matrix(12)d
datasheet
Asia Pacific Long and Short AC
AD
ASE1LJPN ASE1SJPN
  •  
    • Regional (8)
      • Volatility
      • Momentum
      • Size
      • Liquidity
      • Value
      • Growth
      • Leverage
      • Foreign Sensitivity
    • Local (21)
      • Pacific
        • Momentum
        • Size
        • Volatility
      • East Asia Developed & China International
        • Momentum
        • Size
        • Volatility
      • East Asia Emerging
        • Momentum
        • Size
        • Volatility
      • Southeast Asia
        • Momentum
        • Size
        • Volatility
      • South Asia
        • Momentum
        • Size
        • Volatility
      • Japan
        • Momentum
        • Size
        • Volatility
      • China
        • Momentum
        • Size
        • Volatility
  •  
    • Regional ex Japan (23)
      • Energy
      • Chemicals
      • Other Materials
      • Metals & Mining
      • Other Capital Goods
      • Building Prod., Constr. & Engin.
      • Airlines & Marine
      • Transport & Commercial Services
      • Automobiles & Components
      • Household, Retailing, Leisure, Hotels
      • Media
      • Consumer Staples
      • Healthcare & Pharmaceuticals
      • Banks
      • Diversified Financials
      • Insurance
      • Real Estate
      • Software & Services
      • Computers & Communication Equip.
      • Electronic Equip. & Comp.
      • Semiconductors & Equipment
      • Telecommunication Services
      • Utilities
    • Japan (23)
      • Energy
      • Chemicals
      • Other Materials
      • Metals & Mining
      • Other Capital Goods
      • Building Prod., Constr. & Engin.
      • Airlines & Marine
      • Transport & Commercial Services
      • Automobiles & Components
      • Household, Retailing, Leisure, Hotels
      • Media
      • Consumer Staples
      • Healthcare & Pharmaceuticals
      • Banks
      • Diversified Financials
      • Insurance
      • Real Estate
      • Software & Services
      • Computers & Communication Equip.
      • Electronic Equip. & Comp.
      • Semiconductors & Equipment
      • Telecommunication Services
      • Utilities
    • China A (10)
      • Energy
      • Other Materials
      • Metals & Mining
      • Capital Goods
      • Transport & Services
      • Consumer Discretionary
      • Consumer Staples Healthcare Utilities
      • Financials
      • Real Estate
      • Technology
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
21,600 MSCI AC Asia Pacific IMI moreBased primarily on the MSCI All Country (AC) Asia Pacific Investable Market Index (IMI) less Jan-95
  • GICS®-based industries
  • Daily price/share updates
  • Daily risk updates
  • Time series, structural, and hybrid specific risk model
datasheetdatasheetdatasheetresearch_notes
Asia Pacific ex Japan Long and Short AA
AB
ASE1LXJP ASE1SXJP
  •  
    • Regional (8)
      • Volatility
      • Momentum
      • Size
      • Liquidity
      • Value
      • Growth
      • Leverage
      • Foreign Sensitivity
    • Local (18)
      • Pacific
        • Momentum
        • Size
        • Volatility
      • East Asia Developed & China International
        • Momentum
        • Size
        • Volatility
      • East Asia Emerging
        • Momentum
        • Size
        • Volatility
      • Southeast Asia
        • Momentum
        • Size
        • Volatility
      • South Asia
        • Momentum
        • Size
        • Volatility
      • China
        • Momentum
        • Size
        • Volatility
    • Regional (23)
      • Energy
      • Chemicals
      • Other Materials
      • Metals & Mining
      • Other Capital Goods
      • Building Prod., Constr. & Engin.
      • Airlines & Marine
      • Transport & Commercial Services
      • Automobiles & Components
      • Household, Retailing, Leisure, Hotels
      • Media
      • Consumer Staples
      • Healthcare & Pharmaceuticals
      • Banks
      • Diversified Financials
      • Insurance
      • Real Estate
      • Software & Services
      • Computers & Communication Equip.
      • Electronic Equip. & Comp.
      • Semiconductors & Equipment
      • Telecommunication Services
      • Utilities
    • China A (10)
      • Energy
      • Other Materials
      • Metals & Mining
      • Capital Goods
      • Transport & Services
      • Consumer Discretionary
      • Consumer Staples Healthcare Utilities
      • Financials
      • Real Estate
      • Technology
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
17,700 MSCI AC Asia Pacific IMI ex Japan moreBased primarily on the MSCI All Country (AC) Asia Pacific Investable Market Index (IMI) excluding assets in the Japan market less Jan-95
  • GICS®-based industries
  • Daily price/share updates
  • Daily risk updates
  • Time series, structural, and hybrid specific risk model
datasheetdatasheetdatasheetresearch_notes
Asia Pacific ex Japan and China A Long and Short AE
AF
ASE1LXJC ASE1SXJC
  • 8
    • Volatility
    • Momentum
    • Size
    • Liquidity
    • Value
    • Growth
    • Leverage
    • Foreign Sensitivity
  • 23
    • Energy
    • Chemicals
    • Other Materials
    • Metals & Mining
    • Other Capital Goods
    • Building Prod., Constr. & Engin.
    • Airlines & Marine
    • Transport & Commercial Services
    • Automobiles & Components
    • Household, Retailing, Leisure, Hotels
    • Media
    • Consumer Staples
    • Healthcare & Pharmaceuticals
    • Banks
    • Diversified Financials
    • Insurance
    • Real Estate
    • Software & Services
    • Computers & Communication Equip.
    • Electronic Equip. & Comp.
    • Semiconductors & Equipment
    • Telecommunication Services
    • Utilities
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
15,800 MSCI AC Asia Pacific IMI ex Japan and & China Domestic moreBased primarily on the MSCI All Country (AC) Asia Pacific Investable Market Index (IMI) excluding assets in the Japan and China Domestic markets less Jan-95
  • GICS®-based industries
  • Daily price/share updates
  • Daily risk updates
  • Time series, structural, and hybrid specific risk model
datasheetdatasheetdatasheetresearch_notes
Australia A3 AUE3 more 9 less
  1. Volatility
  2. Size
  3. Momentum
  4. Trading Activity
  5. Value
  6. Growth
  7. Leverage
  8. Foreign Exposure
  9. Non-estimation Flag
more 14 less
  1. Energy
  2. Materials ex Metals & Mining
  3. Metals & Mining ex Gold
  4. Gold
  5. Consumer Discretionary ex Media
  6. Media
  7. Financials ex Property Trusts
  8. Property Trusts
  9. Industrials
  10. Consumer Staples
  11. Health Care
  12. Utilities
  13. Information Technology
  14. Telecommunication Services
  • Aegis
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
1,400 S&P/ASX 300 moreAfter Apr 2000: S&P/ASX 300. Before Apr 2000: ASX All Ordinaries Index less Oct-97b
  • Daily price/share updatesh
  • Exp. matrix(48)d
  • DEWIV model for market riskf
  • Linked specific riskg
datasheetresearch_notes
Australia Long-Term   AUE3L more 9 less
  1. Volatility
  2. Size
  3. Momentum
  4. Trading Activity
  5. Value
  6. Growth
  7. Leverage
  8. Foreign Exposure
  9. Non-estimation Flag
more 14 less
  1. Energy
  2. Materials ex Metals & Mining
  3. Metals & Mining ex Gold
  4. Gold
  5. Consumer Discretionary ex Media
  6. Media
  7. Financials ex Property Trusts
  8. Property Trusts
  9. Industrials
  10. Consumer Staples
  11. Health Care
  12. Utilities
  13. Information Technology
  14. Telecommunication Services
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
1,946 S&P/ASX 300 moreAfter Apr 2000: S&P/ASX 300. Before Apr 2000: ASX All Ordinaries Index less Nov-98ac
Jan-03i
  • Daily price/share updatesh
  • Exp. matrix(48)d
  • DEWIV model for market riskf
  • Linked specific riskg
datasheetresearch_notes
Australia Short-Term   AUE3S more 9 less
  1. Volatility
  2. Size
  3. Momentum
  4. Trading Activity
  5. Value
  6. Growth
  7. Leverage
  8. Foreign Exposure
  9. Non-estimation Flag
more 14 less
  1. Energy
  2. Materials ex Metals & Mining
  3. Metals & Mining ex Gold
  4. Gold
  5. Consumer Discretionary ex Media
  6. Media
  7. Financials ex Property Trusts
  8. Property Trusts
  9. Industrials
  10. Consumer Staples
  11. Health Care
  12. Utilities
  13. Information Technology
  14. Telecommunication Services
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
1,946 S&P/ASX 300 moreAfter Apr 2000: S&P/ASX 300. Before Apr 2000: ASX All Ordinaries Index less Nov-98ac
Jan-03i
  • Daily price/share updatesh
  • Exp. matrix(48)d
  • DEWIV model for market riskf
  • Linked specific riskg
datasheetresearch_notes
Bahrain   BHE1 more 5 less
  1. Size
  2. Yield
  3. Momentum
  4. Volatility
  5. Value
more 4 less
  1. Commercial Banks
  2. Investment
  3. Services
  4. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
38 Bahrain Stock Exchange moreCommon stocks listed on Bahrain Stock Exchange, excluding foreign assets less Feb-00b
  • Exp. matrix(36)d
datasheetresearch_notes
Brazil B2 BRE2 more 10 less
  1. Size
  2. Momentum
  3. Volatility
  4. Liquidity
  5. Growth
  6. Value
  7. Leverage
  8. Foreign Exposure
  9. Interest Rate Exposure
  10. New York Listing Factor
more 26 less
  1. Energy
  2. Chemicals
  3. Fertilizers & Agricultural Chemicals
  4. Construction Materials
  5. Metals & Mining
  6. Steel and Metallurgy
  7. Paper & Forest Products plus Containers & Packaging
  8. Aerospace & Defense
  9. Building Products plus Construction & Engineering
  10. Electrical Equipment
  11. Industrial Conglomerates
  12. Metal & Mining
  13. Transportation
  14. Automobiles & Components
  15. Consumer Durables & Apparel
  16. Other Consumer Discretionary
  17. Media
  18. Consumer Staples
  19. Health Care
  20. Banks
  21. Diversifed Financials
  22. Information Technology
  23. Diversifed Telecommunications Services
  24. Wireless Telecommunication Services
  25. Other Utilites
  26. Electric Utilities
  • Aegis
  • Barra Portfolio Manager
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
330 Highest capitalization line of each asset in the market Jan-99ac
Oct-97b
  • Daily price/share updatesh
  • Exp. matrix(48)d
  • DEWIV model for market riskf
  • Linked specific riskg
datasheetresearch
Canada C4 CNE4
  • 8
    • Momentum
    • Volatility
    • Size
    • Growth
    • Value
    • Financial Leverage
    • Yield
    • Non-Estimation Universe
  • 15
    • Consumer Discretionary
    • Consumer Staples
    • Energy
    • Financials ex Real Estate
    • Healthcare
    • Industrials
    • Information Technology
    • Materials ex Metals & Mining and Forest & Paper Products
    • Telecommunications
    • Utilities
    • Forest & Paper Products
    • Metals & Mining ex Gold
    • Gold
    • Real Estate
    • Unit Trusts
  • Aegis
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
  • Models Direct
3,000 Common stock listed in the TSX composite moreCommon stock listed in the TSX composite, plus some industry fill-ins. Turnover is limited by grandfathering rules.  less Jan-90ac
Oct-97b
  • Daily price/share updatesh
  • Exp. matrix(48)d
datasheetresearch
Canada Long-Term   CNE4L
  • 8
    • Momentum
    • Volatility
    • Size
    • Growth
    • Value
    • Financial Leverage
    • Yield
    • Non-Estimation Universe
  • 15
    • Consumer Discretionary
    • Consumer Staples
    • Energy
    • Financials ex Real Estate
    • Healthcare
    • Industrials
    • Information Technology
    • Materials ex Metals & Mining and Forest & Paper Products
    • Telecommunications
    • Utilities
    • Forest & Paper Products
    • Metals & Mining ex Gold
    • Gold
    • Real Estate
    • Unit Trusts
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
2,973 Common stock listed in the TSX composite moreCommon stock listed in the TSX composite, plus some industry fill-ins. Turnover is limited by grandfathering rules.  less Jan-90ac
Jan-03i
  • Daily price/share updatesh
  • Exp. cov. matrix (250)-variances (750)-correlationsj
datasheetresearch
Canada Short-Term   CNE4S
  • 8
    • Momentum
    • Volatility
    • Size
    • Growth
    • Value
    • Financial Leverage
    • Yield
    • Non-Estimation Universe
  • 15
    • Consumer Discretionary
    • Consumer Staples
    • Energy
    • Financials ex Real Estate
    • Healthcare
    • Industrials
    • Information Technology
    • Materials ex Metals & Mining and Forest & Paper Products
    • Telecommunications
    • Utilities
    • Forest & Paper Products
    • Metals & Mining ex Gold
    • Gold
    • Real Estate
    • Unit Trusts
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
2,973 Common stock listed in the TSX composite moreCommon stock listed in the TSX composite, plus some industry fill-ins. Turnover is limited by grandfathering rules.  less Jan-97ac
Jan-03i
  • Daily price/share updatesh
  • Daily price/share updatesh
  • Exp. cov. matrix (90)-variances (480)-correlationsj
datasheetresearch
Chile   CLE1 more 7 less
  1. Index Flag
  2. Size
  3. Yield
  4. Momentum
  5. Market Sensitivity
  6. Volatility
  7. Value
more 12 less
  1. Commercial and Other Banks
  2. Financial Institutions/Services
  3. Insurance-Multiln/Property and Casualty
  4. Diversified Holding Cos
  5. Electric/Gas Utilities/Telephone
  6. Beverage and Tobacco
  7. Food and Grocery Products
  8. Retail Trade
  9. Construction and Building
  10. Chemicals
  11. Forestry and Paper Products
  12. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
216 Santiago Stock Exchange moreCommon stocks listed on Santiago Stock Exchange, excluding foreign assets less Oct-97b
  • Exp. matrix(36)d
datasheet
China C2 CHE2 more 11 less
  1. Size
  2. Volatility
  3. Downside Volatility
  4. Trading Activity
  5. Momentum
  6. Financial Leverage
  7. Value
  8. Growth
  9. Shenzhen Market Size
  10. B-Share Flag
  11. B-Share Shenzhen Stock Exchange Flag
more 24 less
  1. Energy
  2. Chemicals
  3. Materials
  4. Metals & Mining
  5. Steel
  6. Industrial Conglomerates
  7. Capital Goods ex Conglomerates
  8. Commercial Services
  9. Transportation
  10. Transportation Infrastructure
  11. Automobiles & Components
  12. Household Durables
  13. Apparel, Luxury, & Leisure products
  14. Hotels, Restaurants, & Leisure
  15. Media
  16. Retailing
  17. Consumer Staples
  18. Health Care
  19. Financials
  20. Real Estate
  21. Software & Services
  22. Information Technology
  23. Telecommunication Services
  24. Utilities
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
2,032 A Shares moreAll A shares that are not subject to special or particular treatment and have been traded for at least one full month. less Jan-99ac
Jan-03i
  • Daily price/share updatesh
  • Exp. covariance matrix with half-life of 90 days for variances and 480 days for correlationsd
  • Linked specific riskg
datasheetresearch
Colombia   COE1 more 6 less
  1. Size
  2. Yield
  3. Momentum
  4. Market Sensitivity
  5. Volatility
  6. Value
more 7 less
  1. Banks
  2. Insurance and Capitalization
  3. Food/Drinks/Tobacco
  4. Textiles/Garments/Leather
  5. Non-Metallic Industries
  6. Commerce and Hotels
  7. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
60 Bogota Stock Exchange moreCommon stocks listed on Bogota Stock Exchange, excluding foreign assets less Oct-97b
  • Exp. matrix(36)d
datasheet
Czech Republic   CZE1 more 6 less
  1. Index Flag
  2. Size
  3. Momentum
  4. Market Sensitivity
  5. Volatility
  6. Value
more 13 less
  1. Food Production
  2. Drinks and Tobacco Production
  3. Extraction and Processing of Minerals
  4. Chemicals/Pharmaceutical/Rubber
  5. Building and Building Materials
  6. Metallurgy and Iron Processing
  7. Engineering
  8. Energy
  9. Transport and Communication
  10. Finance
  11. Services
  12. Jewelry/Ceramics/Glass
  13. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
104 Prague Stock Exchange moreCommon stocks listed on Prague Stock Exchange, excluding foreign assets less Oct-97b
  • Exp. matrix(36)d
datasheet
Egypt   EGE1 more 6 less
  1. Index Flag
  2. Size
  3. Yield
  4. Momentum
  5. Market Sensitivity
  6. Volatility
more 10 less
  1. Building Materials and Components
  2. Chemicals
  3. Metals-Steel
  4. Beverages and Tobacco
  5. Food and Household Products
  6. Health and Personal Care
  7. Telecommunications
  8. Banking
  9. Real Estate
  10. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
120 Cairo Stock Exchange moreCommon stocks listed on Cairo Stock Exchange, excluding foreign assets less Oct-97b
  • Exp. matrix(36)d
datasheet
Europe (Base) Long and Short EA
EB
EUE3LBAS EUE3SBAS more 9 less
  1. Momentum
  2. Volatility
  3. Size
  4. Liquidity
  5. Value
  6. Earnings Yield
  7. Dividend Yield
  8. Growth
  9. Leverage
more 29 less
  1. Energy Equipment & Services
  2. Oil Gas & Consumable Fuels
  3. Other Materials
  4. Metals & Mining
  5. Other Capital Goods
  6. Construction & Engineering
  7. Machinery
  8. Commercial Services
  9. Other Transport
  10. Airlines
  11. Autos & Components
  12. Consumer Durables & Apparel
  13. Consumer Services
  14. Media
  15. Retailing
  16. Food & Staples Retailing
  17. Food Beverages & Tobacco
  18. Household & Personal Products
  19. Healthcare Equipment & Services
  20. Pharmaceuticals
  21. Banks
  22. Diversified Financials
  23. Insurance
  24. Real Estate
  25. Software & Services
  26. Technology Hardware & Equipment
  27. Semiconductors
  28. Telecommunication Services
  29. Utilities
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
9,800 MSCI AC Europe Investable Market Index moreBased on MSCI AC Europe Investable Market Index, enhanced with further small-cap assets and non-index assets for frontier markets less Jan-95ac
Jan-03i
  • GICS® based industries
  • Daily price/share updates
  • Daily risk updates
  • Time series, structural and hybrid specific risk model
datasheet datasheet datasheet research
Europe (UK derived) Long and Short EC
ED
EUE3LDUK EUE3SDUK more 9 less
  1. Momentum
  2. Volatility
  3. Size
  4. Liquidity
  5. Value
  6. Earnings Yield
  7. Dividend Yield
  8. Growth
  9. Leverage
more 58 less
  1. (UK) Energy Equipment & Services
  2. (UK) Oil Gas & Consumable Fuels
  3. (UK) Other Materials
  4. (UK) Metals & Mining
  5. (UK) Other Capital Goods
  6. (UK) Construction & Engineering
  7. (UK) Machinery
  8. (UK) Commercial Services
  9. (UK) Other Transport
  10. (UK) Airlines
  11. (UK) Autos & Components
  12. (UK) Consumer Durables & Apparel
  13. (UK) Consumer Services
  14. (UK) Media
  15. (UK) Retailing
  16. (UK) Food & Staples Retailing
  17. (UK) Food Beverages & Tobacco
  18. (UK) Household & Personal Products
  19. (UK) Healthcare Equipment & Services
  20. (UK) Pharmaceuticals
  21. (UK) Banks
  22. (UK) Diversified Financials
  23. (UK) Insurance
  24. (UK) Real Estate
  25. (UK) Software & Services
  26. (UK) Technology Hardware & Equipment
  27. (UK) Semiconductors
  28. (UK) Telecommunication Services
  29. (UK) Utilities
  30. (Ex-UK) Energy Equipment & Services
  31. (Ex-UK) Oil Gas & Consumable Fuels
  32. (Ex-UK) Other Materials
  33. (Ex-UK) Metals & Mining
  34. (Ex-UK) Other Capital Goods
  35. (Ex-UK) Construction & Engineering
  36. (Ex-UK) Machinery
  37. (Ex-UK) Commercial Services
  38. (Ex-UK) Other Transport
  39. (Ex-UK) Airlines
  40. (Ex-UK) Autos & Components
  41. (Ex-UK) Consumer Durables & Apparel
  42. (Ex-UK) Consumer Services v
  43. (Ex-UK) Media
  44. (Ex-UK) Retailing
  45. (Ex-UK) Food & Staples Retailing
  46. (Ex-UK) Food Beverages & Tobacco
  47. (Ex-UK) Household & Personal Products
  48. (Ex-UK) Healthcare Equipment & Services
  49. (Ex-UK) Pharmaceuticals
  50. (Ex-UK) Banks
  51. (Ex-UK) Diversified Financials
  52. (Ex-UK) Insurance
  53. (Ex-UK) Real Estate
  54. (Ex-UK) Software & Services
  55. (Ex-UK) Technology Hardware & Equipment
  56. (Ex-UK) Semiconductors
  57. (Ex-UK) Telecommunication Services
  58. (Ex-UK) Utilities
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
9,800 MSCI AC Europe Investable Market Index moreBased on MSCI AC Europe Investable Market Index, enhanced with further small-cap assets and non-index assets for frontier markets less Jan-95ac
Jan-03i
  • GICS® based industries
  • Daily price/share updates
  • Daily risk updates
  • Time series, structural and hybrid specific risk model
datasheet datasheet datasheet research
Europe (Eastern Europe derived) Long and Short EE
EF
EUE3LDEE EUE3SDEE more 9 less
  1. Momentum
  2. Volatility
  3. Size
  4. Liquidity
  5. Value
  6. Earnings Yield
  7. Dividend Yield
  8. Growth
  9. Leverage
more 58 less
  1. (EE) Energy Equipment & Services
  2. (EE) Oil Gas & Consumable Fuels
  3. (EE) Other Materials
  4. (EE) Metals & Mining
  5. (EE) Other Capital Goods
  6. (EE) Construction & Engineering
  7. (EE) Machinery
  8. (EE) Commercial Services
  9. (EE) Other Transport
  10. (EE) Airlines
  11. (EE) Autos & Components
  12. (EE) Consumer Durables & Apparel
  13. (EE) Consumer Services
  14. (EE) Media
  15. (EE) Retailing
  16. (EE) Food & Staples Retailing
  17. (EE) Food Beverages & Tobacco
  18. (EE) Household & Personal Products
  19. (EE) Healthcare Equipment & Services
  20. (EE) Pharmaceuticals
  21. (EE) Banks
  22. (EE) Diversified Financials
  23. (EE) Insurance
  24. (EE) Real Estate
  25. (EE) Software & Services
  26. (EE) Technology Hardware & Equipment
  27. (EE) Semiconductors
  28. (EE) Telecommunication Services
  29. (EE) Utilities
  30. (WE) Energy Equipment & Services
  31. (WE) Oil Gas & Consumable Fuels
  32. (WE) Other Materials
  33. (WE) Metals & Mining
  34. (WE) Other Capital Goods
  35. (WE) Construction & Engineering
  36. (WE) Machinery
  37. (WE) Commercial Services
  38. (WE) Other Transport
  39. (WE) Airlines
  40. (WE) Autos & Components
  41. (WE) Consumer Durables & Apparel
  42. (WE) Consumer Services
  43. (WE) Media
  44. (WE) Retailing
  45. (WE) Food & Staples Retailing
  46. (WE) Food Beverages & Tobacco
  47. (WE) Household & Personal Products
  48. (WE) Healthcare Equipment & Services
  49. (WE) Pharmaceuticals
  50. (WE) Banks
  51. (WE) Diversified Financials
  52. (WE) Insurance
  53. (WE) Real Estate
  54. (WE) Software & Services
  55. (WE) Technology Hardware & Equipment
  56. (WE) Semiconductors
  57. (WE) Telecommunication Services
  58. (WE) Utilities
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
9,800 MSCI AC Europe Investable Market Index moreBased on MSCI AC Europe Investable Market Index, enhanced with further small-cap assets and non-index assets for frontier markets less Jan-95ac
Jan-03i
  • GICS® based industries
  • Daily price/share updates
  • Daily risk updates
  • Time series, structural and hybrid specific risk model
datasheet datasheet datasheet research
Global Long-Term GL GEM2L more 8 less
  1. Momentum
  2. Volatility
  3. Value
  4. Size
  5. Size Nonlinearity
  6. Growth
  7. Liquidity
  8. Financial Leverage
more 34 less
  1. Energy Equipment & Services
  2. Oil, Gas, and Consumable Fuels
  3. Oil & Gas Exploration & Production
  4. Chemicals
  5. Construction, Containers, Paper
  6. Aluminum, Diversified Metals
  7. Gold, Precious Metals
  8. Steel
  9. Capital goods
  10. Commercial & Professional Services
  11. Transportation Non-Airline
  12. Airlines
  13. Automobiles & Components
  14. Consumer Durables & Apparel
  15. Consumer Services
  16. Media
  17. Retailing
  18. Food & Staples Retailing
  19. Food, Beverage & Tobacco
  20. Household & Personal Products
  21. Health Care Equipment & Services
  22. Biotechnology
  23. Pharmaceuticals, Life Sciences
  24. Banks
  25. Diversified Financials
  26. Insurance
  27. Real Estate
  28. Internet Software & Services
  29. IT Services, Software
  30. Communications Equipment
  31. Computers, Electronics
  32. Semiconductors
  33. Telecommunication Services
  34. Utilities
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
48,100 ACWI IMI + MSCI GCC + MSCI China A moreMSCI All Country World Investable Market Index (ACWI IMI) + MSCI GCC Countries Index + MSCI China A Index less Jan-97ac
Jan-03i
  • Industry factors based on Global Industry Classification Standard (GICS®)
  • Global factor provides a clean separation of country vs. industry effects
datasheetresearch
Global Short-Term GS GEM2S more 8 less
  1. Momentum
  2. Volatility
  3. Value
  4. Size
  5. Size Nonlinearity
  6. Growth
  7. Liquidity
  8. Financial Leverage
more 34 less
  1. Energy Equipment & Services
  2. Oil, Gas, and Consumable Fuels
  3. Oil & Gas Exploration & Production
  4. Chemicals
  5. Construction, Containers, Paper
  6. Aluminum, Diversified Metals
  7. Gold, Precious Metals
  8. Steel
  9. Capital goods
  10. Commercial & Professional Services
  11. Transportation Non-Airline
  12. Airlines
  13. Automobiles & Components
  14. Consumer Durables & Apparel
  15. Consumer Services
  16. Media
  17. Retailing
  18. Food & Staples Retailing
  19. Food, Beverage & Tobacco
  20. Household & Personal Products
  21. Health Care Equipment & Services
  22. Biotechnology
  23. Pharmaceuticals, Life Sciences
  24. Banks
  25. Diversified Financials
  26. Insurance
  27. Real Estate
  28. Internet Software & Services
  29. IT Services, Software
  30. Communications Equipment
  31. Computers, Electronics
  32. Semiconductors
  33. Telecommunication Services
  34. Utilities
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
48,100 ACWI IMI + MSCI GCC + MSCI China A moreMSCI All Country World Investable Market Index (ACWI IMI) + MSCI GCC Countries Index + MSCI China A Index less Jan-97ac
Jan-03i
  • Industry factors based on Global Industry Classification Standard (GICS®)
  • Global factor provides a clean separation of country vs. industry effects
datasheetresearch
Global Long-Term GP GEM3L
  • 11
    • Beta
    • Momentum
    • Size
    • Earnings Yield
    • Residual Volatility
    • Growth
    • Dividend Yield
    • Book-to-Price
    • Leverage
    • Liquidity
    • Non-Linear Size
  • 34
    • Energy Equipment and Services
    • Oil Gas and Consumable Fuels
    • Chemicals
    • Construction Containers Paper
    • Aluminum Diversified Metals
    • Gold and Precious Metals
    • Steel
    • Capital Goods
    • Commercial and Professional Services
    • Transportation Non-Airline
    • Airlines
    • Automobiles and Components
    • Consumer Durables and Apparel
    • Hotels Restaurants and Leisure
    • Media
    • Retailing
    • Food and Staples Retailing
    • Food Beverage and Tobacco
    • Household and Personal Products
    • Health Care Equipment and Services
    • Biotechnology
    • Pharmaceuticals and Life Sciences
    • Banks
    • Diversified Financials
    • Insurance
    • Real Estate
    • Internet Software and Services
    • IT Services and Software
    • Communications Equipment
    • Computers Electronics
    • Semiconductors
    • Telecommunication Services
    • Utilities
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
70,000+ MSCI All Country World Investable Market Index (ACWI IMI) Frontier markets added through MSCI Frontier Market Index, stand-alone MSCI country indices, and further non-index assets Jan-97ac
Jan-03
  • Industry factors based on Global Industry Classification Standard (GICS®)
  • Additional Frontier Markets covering 22 new countries and currencies
datasheetrdatasheet
Global Short-Term GQ GEM3S
  • 11
    • Beta
    • Momentum
    • Size
    • Earnings Yield
    • Residual Volatility
    • Growth
    • Dividend Yield
    • Book-to-Price
    • Leverage
    • Liquidity
    • Non-Linear Size
  • 34
    • Energy Equipment and Services
    • Oil Gas and Consumable Fuels
    • Chemicals
    • Construction Containers Paper
    • Aluminum Diversified Metals
    • Gold and Precious Metals
    • Steel
    • Capital Goods
    • Commercial and Professional Services
    • Transportation Non-Airline
    • Airlines
    • Automobiles and Components
    • Consumer Durables and Apparel
    • Hotels Restaurants and Leisure
    • Media
    • Retailing
    • Food and Staples Retailing
    • Food Beverage and Tobacco
    • Household and Personal Products
    • Health Care Equipment and Services
    • Biotechnology
    • Pharmaceuticals and Life Sciences
    • Banks
    • Diversified Financials
    • Insurance
    • Real Estate
    • Internet Software and Services
    • IT Services and Software
    • Communications Equipment
    • Computers Electronics
    • Semiconductors
    • Telecommunication Services
    • Utilities
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
70,000+ MSCI All Country World Investable Market Index (ACWI IMI) Frontier markets added through MSCI Frontier Market Index, stand-alone MSCI country indices, and further non-index assets Jan-97ac
Jan-03
  • Industry factors based on Global Industry Classification Standard (GICS®)
  • Additional Frontier Markets covering 22 new countries and currencies
datasheetrdatasheet
Hong Kong HK HKE1 more 10 less
  1. Size
  2. Yield
  3. Book To Price
  4. Earnings To Price
  5. Liquidity
  6. Success
  7. Variability In Markets
  8. SAP500 Sensitivity
  9. Redchip
  10. Hang Seng
more 13 less
  1. Finance and Banking
  2. Properties
  3. Diversified Holdings Co
  4. Utilities
  5. China Enterprises
  6. Transport and Storage
  7. Consumer Goods/Services
  8. Applicances and Electric
  9. Textiles
  10. Industrial
  11. Hotels and Leisure
  12. Media and Telecommunications
  13. Construction
  • Aegis
  • BarraOne
  • Barra Portfolio Manager
  • TotalRisk
  • BIMe Models Direct
  • Models Direct
1,376 Hong Kong Stock Exchange moreCommon stocks listed on Hong Kong Stock Exchange, excluding preferred stocks, Growth Enterprise stocks, certain cross-listed securities less Jan-97a
Nov-96c
Oct-97b
Jan-03i
  • Exp. matrix(48)d
datasheet
Hungary   HUE1 more 4 less
  1. Size
  2. Momentum
  3. Market Sensitivity
  4. Volatility
more 4 less
  1. Energy
  2. Materials
  3. Consumer Goods
  4. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
59 Full universe moreAll assets covered by the model, excluding foreign assets listed on the local market less Oct-97b
  • Exp. matrix(36)d
datasheet
India   INE1 more 7 less
  1. Index Flag
  2. Size
  3. Yield
  4. Momentum
  5. Market Sensitivity
  6. Volatility
  7. Value
more 26 less
  1. Energy Sources
  2. Utilities-Electrical and Gas
  3. Building Materials and Components
  4. Chemicals
  5. Forestry and Paper Products
  6. Metals-Steel
  7. Construction and Housing
  8. Electrical and Electronics
  9. Electronic Components and Instruments
  10. Industrial Components
  11. Machinery and Engineering
  12. Appliances and Household Durables
  13. Automobiles
  14. Beverages and Tobacco
  15. Food and Household Products
  16. Health and Personal Care
  17. Textiles and Apparel
  18. Broadcasting and Publishing
  19. Business and Public Services
  20. Leisure and Tourism
  21. Telecommunications
  22. Transportation-Shipping
  23. Banking
  24. Financial Services
  25. Multi-Industry
  26. Miscellaneous
  • BarraOne
  • Barra Portfolio Manager
  • TotalRisk
  • BIMe Models Direct
1,993 Full universe moreAll assets covered by the model, excluding foreign assets listed on the local market less Oct-97b
  • Exp. matrix(36)d
datasheet
Indonesia ID IDE1 more 10 less
  1. Liquidity
  2. Size
  3. Variability In Markets
  4. Yield
  5. Debt To Equity
  6. LQ45 Membership
  7. Exchange Rate Sensitivity
  8. Foreign Ownership
  9. Success
  10. Value
more 21 less
  1. Banking
  2. Finance
  3. Insurance
  4. Transport and Utilities
  5. Properties
  6. Construction
  7. Glass and Ceramics
  8. Textiles
  9. Trading Co
  10. Hotel and Tourism
  11. Agriculture Non Live
  12. Agriculture Livestock
  13. Forestry
  14. Automobile
  15. Mining
  16. Metal and Allied Product
  17. Chemicals
  18. Electronics/Electrical
  19. Consumer Goods
  20. Consumer Services
  21. Machinery
  • Aegis
  • Barra Portfolio Manager
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
339 Jakarta Stock Exchange moreCommon stocks listed on Jakarta Stock Exchange, excluding preferred stocks less May-99ac
Oct-97b
  • Exp. matrix(48)d
datasheet
Israel   ILE1 more 7 less
  1. Index Flag
  2. Size
  3. Yield
  4. Momentum
  5. Market Sensitivity
  6. Volatility
  7. Value
more 13 less
  1. Energy Sources
  2. Chemicals
  3. Electrical and Electronics
  4. Electronic Components and Instruments
  5. Industrial Components
  6. Health and Personal Care
  7. Textiles and Apparel
  8. Business and Public Services
  9. Merchandising
  10. Telecommunications
  11. Banking
  12. Insurance
  13. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
701 Tel Aviv Stock Exchange moreCommon stocks listed on Tel Aviv Stock Exchange, excluding foreign assets less Dec-97b
  • Exp. matrix(36)d
datasheet
Japan J3 JPE3 more 12 less
  1. Volatility
  2. Size
  3. Momentum
  4. Trading Activity
  5. Value
  6. Interest Rate Sensitivity
  7. Growth
  8. Financial Leverage
  9. Foreign Sensitivity
  10. Membership in NK225
  11. Membership in TSE2
  12. Non-Membership in TSE
more 41 less
  1. Chemicals
  2. Pulp and Paper
  3. Metals
  4. Glass
  5. Energy
  6. Industrial Parts
  7. Factory Equipment
  8. Precision Equipment
  9. Plant Machinery and Engineering
  10. Special Vehicles
  11. Automobiles and Parts
  12. Electronic Parts
  13. Semiconductor and Equipment
  14. Computers and Telecommunications Equipment
  15. Office and Home Electronics
  16. Miscellaneous Electrical Goods
  17. Drugs
  18. Food and Beverage
  19. Household and Cosmetics
  20. Fiber and Apparel
  21. Miscellaneous Consumer Products
  22. Games
  23. Consumer Services
  24. Broadcasting Media
  25. Telecommunications
  26. Department Stores/GMS/Super Markets
  27. Specialty Retailers
  28. Trading Houses
  29. Business Outsourcing Services
  30. Software Systems
  31. Passenger Transportation Services
  32. Goods and Materials Logistics
  33. Infrastructure Construction
  34. Housing and Building
  35. Real Estate
  36. Banks
  37. Regional Banks
  38. Consumer and Business Loans
  39. Securities
  40. Insurance
  41. Electricity and Gas Utilities
  • Aegis
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
  • Models Direct
3,726 TSE1 Jan-85ac
Oct-97b
  • Daily price/share updatesh
  • Exp. matrix(60)d
  • DEWIV model for market riskf
  • Multiple industry allocation
datasheetresearch_notes
Japan Long-Term   JPE3L more 12 less
  1. Volatility
  2. Size
  3. Momentum
  4. Trading Activity
  5. Value
  6. Interest Rate Sensitivity
  7. Growth
  8. Financial Leverage
  9. Foreign Sensitivity
  10. Membership in NK225
  11. Membership in TSE2
  12. Non-Membership in TSE
more 41 less
  1. Chemicals
  2. Pulp and Paper
  3. Metals
  4. Glass
  5. Energy
  6. Industrial Parts
  7. Factory Equipment
  8. Precision Equipment
  9. Plant Machinery and Engineering
  10. Special Vehicles
  11. Automobiles and Parts
  12. Electronic Parts
  13. Semiconductor and Equipment
  14. Computers and Telecommunications Equipment
  15. Office and Home Electronics
  16. Miscellaneous Electrical Goods
  17. Drugs
  18. Food and Beverage
  19. Household and Cosmetics
  20. Fiber and Apparel
  21. Miscellaneous Consumer Products
  22. Games
  23. Consumer Services
  24. Broadcasting Media
  25. Telecommunications
  26. Department Stores/GMS/Super Markets
  27. Specialty Retailers
  28. Trading Houses
  29. Business Outsourcing Services
  30. Software Systems
  31. Passenger Transportation Services
  32. Goods and Materials Logistics
  33. Infrastructure Construction
  34. Housing and Building
  35. Real Estate
  36. Banks
  37. Regional Banks
  38. Consumer and Business Loans
  39. Securities
  40. Insurance
  41. Electricity and Gas Utilities
  • Aegis
  • Barra Portfolio Manager
3,726 TSE1 Jan-03i
  • Daily price/share updatesh
  • Exp. matrix(60)d
  • DEWIV model for market riskf
  • Multiple industry allocation
datasheet
Japan Short-Term JS JPE3S more 12 less
  1. See JPE3
more 41 less
  1. See JPE3
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
3,726 TSE1 Jan-85ac
Oct-97b
Jan-03i
  • Daily price/share updatesh
  • Exp. covariance matrix with half-life of 90 days for variances and 480 days for correlationsd
  • Multiple industry allocation
datasheetresearch_notes
Jordan   JOE1 more 7 less
  1. Index Flag
  2. Size
  3. Yield
  4. Momentum
  5. Market Sensitivity
  6. Volatility
  7. Value
more 6 less
  1. Building Materials and Components
  2. Metals-Steel
  3. Leisure and Tourism
  4. Banking
  5. Multi-Industry
  6. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
127 Amman Stock Exchange moreCommon stocks listed on Amman Stock Exchange, excluding foreign assets less Oct-97b
  • Exp. matrix(12)d
datasheet
Korea K2 KRE2 more 12 less
  1. Size
  2. Volatility
  3. Trading activity
  4. Momentum
  5. Financial Leverage
  6. Value
  7. Interest Rate Sensitivity
  8. Labor Intensity
  9. Growth
  10. Export Revenue
  11. Foreign Sensitivity
  12. Non-Estimation Universe Indicator
more 24 less
  1. Food, Beverage, and Tobacco
  2. Textile, Apparel & Consumer Durables
  3. Construction & Real Estate Property
  4. Wholesale & Retailing
  5. Media, Publishing & Printing
  6. Hotels, Restaurant, Leisure & Entertainment
  7. Drugs
  8. Medical Equipment & Technology
  9. Paper & Wood
  10. Chemical & Rubber
  11. Manufacturing Mineral Products & Mining
  12. Metals & Metal Products
  13. Manufacturing of Machinery & Other Capital Goods
  14. Transportation Equipment
  15. Transportation
  16. Commercial Services
  17. Utilities
  18. Telecommunication
  19. Electronic Equipment
  20. Information Management & Services
  21. Banks
  22. Short-term Financing
  23. Insurance
  24. Securities
  • Aegis
  • BarraOne
  • Barra Portfolio Manager
  • TotalRisk
  • BIMe Models Direct
  • Models Direct
1,870 KOSPI plus large-cap KOSDAQ  moreAll KOSPI assets plus large capitalization KOSDAQ assets less Feb-90a
Feb-86c
Oct-97b
Jan-03i
  • Exp. matrix(48)d
datasheetresearch_notes
Kuwait   KWE1 more 3 less
  1. Size
  2. Momentum
  3. Volatility
more 5 less
  1. Material
  2. Bank and Insurance
  3. Real Estate
  4. Financials
  5. Miscellaneous
  • BarraOne
  • BIMe Models Direct
155 Full universe moreAll assets covered by the model, excluding foreign assets listed on the local market less Feb-07 datasheetresearch_notes
Malaysia ML MLE1 more 10 less
  1. Value
  2. Size
  3. Success
  4. Financial Leverage
  5. Yield
  6. Wmkt Sensitivity
  7. Variability In Markets
  8. Board
  9. Growth
  10. Liquidity
more 14 less
  1. Agribusiness/Resource
  2. Automobile
  3. Gaming/Hotel/Leisure
  4. Construction
  5. Diversified/Holdings
  6. Financial
  7. Manufacturing/Industr
  8. Property
  9. Telecommunications/IT
  10. Energy/Power
  11. Trading Services
  12. Transportation
  13. Consumer Products
  14. Unit Trust
  • Aegis
  • Barra Portfolio Manager
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
901 Kuala Lumpur Stock Exchange moreCommon stocks listed on Kuala Lumpur Stock Exchange, excluding foreign assets less Jan-95a
May-98c
Oct-97b
  • Equally-weighted covariance
datasheet
Mexico MX MXE1 more 9 less
  1. Volatility
  2. Momentum
  3. Size
  4. Trading Activity
  5. Value
  6. Leverage
  7. Foreign Currency Sensitivity
  8. Size Nonlinearity
  9. Non-Estimation Universe
more 17 less
  1. Mining And Steel
  2. Paper And Pulp
  3. Chemical
  4. Food And Beverages
  5. Retail
  6. Autoparts
  7. Apparel
  8. Specialized Retail
  9. Department Stores
  10. Construction/Construction Materials
  11. Media And Entertainment
  12. Hotels Restaurants Services
  13. Heavy Machinery
  14. Transportation
  15. Telecommunications
  16. Finance
  17. Other Industries
  • Aegis
  • Barra Portfolio Manager
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
  • Models Direct
173 IPC plus moreAssets in Indice de Precios y Cotizaciones (IPC) plus largest 100 companies and additional assets to fill thin sectors. Illiquid assets or assets without sufficient fundamental data excluded. Turnover limited by grandfathering rules. less Jan-95a
Oct-97b
  • Daily price/share updatesh
  • Exp. matrix(36)d
  • Multiple industry allocation
datasheet
Morocco   MOE1 more 6 less
  1. Size
  2. Yield
  3. Momentum
  4. Market Sensitivity
  5. Volatility
  6. Value
more 2 less
  1. Food Industry/Agricultural Products
  2. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
50 Casablanca Stock Exchange moreCommon stocks listed on Casablanca Stock Exchange, excluding foreign assets less Oct-97b
  • Exp. matrix(36)d
datasheet
New Zealand NZ NZE1 more 5 less
  1. Variability In Markets
  2. Success
  3. Size
  4. Value
  5. Trading Activity
more 6 less
  1. Energy
  2. Goods
  3. Investment
  4. Primary
  5. Property
  6. Services
  • Aegis
  • Barra Portfolio Manager
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
167 NZSX 50 moreNZSX 50 members, plus additional assets that meet capitalization and liquidity requirements less Jun-97a
Oct-97b
  • Exp. matrix(60)d
  • GARCHe
datasheet
Nigeria   NGE1 more 5 less
  1. Yield
  2. Momentum
  3. Market Sensitivity
  4. Volatility
  5. Value
more 5 less
  1. Banking
  2. Conglomerates
  3. Food/Beverages/Tobacco
  4. Petroleum(Marketing)
  5. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
161 Full universe moreAll assets covered by the model, excluding foreign assets listed on the local market less Oct-97b
  • Exp. matrix(36)d
datasheet
Oman   OME1 more 6 less
  1. Size
  2. Yield
  3. Momentum
  4. Market Sensitivity
  5. Volatility
  6. Value
more 5 less
  1. Commercial and Other Banks
  2. Diversified Holding Cos
  3. Beverage and Tobacco
  4. Construction and Building
  5. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
127 Muscat Stock Exchange moreCommon stocks listed on Muscat Stock Exchange, excluding foreign assets less Feb-00b
  • Exp. matrix(36)d
datasheetresearch_notes
Pakistan   PKE1 more 7 less
  1. Index Flag
  2. Size
  3. Yield
  4. Momentum
  5. Market Sensitivity
  6. Volatility
  7. Value
more 11 less
  1. Investment/Securities Companies/Banks
  2. Textile Composite
  3. Synthetic and Rayon
  4. Cement
  5. Fuel and Energy
  6. Auto and Allied Electrical
  7. Transport and Communications
  8. Chemical and Pharmaceutical
  9. Paper and Board
  10. Food and Allied
  11. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
746 Karachi Stock Exchange moreCommon stocks listed on Karachi Stock Exchange, excluding foreign assets less Oct-97b
  • Exp. matrix(36)d
datasheet
Peru   PEE1 more 6 less
  1. Index Flag
  2. Size
  3. Yield
  4. Momentum
  5. Market Sensitivity
  6. Volatility
more 8 less
  1. Banks
  2. Public Services
  3. Food Products Excluding Drinks
  4. Drinks Industry
  5. Other Mineral Non-Metal Products
  6. Production Of Silver and Gold
  7. Production Of Silver/Lead/Zinc
  8. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
210 Full universe moreAll assets covered by the model, excluding foreign assets listed on the local market less Oct-97b
  • Exp. matrix(36)d
datasheet
Philippines   PHE1 more 7 less
  1. Index Flag
  2. Size
  3. Yield
  4. Momentum
  5. Market Sensitivity
  6. Volatility
  7. Value
more 19 less
  1. Commercial and Other Banks
  2. Real Estate(Excluding Reits)
  3. Diversified Holding Cos
  4. International Crude Oil and Petrol Products
  5. Electric and Gas Utilities and Telephone
  6. Transportation and Storage
  7. Textiles and Wearing Apparel
  8. Beverage and Tobacco
  9. Food and Grocery Products
  10. Media
  11. Business Services/Computer Software/Services
  12. Retail Trade
  13. Wholesale Trade
  14. Diversified Cons Goods/Svcs
  15. Computers/Telecommunications/Office Equip
  16. Construction and Building
  17. Mining/Metals and Minerals
  18. Precious Metals and Minerals
  19. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
278 Manila Stock Exchange moreCommon stocks listed on Manila Stock Exchange, excluding foreign assets less Oct-97b
  • Exp. matrix(36)d
datasheet
Poland   PLE1 more 7 less
  1. Index Flag
  2. Size
  3. Yield
  4. Momentum
  5. Market Sensitivity
  6. Volatility
  7. Value
more 7 less
  1. Materials
  2. Capital Equipment
  3. Consumer Goods
  4. Services
  5. Finance
  6. Multi-Industry
  7. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
216 Warsaw Stock Exchange moreCommon stocks listed on Warsaw Stock Exchange, excluding foreign assets less Oct-97b
  • Exp. matrix(36)d
datasheet
Qatar   QAE1 more 3 less
  1. Size
  2. Momentum
  3. Volatility
more 2 less
  1. Financials
  2. Miscellaneous
  • BarraOne
  • BIMe Models Direct
37 Full universe moreAll assets covered by the model, excluding foreign assets listed on the local market less Feb-07 datasheetresearch_notes
Russia   RUE1 more 7 less
  1. Index Flag
  2. Size
  3. Yield
  4. Momentum
  5. Market Sensitivity
  6. Volatility
  7. Value
more 7 less
  1. Commercial and Other Banks
  2. International Crude Oil/Petrol Products
  3. Electric/Gas Utilities/Telephone
  4. Computers/Telecommunications/Office Equipment
  5. Machinery and Engineering Services
  6. Fabricated Metal/Container Products
  7. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
260 Full universe moreAll assets covered by the model, excluding foreign assets listed on the local market less Oct-97b
  • Exp. matrix(36)d
datasheet
Saudi Arabia   SUE1 more 6 less
  1. Index Flag
  2. Size
  3. Yield
  4. Momentum
  5. Volatility
  6. Value
more 5 less
  1. Banks
  2. Cement
  3. Industry
  4. Services
  5. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
67 Full universe moreAll assets covered by the model, excluding foreign assets listed on the local market less Nov-98b
  • Exp. matrix(36)d
datasheetresearch_notes
Singapore SG SGE1 more 9 less
  1. Volatility
  2. Momentum
  3. Size
  4. Value
  5. Liquidity
  6. Yield Risk Index
  7. Foreign Exposure
  8. STIC
  9. SESDAQ
more 18 less
  1. Banks
  2. Finance
  3. Investment Co and Unit Trusts
  4. Properties
  5. Hotels and Restaurants
  6. Construction
  7. Multi-Industry
  8. Services
  9. Infrastructure
  10. Wholesale
  11. Retail
  12. Food and Beverages
  13. Electronics and Electrical
  14. Chemicals
  15. Printing and Publishing
  16. Other Manufacturing
  17. Machinery and Equipment
  18. Metal Products
  • Aegis
  • Barra Portfolio Manager
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
  • Models Direct
534 Singapore Stock Exchange moreCommon stocks listed on Singapore Stock Exchange, excluding preferred stocks less Oct-98a
Sep-99c
Oct-97b
  • Exp. matrix(48)d
  • GARCHe
datasheet
Slovakia   SKE1 more 5 less
  1. Size
  2. Yield
  3. Momentum
  4. Market Sensitivity
  5. Volatility
more 4 less
  1. Financial
  2. Capital Goods
  3. Basic Industries
  4. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
27 Full universe moreAll assets covered by the model, excluding foreign assets listed in the local market less Dec-97b
  • Exp. matrix(36)d
datasheet
South Africa S3 SAE3 more 12 less
  1. Size
  2. Momentum
  3. Trading Activity
  4. Market Variability
  5. Foreign Exposure
  6. Yield
  7. Growth
  8. Value
  9. Financial Leverage
  10. Market Sensitivity
  11. Primary Foreign Listing
  12. Alt-X
more 40 less
  1. Coal
  2. Gold Mining
  3. Real Estate
  4. Mining Finance
  5. Diamond
  6. Other Mineral Extractors & Mines
  7. Oil & Gas
  8. Chemicals
  9. Construction & Building Materials
  10. Forestry & Paper
  11. Steel & Other Metals
  12. Aerospace & Defense
  13. Diversified Industrials
  14. Electronic & Electrical Equipment
  15. Engineering & Machinery
  16. Automobiles & Parts
  17. Household Goods & Textiles
  18. Beverages
  19. Food Producers & Processors
  20. Health
  21. Personal Care & Household Products
  22. Pharmaceuticals & Biotechnology
  23. Tobacco
  24. General Retailers
  25. Leisure & Hotels
  26. Media & Entertainment
  27. Support Services
  28. Transport
  29. Food & Drug Retailers
  30. Telecommunication Services
  31. Electricity
  32. Utilities Other
  33. Banks
  34. Insurance
  35. Life Assurance
  36. Real Estate
  37. Specialty & Other Finance
  38. Information Technology Hardware
  39. Software & Computer Services
  40. Investment Trusts
  • Aegis
  • Barra Portfolio Manager
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
  • Models Direct
438 Full universe moreFull universe excluding venture capital, development capital, 'N' shares, pyramid companies, and investment trusts less Jan-97ac
Oct-97b
  • Daily price/share updatesh
  • Exp matrix(48)
  • DEWIV model for market riskf
datasheetresearch_notes
Sri Lanka   LKE1 more 5 less
  1. Size
  2. Momentum
  3. Market Sensitivity
  4. Volatility
  5. Value
more 6 less
  1. Banks/Finance/Insurance
  2. Beverage/Food/Tobacco
  3. Hotels and Travel
  4. Oil Palm
  5. Plantations
  6. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
250 Colombo Stock Exchange moreMost common stocks listed on Colombo Stock Exchange, excluding foreign assets less Oct-97b
  • Exp. matrix(36)d
datasheet
Switzerland SW SWE2 more 8 less
  1. Size
  2. Success
  3. Yield
  4. Volatility
  5. Earnings Variation
  6. Growth
  7. Leverage
  8. Value
more 12 less
  1. Banks
  2. Insurance
  3. Transportation
  4. Department Stores
  5. Other Services
  6. Machinery
  7. Utilities
  8. Chemicals and Pharmaceuticals
  9. Food and Beverages
  10. Electronics
  11. Building and Construction
  12. Miscellaneous
  • Aegis
  • Models Direct
308 Full universe moreAll assets covered by the model less Jul-89a
Sep-95c
  • Exp. matrix(90)d
datasheet
Taiwan TW TWE1 more 10 less
  1. Variability In Markets
  2. Success
  3. Size
  4. Earnings Variability
  5. Financial Leverage
  6. Foreign Exposure
  7. Growth
  8. Value
  9. Yield
  10. Liquidity
more 25 less
  1. Cement
  2. Food
  3. Petrochemicals and Plastics
  4. Textiles
  5. Machinery
  6. Appliances and Electricals
  7. Cable and Wire
  8. Chemicals
  9. Glass
  10. Paper and Pulp
  11. Steel
  12. Rubber and Tires
  13. Automobiles
  14. Electronics
  15. Construction
  16. Transport
  17. Hotels and Tourism
  18. Banks
  19. Other Financial
  20. Retail
  21. Utilities
  22. Diversified Industries
  23. Stock Brokerage
  24. Health Care
  25. Other
  • Aegis
  • Barra Portfolio Manager
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
  • Models Direct
1,076 Taiwan Stock Exchange moreMost stocks listed on the Taiwan Stock Exchange, excluding preferred stocks, over-the-counter (OTC) stocks less Jan-95a
Jul-94c
Oct-97b
  • Exp. matrix(36)d
  • GARCHe
datasheet
Thailand TH THE1 more 9 less
  1. Variability In Markets
  2. Growth
  3. Size
  4. Earnings Variability
  5. Financial Leverage
  6. Value
  7. Yield
  8. Liquidity
  9. Family-Owned
more 32 less
  1. Trust/Warrant/Prefer
  2. Agribusiness
  3. Banking
  4. Building/Furnishing
  5. Chemicals/Plastics
  6. Commerce
  7. Communication
  8. Electrical/Computer
  9. Electronic Components
  10. Energy
  11. Entertainment/Recreation
  12. Finance/Securities
  13. Foods/Beverages
  14. Health Care Services
  15. Hotels/Travel Services
  16. Household Goods
  17. Insurance
  18. Investment Companies
  19. Jewelry/Ornaments
  20. Machinery/Equipment
  21. Mining
  22. Packaging
  23. Pharmaceutical/Cosmetics
  24. Printing/Publishing
  25. Professional Services
  26. Property Development
  27. Pulp and Paper
  28. Textiles/Clothing/Footwear
  29. Transportation
  30. Vehicles/Parts
  31. Warehouse/Silo
  32. Others
  • Aegis
  • Barra Portfolio Manager
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
  • Models Direct
1,186 SET moreMost common stocks listed on the Stock Exchange of Thailand (SET), excluding preferred stocks, foreign stocks less Jan-95a
Nov-96c
Oct-97b
  • Exp. matrix(36)d
  • GARCHe
datasheet
Turkey   TRE1 more 7 less
  1. Index Flag
  2. Size
  3. Yield
  4. Momentum
  5. Market Sensitivity
  6. Volatility
  7. Value
more 21 less
  1. Commercial and Other Banks
  2. Financial Institutions and Services
  3. Diversified Holding Cos
  4. International Crude Oil and Petrol Products
  5. Electric/Gas Utilities/Telephone
  6. Automobiles
  7. Household Durables and Appliances
  8. Textiles and Wearing Apparel
  9. Food and Grocery Products
  10. Entertainment/Leisure/Toys
  11. Media
  12. Retail Trade
  13. Diversified Cons Goods/Svcs
  14. Electrical Equipment
  15. Electronics/Instrument Control Equipment
  16. Auto Components
  17. Construction and Building
  18. Chemicals
  19. Forestry and Paper Products
  20. Fabricated Metal/Container Products
  21. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
297 Istanbul Stock Exchange moreMost common stocks listed on Istanbul Stock Exchange, excluding foreign assets less Oct-97b
  • Exp. matrix(36)d
datasheet
UAE   AEE1 more 3 less
  1. Size
  2. Momentum
  3. Volatility
more 2 less
  1. Financials
  2. Miscellaneous
  • BarraOne
  • BIMe Models Direct
71 Full universe moreAll assets covered by the model, excluding foreign assets listed on the local market less Feb-07 datasheetresearch_notes
UK Long-Term UG UKE7L more 11 less
  1. Size
  2. Momentum
  3. Volatility
  4. Trading Activity
  5. Financial Leverage
  6. Value
  7. Yield
  8. Foreign Sensitivity
  9. Growth
  10. Midcap Indicator
  11. Non-Estimation Universe Flag
more 43 less
  1. Investment Trusts
  2. Energy Equipment & Services
  3. Oil & Gas
  4. Chemicals
  5. Construction Materials
  6. Forestry, Paper & Packaging
  7. Metals & Mining ex Steel
  8. Steel
  9. Aerospace & Defence
  10. Building Products
  11. Construction & Engineering
  12. Electrical Equipment
  13. Industrial Conglomerates
  14. Machinery
  15. Commercial Services & Supplies
  16. Transportation
  17. Automobiles & Components
  18. Household Durables and Appliances
  19. Leisure Equipment & Products
  20. Textiles, Apparel & Luxury Goods
  21. Hotels, Restaurants & Leisure
  22. Media
  23. Retailing
  24. Food & Staples Retailing
  25. Beverages
  26. Food, Household & Personal Products
  27. Tobacco
  28. Health Care Equipment & Services
  29. Pharmaceuticals & Biotechnology
  30. Banks
  31. Diversified Financial Services
  32. Consumer Finance
  33. Non-Life Insurance
  34. Life & Health Insurance
  35. Real Estate
  36. Software & Services
  37. Technology Hardware & Equipment
  38. Semiconductors & Semiconductor Equipment
  39. Diversified Telecommunication Services
  40. Wireless Telecommunication Services
  41. Electric Utilities
  42. Gas & Multi-Utilities
  43. Water Utilities
  • Aegis
  • BarraOne
  • Barra Portfolio Manager
  • Models Direct
2,422 UKE7 Estimation Universe moreLargest 550 UK companies (non-investment trust) and the 110 largest investment trusts less Jan-86a
Jan-81c
Oct-97b
Jan-03i
  • Daily price/share updatesh
  • Exp. covariance matrix with half-life of 250 days for variances and 480 days for correlationsd
datasheetresearch_notes
UK Short-Term UH UKE7S more 11 less
  1. Size
  2. Momentum
  3. Volatility
  4. Trading Activity
  5. Financial Leverage
  6. Value
  7. Yield
  8. Foreign Sensitivity
  9. Growth
  10. Midcap Indicator
  11. Non-Estimation Universe Flag
more 43 less
  1. Investment Trusts
  2. Energy Equipment & Services
  3. Oil & Gas
  4. Chemicals
  5. Construction Materials
  6. Forestry, Paper & Packaging
  7. Metals & Mining ex Steel
  8. Steel
  9. Aerospace & Defence
  10. Building Products
  11. Construction & Engineering
  12. Electrical Equipment
  13. Industrial Conglomerates
  14. Machinery
  15. Commercial Services & Supplies
  16. Transportation
  17. Automobiles & Components
  18. Household Durables and Appliances
  19. Leisure Equipment & Products
  20. Textiles, Apparel & Luxury Goods
  21. Hotels, Restaurants & Leisure
  22. Media
  23. Retailing
  24. Food & Staples Retailing
  25. Beverages
  26. Food, Household & Personal Products
  27. Tobacco
  28. Health Care Equipment & Services
  29. Pharmaceuticals & Biotechnology
  30. Banks
  31. Diversified Financial Services
  32. Consumer Finance
  33. Non-Life Insurance
  34. Life & Health Insurance
  35. Real Estate
  36. Software & Services
  37. Technology Hardware & Equipment
  38. Semiconductors & Semiconductor Equipment
  39. Diversified Telecommunication Services
  40. Wireless Telecommunication Services
  41. Electric Utilities
  42. Gas & Multi-Utilities
  43. Water Utilities
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
2,422 UKE7 Estimation Universe moreLargest 550 UK companies (non-investment trust) and the 110 largest investment trusts less Jan-86a
Jan-81c
Jan-03i
  • Daily price/share updatesh
  • Exp. covariance matrix with half-life of 90 days for variances and 180 days for correlationsd
datasheetresearch_notes
UK Trading UN UKE7t more 11 less
  1. Size
  2. Momentum
  3. Volatility
  4. Trading Activity
  5. Financial Leverage
  6. Value
  7. Yield
  8. Foreign Sensitivity
  9. Growth
  10. Midcap Indicator
  11. Non-Estimation Universe Flag
more 43 less
  1. See UKE7
  2. Energy Equipment & Services
  3. Oil & Gas
  4. Chemicals
  5. Construction Materials
  6. Forestry, Paper & Packaging
  7. Metals & Mining ex Steel
  8. Steel
  9. Aerospace & Defence
  10. Building Products
  11. Construction & Engineering
  12. Electrical Equipment
  13. Industrial Conglomerates
  14. Machinery
  15. Commercial Services & Supplies
  16. Transportation
  17. Automobiles & Components
  18. Household Durables and Appliances
  19. Leisure Equipment & Products
  20. Textiles, Apparel & Luxury Goods
  21. Hotels, Restaurants & Leisure
  22. Media
  23. Retailing
  24. Food & Staples Retailing
  25. Beverages
  26. Food, Household & Personal Products
  27. Tobacco
  28. Health Care Equipment & Services
  29. Pharmaceuticals & Biotechnology
  30. Banks
  31. Diversified Financial Services
  32. Consumer Finance
  33. Non-Life Insurance
  34. Life & Health Insurance
  35. Real Estate
  36. Software & Services
  37. Technology Hardware & Equipment
  38. Semiconductors & Semiconductor Equipment
  39. Diversified Telecommunication Services
  40. Wireless Telecommunication Services
  41. Electric Utilities
  42. Gas & Multi-Utilities
  43. Water Utilities
  • Aegis
  • Models Direct
2,458 see UKE7 Nov-02ac
  • Daily covariance matrix and price/share updates
  • Exp. matrix(48)d
  • Daily GARCHe
datasheet
US UP
UQ
USE4L
USE4S
  • 12
    • Growth
    • Size
    • Non-Linearity Size
    • Dividend Yield
    • Book-to-Price
    • Earnings Yield
    • Beta
    • Residual Volatility
    • Non Linear Beta
    • Momentum
    • Leverage
    • Liquidity
  • 60
    • Oil and Gas Drilling
    • Oil and Gas Equipment and Services
    • Oil and Gas Exploration and Production
    • Oil Gas and Consumable Fuels
    • Chemicals
    • Specialty Chemicals
    • Construction Materials
    • Containers and Packaging
    • Paper and Forest Products
    • Aluminum Steel
    • Precious Metals Gold Mining
    • Aerospace and Defense
    • Construction and Farm Machinery
    • Industrial Machinery
    • Building Products
    • Trading Companies and Distributors
    • Construction and Engineering
    • Electrical Equipment
    • Industrial Conglomerates
    • Commercial and Professional Services
    • Airlines
    • Transportation Air Freight and Marine
    • Road and Rail
    • Automobiles and Components
    • Household Durables (non-Homebuilding)
    • Homebuilding
    • Leisure Products Textiles Apparel and Luxury
    • Hotels Leisure and Consumer Services
    • Restaurants
    • Media
    • Distributors Multiline Retail
    • Internet and Catalog Retail
    • Apparel and Textiles
    • Specialty Stores
    • Specialty Retail
    • Household and Personal Products
    • Food and Staples Retailing
    • Food Products
    • Beverages Tobacco
    • Health Care Equipment and Technology
    • Managed Health Care
    • Health Care Providers (non-HMO)
    • Biotechnology Life Sciences
    • Pharmaceuticals
    • Banks
    • Diversified Financials
    • Life Health and Multi-line Insurance
    • Insurance Brokers and Reinsurance
    • Real Estate
    • Semiconductor Equipment
    • Semiconductors
    • Internet Software and IT Services
    • Software
    • Communications Equipment
    • Computers Electronics
    • Diversified Telecommunication Services
    • Wireless Telecommunication Services
    • Electric Utilities
    • Gas Utilities
    • Multi-Utilities Water Utilities Power
  • Models Direct
  • Aegis
12,600 MSCI USA IMI Jul-95ac
  • GICS®-based industries
  • Daily risk updates
  • Time series, structural, and hybrid specific risk model
  • Country factor separates market vs. industry effects
datasheet datasheet research
US Long-Term UB USE3L more 13 less
  1. Volatility
  2. Momentum
  3. Size
  4. Size Non-Linearity
  5. Trading Activity
  6. Growth
  7. Earnings Yield
  8. Value
  9. Earnings Variation
  10. Leverage
  11. Currency Sensitivity
  12. Yield
  13. Non-Est Universe
more 55 less
  1. Mining and Metals
  2. Gold
  3. Forestry And Paper
  4. Chemicals
  5. Energy Reserves
  6. Oil Refining
  7. Oil Services
  8. Food and Beverages
  9. Alcohol
  10. Tobacco
  11. Home Products
  12. Grocery Stores
  13. Consumer Durables
  14. Motor Vehicles and Parts
  15. Apparel and Textiles
  16. Clothing Stores
  17. Specialty Retail
  18. Department Stores
  19. Construction and Real Prop
  20. Publishing
  21. Media
  22. Hotels
  23. Restaurants
  24. Entertainment
  25. Leisure
  26. Environmental Services
  27. Heavy Electrical Equipment
  28. Heavy Machinery
  29. Industrial Parts
  30. Electric Utility
  31. Gas Utilities
  32. Railroads
  33. Airlines
  34. Truck/Sea/Air Freight
  35. Medical Services
  36. Medical Products
  37. Drugs
  38. Electronic Equipment
  39. Semiconductors
  40. Computer Hardware
  41. Computer Software
  42. Defense and Aerospace
  43. Telephone
  44. Wireless Telecommunications
  45. Information Services
  46. Industrial Services
  47. Life/Health Insurance
  48. Property/Casualty Ins
  49. Banks
  50. Thrifts
  51. Securities and Asset Management
  52. Financial Services
  53. Internet
  54. Equity Reit
  55. BioTechnology
  • Aegis
  • BarraOne
  • Barra Portfolio Manager
  • TotalRisk
  • BIMe Models Direct
  • Models Direct
9,371 Largest 1500 US stocks moreLargest 1500 US stocks, plus smaller stocks as required for thin industries. Stocks with price less than 5 dollars excluded; S&P 500 members always included. Recent fundamental data must be available. Turnover limited by grandfathering rules. less Jan-73ac
Oct-97b
Jan-03i
  • Daily price/share updatesh
  • Exp. covariance matrix with half-life of 250 days for variances and 750 days for correlationsd
  • Linked specific riskg
  • Multiple industry allocation
datasheetresearch_note
US Short-Term UA USE3S more 13 less
  1. See USE3L
more 55 less
  1. See USE3L
  • Aegis
  • Barra Portfolio Manager
  • Models Direct
9,371 See USE3L Jan-98a
Jan-73c
Jan-03i
  • Daily price/share updatesh
  • Exp. covariance matrix with half-life of 90 days for variances and 480 days for correlationsd
  • Linked specific riskg
  • Multiple industry allocation
datasheetresearch_note
US Smallcap SM USSC more 11 less
  1. Volatility
  2. Momentum
  3. Size
  4. Trading Activity
  5. Growth
  6. Earnings Yield
  7. Value
  8. Stability
  9. Yield
  10. Largecap
  11. Low Price
more 55 less
  1. See USE3L
  • Aegis
  • Models Direct
11,722 Smallcap universe moreStocks ranked 1001 to 3000 by capt plus smaller stocks as needed for industry depth. Frank Russell 2000 members are always included. Balance sheet items must be available. Additional rules to limit turnover. less Jun-81a
Jan-79c
  • Daily price/share updatesh
  • Exp. matrix(90)d
  • Linked specific riskg
  • Multiple industry allocation
  • GARCHe
model_details
US Trading   USTM2 more 6 less
  1. Size
  2. Size Non-Linearity
  3. Short-term Momentum
  4. Long-term Momentum
  5. Volatility
  6. Market Sensitivity
more 55 less
  1. See USE3L
  • Aegis
  • Models Direct
10,500 See USE3L Jan-05ac
  • Daily covariance matrix and price/share updates
  • Exp. matrix(90 days)d
  • Multiple industry allocation
  • GARCH parameters re-estimated monthlye
model_detailsmodel_details
Venezuela   VEE1 more 7 less
  1. Index Flag
  2. Size
  3. Yield
  4. Momentum
  5. Market Sensitivity
  6. Volatility
  7. Value
more 6 less
  1. Commercial Banking
  2. Investment
  3. Food and Drinks
  4. Construction
  5. Manufacturing
  6. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
74 Caracas Stock Exchange moreMost common stocks listed on Caracas Stock Exchange, excluding foreign assets less Oct-97b
  • Exp. matrix(36)d
datasheet
Zimbabwe   ZWE1 more 5 less
  1. Size
  2. Yield
  3. Market Sensitivity
  4. Volatility
  5. Value
more 2 less
  1. Mining/Metals and Minerals
  2. Miscellaneous
  • BarraOne
  • TotalRisk
  • BIMe Models Direct
41 Full universe moreAll assets covered by the model, excluding foreign assets listed on the local market less Oct-97b
  • Exp. matrix(36)d
datasheet

Notes:

  1. Aegis data
  2. BIMe Models Direct (BIMe text file data)
  3. Models Direct (traditional text file data)
  4. Exponentially-weighted covariance matrix with half-life (months) in parentheses. Recent observations are weighted more heavily than distant observations.
  5. GARCH model for market risk. Covariance matrix is scaled to yield GARCH forecast.
  6. Daily Exponentially Weighted Index Variance. Covariance matrix is scaled to yield DEWIV forecast.
  7. Linked specific risk is a feature whereby related assets (for example, class A and B shares of a company or an ADR and its underlying asset) are recognized and treated as highly correlated. Check product documentation for availability.
  8. Check product documentation for availability of daily price, share, and covariance matrix updates.
  9. Barra Portfolio Manager Data
  10. Exponentially-weighted covariance matrix with half-life (days) in parentheses. Recent observations are weighted more heavily than distant observations.