This paper highlights the fundamental-based origins of the factor models used at Barra. Barr Rosenberg and Vinay Marathe (1976) first discussed the theory that the effects of macroeconomic events on individual securities could be captured through microeconomic characteristics such as industry...

The 2008 crisis has offered another look at how emerging market stocks have behaved relative to developed markets. In the aftermath of the crisis, we take a fresh look at emerging markets to explore these questions: Have emerging markets matched growth forecasts? Which segments have performed...

A successful investment process requires a risk management structure that addresses multiple aspects of risk. Here we lay out a best practices framework that rests on three pillars: Risk Measurement, Risk Monitoring, and Risk-Adjusted Investment Management. All three are critical. Risk...

Earnings quality as an investment signal has been popular among equity portfolio managers for the last decade. The basic idea behind this “accruals anomaly” is that stocks with high and increasing accruals tend to have low earnings quality while stocks with low and decreasing accruals tend...

The traditional asset allocation to equities and bonds is characterized by high volatility and lacks sufficient diversification, particularly during periods of distress. The meltdown of 2001-2002, in which markets around the world tumbled together, amply demonstrated this fact. As a consequence,...