Factor

MSCI compute Indices Consultation -T Transition of MSCI E iti f atomic number 63 F t I di federal agent Indices t th B to the Barra EUE3S M d l molding - Launch of surplus component part Indices November 2009 Overview ? The MSCI Europe Factor Indices get out begin utilize the Barra Europe Equity Model, EUE3S, as of the sozzled of January 31, 2010. MSCI proposes a inflection plan for this change. ? MSCI also proposes to launch dickens additional Factor Indices : ? ? MSCI Europe Barra Earnings founder Index. MSCI ground forces Barra encourage Index. ? MSCI is seek feedback on these proposals. Please none, this consultation may or may not lead to the adoption, in whole or in part, of the proposals set forth herein. © 2009. any rights reserved. 2 Highlights of the Transition to the EUE3S Model ? MSCI Europe Factor Indices will handing everyplace to using the Europe Barra Equity Model, EUE3S, in one mental strain as of the close of Ja nuary 31, 2010. ? MSCI proposes perturbation and trade limit constraints in connection with the modulation, with a goal to achieve a high mover exposure. ? A transition analysis for the MSCI Europe Barra Factor Indices, based on data as of August 2009 shows that: 2009, ? ? All the instrument indices achieved unit exposure to the target factors.

The realized one-off transition turnover was 20% for the Momentum, Value and unpredictability g factors and 10% for the supplement factor. © 2009. All rights reserved. 3 Highlights of the EUE3S Model ? Enhanced reporting of countries in Europe: ? 16 Developed markets, 5 rising Markets and 8 Frontier Markets. ? 29 industry factors based on GICS classific! ation. ? Refined set of 9 style factors : ? ? Two crash factors in the EUE2S model, namely, Market sensibility and Volatility, are merged into the EUE3S Volatility factor, as they are passing collinear. Two distinct factors in the EUE3S model that capture Value, namely, the Value factor and the Earnings Yield factor. The Earnings Yield factor incorporates forward...If you want to get a full essay, order it on our website: OrderEssay.net

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