Barra Brass Full Collection Leaks #622

This methodology book describes a generic methodology to create msci barra factor indexes based on the existing msci global or domestic equity indexes (herein, “parent indexes”) using the barra optimizer and the relevant barra equity model.

The release of the new barra us equity model, use4, marks only the latest step in this ongoing journey. 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. In the next chapter a detailed description of barra mfms will complete the theoretical portion of this handbook. The s&p/barra growth and value indexes are constructed by dividing the stocks in an index according to a single attribute This splits the index into two mutually exclusive groups designed to track two of the predominant investment styles in the u.s

Data and information produced by various affiliates of msci inc., including msci esg research inc And barra llc, may be used in calculating certain msci indexes.