Identifying Sources of Correlation in Global Equity Portfolios

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Source: MSCI Inc.

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Abstract

One challenge for global equity managers is keeping track of correlations between the sources of risk in their portfolios. In the Barra Global Equity Model there are 153 factors (including country, currency, style, and industry factors) that have been identified as being important. This leads to 11,628 unique correlations/covariances of which to keep track between factors. This research bulletin focuses on the different ways that managers can distill this information.
Topics
Portfolio Management
    :
  • Asset Allocation
|
Quantitative Methods
    :
  • Correlation Analysis and Regression
|
Risk Management
    :
  • Portfolio Risk Management
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