The solution has been developed with capital industry experts of Chinese equity markets, the solution provider said.
E Fund Management managing director Zhen Liu, who is also an MSCI client, said the Barra China Equity Model CNE5 is a major improvement over its predecessor, CHE2, with better industry classifications, new China-specific factor set, and much updated modelling methodology as used in the Barra US Equity Model USE4.
"Here at E Fund, we use Barra CHE2 as an integral part of our core quantitative investment platform, from portfolio optimization, risk management and hedging, to performance attribution. Even with a brief preview of the new Barra CNE5 model, we believe it can give us a better ex-ante estimate and control of the industry and factor exposures and risks, and help us to explore new frontiers in quantitative portfolio management in China," Liu added.
The trade tool also forecasts horizon model daily, which assists portfolio managers to and rebalance their portfolios frequently to capture short term market dislocations, the firm said.
Offering better understanding of sources of risk and return in the short run, the tool also allows them to analyze how their factor tilts affect their portfolio risk and performance.
MSCI managing director of equity portfolio management analytics Peter Zangari said, "This is yet a continuation of MSCI’s model developments designed to improve the accuracy and stability of risk forecasts."
MSCI provides investment decision support tools to asset managers, banks, hedge funds and pension funds to investors across the world.
