Barra AUE4 will be show enhanced sensitivity to currency risk, market shocks.
Investment decision support provider MSCI has announced its Barra Australia Equity Model, or AUE4, designed to provide portfolio managers better Australian equities markets' risk information, through enhanced style factors that rapidly adjust to market trends and shocks.
Those style factors, which can be applied to long-only or long-short portfolios, incorporate a new volatility regime adjustment methodology, which includes responsive model forecasting, risk and performance analysis, and insight into the investment process.
"The addition of new risk factors [in AUE4] gives us insights into sources of portfolio risk not previously available such as currency risk, an important driver of earnings in Australia for many companies. Beta and residual volatility risk factors give us new tools to construct low volatility strategies that have excellent defensive characteristics in crisis periods," says Todd Kennedy, senior portfolio manager at at Plato Investment Management Limited, an MSCI client.
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