Abstract

http://ssrn.com/abstract=1708245
 
 

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Capturing Equity Risk Premia (August 2010)


Jose Menchero


MSCI Barra

Andrei Morozov


MSCI Inc.

August 3, 2010

MSCI Barra Research Paper No. 2010-29

Abstract:     
In this paper we examine three approaches for capturing equity risk premia. In the "simple" approach, the manager goes long stocks with positive exposure and shorts stocks with negative exposure, but makes no effort to control for other exposures or to minimize risk. In the "pure" approach, the manager selectively retains only exposure to the desired factor, while hedging all other exposures. In the "optimized" approach, the manager constructs the minimum-risk portfolio with unit exposure to the desired factor. We document the performance of these three factor approaches for the World factor and the eight GEM2 style factors over the period January 1997 through December 2010.

Number of Pages in PDF File: 29

Keywords: approaches capturing equity risk premia portfolio Worlf factor GEM2

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Date posted: November 14, 2010  

Suggested Citation

Menchero, Jose and Morozov, Andrei, Capturing Equity Risk Premia (August 2010) (August 3, 2010). MSCI Barra Research Paper No. 2010-29. Available at SSRN: http://ssrn.com/abstract=1708245 or http://dx.doi.org/10.2139/ssrn.1708245

Contact Information

Jose Menchero (Contact Author)
MSCI Barra ( email )
555 California Street, Suite 1400
San Francisco, CA 94104
United States
Andrei Morozov
MSCI Inc. ( email )
88 Pine Street
2nd Floor
New York, NY 10005
United States
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