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东北证券_1013_东北证券金融工程报告:Barra模型(CNE6)介绍与应用.pdf
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2023-07-28
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东北证券_1013_东北证券金融工程报告:Barra模型(CNE6)介绍与应用.pdf
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[Table_MainInfo]
[Table_Title]
/
Barra (CNE6)
[Table_Summary]
MSCI A CNE6
CNE6 48 20 9
CNE6
ATR CNE6
Barra_Descriptor Barra_Basic
Barra_Style 2006
20 18 95%
67.54% 65.21%
9
anasent beta btop 8.19% 5.86%
5.42% liquidity strev midcap -11.22% -11.10%
-6.76%
9 R
2
42.33% 7 37.43%
CNE5
CNE5 value momentum
size volatility beta
residual volatility beta
liquidity
[Table_Invest]
[Table_PicQuote]
R
2
[Table_Trend]
[Table_IndustryMarket]
[Table_Report]
<Replicating Anomalies>A
2018-03-07
Barra
2018-07-17
[Table_Author]
S0550518090001
S0550118080015
021 2036 3216
xu_zy @nesc.cn
2018-10-13
2 / 16
[Table_PageTop]
1. ............................................................................................... 3
2. ........................................................................................... 3
2.1. ...................................................................................................................3
2.2. ...............................................................................................4
2.3. ...................................................................................................................5
3. ........................................................................................ 6
3.1. ...............................................................................................................6
3.2. ...............................................................................................................8
3.3. ...............................................................................................................8
4. ............................................................................................. 11
4.1. ............................................................................................................. 11
4.2. .........................................................................................................12
5. ..................................................................................................... 13
3 / 16
[Table_PageTop]
MSCI A CNE6
1.
Barra
1
1
1 1 1 2 1
1
1
1 1 1 2 1
2 2 1 2 2 2 2
2 1 2 2 1 1
2
12
12
Im
1
1
1
f
S
p
I
m
f p S
m
I
c
N N N p
Sp
N N N m
Nf
t
t
t
t
rr
f
S S S
u
f
I I I
r r S S S f
I I I u
f
f
S S S
f
I I I
f
rr
N
t
u
i
r
f
r
c
f
I
f
S
f
I
S
-
p n n k k n n
n k n
R w r f w u
2
( ) ( )
p k l kl n n
kl n
V ar R F w V ar u
k
k
CNE6
CNE5
2.
Barra China International Barra US Total Barra Emerging Markets
2.1.
A
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