MSCI currently covers almost 60,000 equities across 84 markets. We employ analysts around the world to review critical data points, including price, returns, market capitalization and other important data points, on a daily basis. Numerous heuristics are employed to highlight potential issues for manual review.
We continually seek ways of filtering out "false-positives". We measure the ratio of issues requiring actual correction versus those flagged for review as QA "yield" and the more we improve that figure the more we can focus our analysts’ time on resolving real issues.
We recently implemented a unique application of asset factor exposures from the Barra Global Equity Model (GEM2) to help improve our QA yields. From regionalized daily factor returns, we derive each security’s daily specific return and compare that to its forecast volatility. Our previous analyses indicated that variances in daily versus forecasted specific returns were a good measure of return quality and have helped improve our QA yield considerably.
For more about factor return based quality analysis, contact us.
