Barra Asia Pacific Equity Model (ASE1)

Local insight into a diverse region


The new Barra Asia Pacific Equity model (ASE1) offers institutional investors with Asia Pacific portfolios a unique set of investment decision support tools.

ASE1 delivers daily forecast updates and deep model history. It may be used by institutional investors to construct risk-adjusted portfolios, understand the drivers of risk and return, and generate new ideas in the investment process.

ASE1 is based on the same high quality data used to construct the MSCI indices. To help institutional investors best align ASE1 with the coverage and detail they need, it is available in three different versions covering:

  • Asia Pacific (ASE1JPN)
  • Asia Pacific ex Japan (ASE1XJP)
  • Asia Pacific ex Japan and China A (ASE1XJC)

Asia Pacific is a large and diverse region and ASE1 was built with this in mind. The model aims to strike a balance between broad market coverage and local market detail. To facilitate this, ASE1 assigns each market in the Asia Pacific region to one of seven local scopes. The ASE1JPN and ASEXJP model versions provide additional insight with local style and industry factors.

Accurate and Responsive
The high level of detail in the factor structure and precise forecasts over both regional and local scopes make ASE1 attractive to institutional investors for the analysis of market-neutral and traditional long-only portfolios, when either broadly diversified, or concentrated.

ASE1 is responsive to changes in volatility and offers daily forecast updates which also provide more flexibility to investors when rebalancing and managing portfolios.

Comprehensive and Flexible Market Coverage
Investors manage a range of strategies and mandates across Asia Pacific as broad as the region itself. ASE1 offers flexibility in coverage, special consideration for Japan and China, high forecast accuracy, and drilldown capabilities to analyze the sources of risk and return in diverse and concentrated regional portfolios. The most comprehensive version of the model covers over 20,000 securities across 15 markets.

Better Understanding of Sources of Risk and Return
By attributing past performance to the model’s risk factors, ASE1 helps managers understand how their factor bets, unintended exposures, or asset-specific returns have contributed to their overall portfolio performance.

Deep Model History 
Investors may also scrutinize how risk and return sources change across time, going back to 1995, such as during the Asian financial crisis or the more recent global financial crisis.

Other Features

  • Highlight similarities and differences between the Japan market and the rest of the region in the ASE1JPN version of the model
  • Research Chinese assets in a pan-Asian context in the ASE1XJP and ASE1JPN versions of the model
  • Develop active 'tilt', passive, or pairs trading strategies built using common factors of ASE1

To find out more, please contact us.