Social Sharing
Extended Viewer
Mutual Fund Risk
Jan 1, 1997
In 1994 many mutual fund investors experienced staggering and unexpected losses. Amid the resulting public outcry, the U.S. Securities and Exchange Commission considered how to better inform the public of investment risk, and asked for public commentary. The response, from many thousands of individual investors, far surpassed the SEC's expectations. The public has considerable interest in mutual fund risk. As the leading provider of risk models and analytics to the institutional investment community, Barra responded with two reports to the SEC. The first, 'Quantitative Measures of Mutual Fund Risk: An Overview,' outlined the basic issues and choices as informed by our twenty years of modeling risk. The second report, 'Forecasting Mutual Fund Risk: Current Holdings or Past Performance?' followed up with a study comparing methods for forecasting mutual fund risk. This Barra Research Insights document collects these two reports. While the topic specifically focuses on mutual fund risk, we believe the issues and conclusions will interest our institutional clients.
Download