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United Kingdom Equity Model (UKE6) Research Notes
May 2, 2002
This document details the estimation of version 6 of Barra’s UK Equity Model , UKE6, and highlights important improvements upon its predecessor, UKE5, which was introduced in 1994. Section 1 focuses on the model’s estimation universe, its industry and risk index factors. Section 2 discusses the estimation of the factor model and refinements made. UKE6’s risk forecasts, common-factor and specific, are discussed in Section 3. Section 4 looks at the performance of the model.
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