[R-SIG-Finance] Anyone Know How to Calculate Ex Ante Standard Deviation

[Brian G. Peterson]

Gottlieb, Neil wrote:
> Does anyone know what the Barra Ex Ante Standard Deviation is and how to Calculate it?
> 
> Thanks,
> Neil

Not an R finance question, but this publication (and several other BARRA 
publications):

http://www.barra.com/newsletter/nl169/estimationeuro169.asp

says:
"The standard BARRA technology is to scale these forecasts to make them 
specific risk forecasts by multiplying them by the empirical ratio of mean 
absolute specific return to standard deviation of specific return. We found 
that this ratio differs by capitalization class."

Of course, any Barra subscriber (and if you're not a Barra subscriber, why 
would you try to replicate their analysis?) may just call them up and talk to 
one of their analysts.

Regards,

     - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock