241 Market size, equity risk factor models, 361 Market spread, 437 Market timing, 300-301, 304, 432, 444,448,456,464,476 Market value, 582 Markowitz, Harry, 12, 40 Mark-to-market (MTM), 388 Matrix algebra, global equilibrium, 67-70, 74 Matrix pricing, 289, 294 Maturity premium, 344 Maximum likelihood estimates, 243 Mean reversion, 554, 562, 564 Mean-variance optimization, 81, 131, 256 Merger arbitrage, 513 Merrill Lynch: 1-3-Year U.S. Treasury Index, 444 6-Month U.S. T-Bill Index, 444 Miller, Hayes, 463 Mispricing, 286, 295-296 Model risk, 260 Modern portfolio theory (MPT): common applications, 10-13 cost-benefit analysis, 9-10 insights, generally, 32-33 return on investment, 8, 11-12 as risk management strategy, generally, 7-9, 12 size of return, 13, 22 Modified Bank Administration Institute (modified BAI) method, 281 Modified Dietz method, 281, 283 Momentum, generally: factor, 355 GTAA forecasts, 465-467 Monetary policy, 31, 436 Money market securities, 10, 550, 555, 565 Monte Carlo simulation, 128-130, 229-230, 265-266, 269 Monthly data, risk monitoring program, 214, 216 Moody's, 438 Morgan Grenfell Asset Management, 285 Morgan Stanley Capital International (MSCI): All Country World Index (ACWI), 91-93, 95, 98 covariance matrix estimation, 228 EAFE, 78, 177,188,427 emerging markets index (EMF), 93 Equity Index Series, 93-94 Global Industry Classification Standard (GICS), 351 Greece index, 93 index construction, 94, 97 Morocco, 93 World index, 94-96, 98, 476 Mortality rates, 111 Mortgage-backed securities (MBS), 99,435,439-440,442,445 Mortgage pools, 440^41 Mossin, Jon, 36 Multimanager portfolios, 411 Multiperiod return attribution: linking returns, 311-313 linking sources of returns, 313-319 Multiple-asset portfolios, 22 Multivariate analysis, 421 Multivariate normal distribution, 227-228, 239 Municipal bonds, 538, 565, 593 Mutual funds, 103, 286, 295-296, 400, 410-411 Nasdaq Composite Index, 282-283 Nationally recognized statistical rating organization (NRSRO), 438 Natural resources, 103, 105 Negative alpha, 510 Negative RCTE, 382 Nelsons Database, 177-178, 479-480 Net asset value (NAV), 285-286, 295-296, 514-515 New York Stock Exchange, 295 Nikkei 225, 92