Newsletter #164 Home
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Three-Part Alphas
BARRA Acquires Global
Advanced Technology
The New Cosmos-U.S.Valuation Algorithms
Cosmos-Japan:A Case Study
Portfolio Managementin Cosmos-U.S.
The CosmosGlobal Optimizer
The BARRA Brainteaser
Winter 1997
Solution to The BARRA
Brainteaser
BARRA Acquires
Global Advanced Technology Corporation
Leader in Fixed Income Analytics
BARRA is pleased to announce the acquisition of Global Advanced
Technology Corporation (GAT). GAT has been a leader in fixed income
analytics and research for over a decade. We believe this acquisition
represents a major advance in the delivery of fixed income analytics
and look forward to combining our resources to better meet our clients'
needs.
Figure 1: Combining firms with complementary product lines grounded in sound academic theory will ensure our ability to deliver superior services incorporating the latest quantitative and modeling techniques.
![[Combined Product Line]](../images/nl164GATcircles.gif)
Figure 2: Over the past 18 years, BARRA and GAT have played key roles in setting standards for fixed income analytics. Upon completion of this transaction we will be able to provide a complete suite of solutions from single-asset analytics to advanced risk modeling.
| 18 Years of Fixed Income Leadership | |||
| 1979 | BARRA introduces the first
multiple-factor bond risk
model for the U.S. market. BARRA introduces concept of "shift, twist, butterfly" interest rate factors. |
1993 | GAT introduces Linear Path Space, a proprietary method of interest rate path sampling for use in valuation and scenario testing. |
| 1986 | Tom Ho introduces the Arbitrage-FreeRate Movement
(AR) model, a general framework to describe
interest-rate- contingent claims. |
1994 | BARRA develops principal components approach to CMO valuation. |
| 1987 | GAT is formed. The Integrative Bond System (IBS) is developed to serve as a delivery mechanism for the Ho-Lee model. | 1995 | BARRA describes new risk
factors affecting volatility and
prepayments,beyond shift,
twist, butterfly. Tom Ho’s paper "Quality-Based Investment Cycle" is published and becomes the basis for corporate risk management for some of the largest insurance companies and banks. |
| 1988 | BARRA introduces the first multiple-factor risk model for global bonds. | 1996 | BARRA releases the Cosmos System™, a suite of Windows-based fixed income portfolio analysis tools for global |
| 1989 | BARRA releases its second-generation U.S. bond model, the U.S. Fixed Income Service (B2). | 1997 | BARRA releases Cosmos-Japan™, a new single-country module for its suite of Windows-based fixed income portfolio analysis tools. |
| 1990 | GAT introduces Key Rate Durations to manage
non-parallel interest rate risk.
Implements and launches the concept in IBS. BARRA publishes analysis of "Convexity and Exceptional Return." |
BARRA releases the Cosmos Global Optimizer™,
allowing market participants
to build superior multi-currency fixed income
portfolios. BARRA acquires GAT. |
|
| 1991 | GAT introduces Precision™, a versatile Windows 3.0-based CMO system with complete database information and analytics. |
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