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The Barra Aegis System is an integrated suite of equity investment analytics modules, specifically designed to help you actively manage your equity risk against your expected returns. We are pleased to announce the availability of Aegis 4.4, which includes the latest version of the Barra Optimizer
The most significant enhancements to the Barra Optimizer allow you to:
- Correct any misalignment between your alpha factors and risk factors through a new Penalize Residual Alpha function
- Specify fixed transaction costs per trade
- Limit the number of asset names traded
- Use advanced constraints (such as risk budgeting and secondary benchmark risk constraints) and paring constraints (such as minimum/maximum number of assets) together
- Run all optimization types with a market portfolio set
- Define and specify different types of portfolio leverage
- Set minimum number of assets by long or short side
- Rank constraints at the individual factor level
- Set priorities on advanced constraints and roundlotting
- Set soft constraints on advanced constraints, leverage, paring, and long-short side constraints
Aegis 4.4 supports the latest Barra risk models, such as the Barra Europe Equity Model (EUE3) and the newly released Asia Pacific Equity Model (ASE1). New functionality is also available in Aegis Connect, the Excel Add-In.
See Aegis 4.4 New Feature Guide for more details.
