Monte Carlo Value at Risk

BarraOne computes Monte Carlo Value at Risk (MC VaR) by randomly generating factor returns to simulate asset returns. The Barra Integrated Model (BIM) covariance matrix is used to maintain the correlation structure between factors. This approach allows correlations to be measured over a defined set of factors, independent of the number of assets in the portfolio. Compared to an asset-by-asset covariance matrix, the number of spurious correlations is minimized, increasing the stability of VaR forecasts.
In addition, the factors used to compute parametric risk are the same as the factors being simulated in VaR, leading to compatible and comparable Risk and VaR forecasts.
MC VaR is designed to help clients address their UCITS III regulatory requirements and is available exclusively to subscribers of the BarraOne VaR module.

Performance Attribution

New Performance Attribution Features include time series reports with monthly, cumulative and rolling 6 month snapshots; risk-adjusted performance measures such as Beta, Tracking Error, and Information Ratio; and multiple return sources to support daily asset returns from multiple index vendors.

Currency Hedging

BarraOne now supports hedged portfolio and benchmark strategies. On an ongoing basis, BarraOne will automatically adjust hedging positions to hedge out currency risk as market values change.

Asset Coverage

Coverage for the following assets has been added in BarraOne3.2: Cashflow Assets, Forward Rate Agreements, Interest Rate Caps and Floors, Repos, Equity Claims, Fixed to Float Currency Swaps, Municipal FRNs

X-Sigma Rho Risk Attribution

With the new X-Sigma-Rho risk attribution methodology, the covariance term is attributed in a clear and meaningful way to provide additive risk contributions. All of the active risk is attributed, with no unexplained covariances.

RIMES Integration

Additional index coverage and asset returns are now available in collaboration with RIMES. RIMES will deliver data directly to clients' BarraOne accounts via Barra PartnerLink; data coverage includes indices and returns for global and local markets.

BarraOne Developer's Toolkit

New automation functions include the ability to run optimization jobs and retrieve and analyze results; and create, manipulate, and schedule export sets.