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Enabling integration of the Barra optimization engine in your investment platform.

As a quantitative fund manager, a prop trader, or an asset allocation specialist, you may want to look at the financial markets in your own individual way, using customized decision support tools. Some hedge funds, wealth, and asset management institutions choose to develop their own platforms to support innovative strategies, or tailor their own financial products to custom mandates. From research to production stages, these platforms make frequent use of specific libraries such as loaders, valuation tools, or optimization engines.

With Barra Optimizer, you can now access the Barra optimization engine, a portfolio construction tool, on your investment platform.

We are pleased to announce the release of Barra Optimizer version 1.2 which includes several new enhancements. Key features include:

Penalize Residual Alpha

• This new function allows you to correct any misalignment between your alpha and risk factors, resulting in an improved portfolio information ratio. You can also view the decomposition of your alphas into the part that is captured by the risk factors and the part that is unrelated.

Easy Integration with the Barra Extreme Risk Library

• New sample code is available that helps constrain Shortfall Betas and makes integration with the Barra Extreme Risk (BxR) library seamless.

Increased Flexibility for Backtesting

• Ranks constraints at the individual factor level.
• Adds advanced constraints (such as non-convex risk constraints and dual benchmarks) and roundlotting for the list of prioritized constraints.
• Sets soft constraints on advanced constraints, leverage, roundlotting, paring constraints (such as minimum/maximum number of assets), and long-short side constraints.

General Enhancements

• Specifies fixed transaction costs per trade with separate costs for buys and sells.
• Limits the number of asset names traded with separate constraints on buy/sell sides and on long/short sides.

New Features for Long-Short Optimization Users

• Specifies and constrains portfolio leverage using new definitions.
• Sets minimum number of assets by long or short side.
• Combines several features previously available with only standard optimization, such as roundlotting, additional paring constraints, and non-convex risk constraints.