Two new risk model enhancements, a new cash flow report and additional datasets, highlight June's upcoming BarraOne release. New release features include:

  • A new Private Equity Model: Private equity investors will be able to decompose risk along private equity-specific factors (such as buyout or venture). The new model is fully integrated with BarraOne, allowing clients to understand correlations between private equity and other asset classes.
  • Global Factor Risk Reporting: Clients will be able to decompose risk using a reduced set of global factors for equities using the Global Equity Model (GEM2), and detailed, market-specific factors for other asset classes using the Barra Integrated Model (BIM). This approach reduces the number of factors used to decompose equity risk when compared to the single country equity models in BIM.
  • Cash Flow Reports: New portfolio immunization reports can be used by clients for asset liability matching by comparing portfolio cash flows against a liability benchmark to highlight potential shortfalls. Security-level reports will provide asset level details on expected cash flows over monthly or annual periods and can be used by clients to determine short term reinvestment plans for expected cash flow distributions.
  • Markit CDS Data: Subscribers of Markit CDS, CDX, and iTraxx data will be able to access single name and index terms and conditions and spreads directly in BarraOne
  • Environment, Social, and Governance (ESG) Data: Business Involvement Screening Research (BISR), Intangible Value Assessment (IVA), and Impact Monitor (IM) data will allow clients to identify ESG risks and opportunities in portfolio construction that are not always captured by conventional analysis
  • Liquidity Data: Bid-ask spreads and historical 30, 60, and 90-day average spread for equity and fixed income instruments will support the measurement of risk along different liquidity buckets

Resources

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