Key Features

• Optimization Bias Adjustment adjusts the covariance matrix and improves risk forecasts for optimized portfolios.
• Volatility Regime Adjustment calibrates factor volatilities to current market levels.
• Multi-industry scheme re-built for consistency with GICS®, the global industry classification standard developed by MSCI and Standard and Poor's.
• 12,600+ assets covered including American Depository Receipts (ADRs) and cross-lists.
• Enhanced style factors use high quality data and the latest research methodology. New factors include non-linear beta and country factors.
• Separation of market effect from industries, resulting in increased forecast accuracy and greater explanatory power with regards to the industry factor returns, ex-market.
• Daily exposure updates are designed to improve risk monitoring, exposure control, intra-month portfolio rebalancing, scenario/stress-testing and back-testing.
• Deep daily model history back to July 1995.
• 60 Industry factors based on GICS.
• 12 Style factors to model risk sources not captured by the market or industry factors.
• Available in Short- and Long-Horizon versions
• Available in Models Direct, Barra Portfolio Manager and Barra Aegis.

Benefits

• Improved Risk and Performance Analysis: Barra USE4 provides portfolio managers with a better understanding of their sources of risk and return, and the ability to analyze how their factor tilts affect their portfolio risk and performance.
• Insight into the Investment Process: Chief investment officers, portfolio managers, researchers, and risk managers working with US portfolios can now benefit from enhanced style factors that provide detailed forecasts for long-only or long-short portfolios alike. New factors include non-linear beta and country factors.
• Enriched Risk Forecasts for Optimized Portfolios: Barra USE4 enhances the accuracy of risk forecasts for optimized portfolios while maintaining forecast accuracy for non-optimized cases. By using Barra USE4 in their investment process, quantitative portfolio managers and researchers who use a risk model and an optimizer in portfolio construction will gain additional benefits such as the un-biased risk forecast for optimized portfolios.