Product Insight - Integrated Fixed Income Risk and Performance Analysis in BarraOne - July 2014

categories: Americas, EMEAI, Risk Management Analytics, Performance Analysis, Risk Management, RMA, Asia Pacific, BarraOne, Multi-Asset Class, BarraOne, Research Paper, AGOD Attila, BOHAK Andras, SHARP Nicholas, SIMON Zsolt, general

This paper demonstrates how BarraOne's Performance Analytics, the correlated stress test engine, and the risk forecasting model can all be integrated to support the investment decision process. Using a case study, we follow the decisions of a hypothetical bond portfolio manager before and after the September 17, 2013 FOMC meeting where the Fed decided to delay tapering their bond-buying program. We leverage the MSCI Macroeconomic Model to forecast the outcome of the decision on tapering, then use BarraOne to analyze the corresponding tactical term structure bet with stress tests, and then reconcile the ex-ante risk forecasts with the realized performance, thus providing an integrated fixed income attribution of both risk and return.

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