Barra Trading Models
Ideal for equity traders managing risk over short time horizons.

The Barra trading models are ideal for equity traders managing risk over short time horizons.

The Barra trading models are recalibrated daily using tick-by-tick data, which provides timely responses to changing market dynamics. Tracking equity risk enables you to assess the volatility of your profit and loss, build tracking baskets and long/short portfolios.

Designed to optimally predict equity volatilities over a period of one day to five days, models have been developed to cover the US, UK and German markets for broker/dealers, traders, hedge fund managers and investment managers.

The models are delivered through Barra's equity risk management application, the Barra Aegis System, which is used for portfolio risk analysis and construction. The trading models are also distributed as a text file for use with proprietary applications.

The trading models are multiple-factor models with risk factors chosen to best explain short-term equity volatilities. Tick-by-tick market data is used to compute the exposure of each asset in the Barra universe to these risk factors. Barra's industry classifications determine the assets' exposures to industry factors. A portfolio's factor exposures are determined by the factor exposures of its individual assets. The portfolio's exposures can be viewed in absolute terms or relative to a benchmark.