Barra describes the new capability as the “first fundamental risk model for institutional investors based on daily data.” It offers more accurate risk forecasts by incorporating daily returns and investment horizon into Barra’s existing risk models. Additionally, the tool is available in two versions, short-term (for high turnover managers, such as hedge funds) and long-term (for asset managers and plan sponsors who tend to hold positions for > six months). Existing Barra clients will automatically be set up for the long-term model.
In a recent meeting with PLANSPONSOR.com, Barra representatives emphasized the increasingly volatile equity risk levels which make forecasting risk an increasingly difficult business. Barra notes that by relying on daily instead of monthly returns, the Multiple-Horizon Equity Model is able to emphasize the recent past without compromising the quality of its forecasts.
The Multiple-Horizon Equity Model is now available for markets, while the Short-Term model is also available for Japanese markets. Other major equity markets are currently under development. For more information, you can check out http://www.barra.com .