MSCI has launched a new generation of risk management models as well as new functionality for its portfolio management and reporting applications in a move to help financial professionals design, implement and report the risk and performance of their investment strategies.
Joining the expansive lineup of MSCI’s Barra equity models, MSCI is launching seven new models in Q4, including an enhanced suite of US models and a range of new Asia-specific models. These new models have been enhanced to include Systematic Equity Strategies (SES) in addition to the standard Barra-style factors found in every Barra model, marking a new era for advancing the standard for measuring and managing risk.
“MSCI is dedicated to helping investment professionals globally by delivering innovative, groundbreaking research, models and software to help identify risk and potential sources of risk to improve returns,” said Peter Zangari, managing director and head of MSCI Portfolio Management Analytics. “As former investment professionals, we take a practitioner’s perspective. MSCI and Barra have always been associated with innovation. This impressive line-up of new, enhanced models and software has been extremely well received by our clients. They appreciate both our responsiveness and commitment to helping them identify risk and achieve better performance in an ever-changing market.”
Additions
For Barra Portfolio Manager, the platform featuring advanced workflow tools designed to help portfolio managers improve the investment processes, as well as construct efficient portfolios of stocks, options, structured products, exchange-traded funds, commodities and composites, MSCI has introduced two major enhancements.
Custom Factor Attribution allows investment managers to customise and/or create new factor structures of risk models to match their own unique investment philosophy while maintaining the Barra risk model excellence; while there is the addition of High Volume Reporting, a new end-to-end reporting workflow using pre-generated or customised reports.
For the firm’s Barra Open Optimiser, MSCI has added a new functionality which can also be integrated into any portfolio construction workflow. This includes constraint-aware roundlotting which ensures the portfolio rules are satisfied while creating round lots and includes threshold constraints; risk parity portfolio construction (also known as equal risk weighting); and transaction cost control through fixed costs, thresholds and maximums on the number of names.
With these latest enhancements, the Barra Open Optimiser moves beyond mean-variance optimisation to support a range of advanced mandates and alternative portfolio construction techniques.
MSCI said that systematic equity strategies, when represented as factors in risk models, allow investment managers to better understand and monitor the sources of risk and return in equity portfolios while capturing volatility and correlations among stocks consistent with their investment horizon.
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