Barra has enhanced its Barra Aegis System equity portfolio risk management solution. The company says the new version of Aegis introduces more accurate and timely performance attribution through a daily attribution framework and delivery of daily data; a flexible weight constraint capability to manage concentration risk and enable compliance with the European Union’s Directive of the Undertaking for Collective Investment in Transferable Securities (UCITS) for limiting issuer risk (commonly known as the “5/10/40 rule”); and enhanced client reporting with extended mapping to the Global Industry Classification Standard (GICS).
“With the daily data that Barra now provides — the asset and factor returns plus corporate actions — we can be more effective in our daily trading because we are able to better capture short-term market volatilities in our decisions,” says Giovanni Beliossi, partner at FGS Capital. “We can also do better stress testing on our portfolios using more data points, which gives us greater insight into our strategies’ risk and return profiles. As a result, we can make more informed investment decisions and execute on them more promptly.”
“These enhancements to Aegis are in direct response to client feedback around the difficulties they face in managing portfolios in today’s volatile markets,” adds Michael Bishopp, vice president of equity products at Barra. “This latest release further strengthens Barra’s position as the leading provider of portfolio management systems because Aegis is the only offering that provides integrated daily performance and risk attribution with industry standard risk measures.”