Barra Hedge Fund Model

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Identifies risk factor exposures to facilitate risk budgeting and efficient allocation of hedge fund strategies


BarraOne now offers institutional investors the ability to integrate alternative strategies with limited or no asset level transparency into advanced risk and portfolio construction analyses. By combining traditional equity, fixed income and currency factors with alternative factors, BarraOne is able to model the systematic risk of a fund and allow you to integrate hedge funds into your asset allocation process.

BarraOne uses hedge fund databases to construct alternative risk factors. These factors capture the non-traditional portion of systematic risk stemming from strategy, illiquidity or non-linearities in hedge funds. To determine the factor exposures of a hedge fund, BarraOne performs a series of statistical processes based on the fund's return series to identify the risk factors that best explain the fund's returns.

Key Features & Benefits

  • Analyze funds and strategies where asset level transparency is not available. BarraOne requires only fund classification and returns data to identify risk factor exposures.
  • Incorporate hedge funds into a rigorous risk budgeting exercise aimed at the most efficient allocation of capital.
  • Review hedge funds to understand levels of risk arising from strategy, market and idiosyncratic sources. Determine how correlated your hedge funds are with more traditional investments.

To learn more about the Barra Hedge Fund Model, read Hedge Fund Modeling, the latest Model Insights paper from the Hedge Fund Risk Modeling Team, or contact us.