Barra Optimizer

Enabling integration of the Barra optimization engine in your investment platform.


As a quantitative fund manager, a prop trader or an asset allocation specialist, you may want to look at the financial markets in your own individual way, using your customized decision support tools. Some hedge funds, wealth and asset management institutions choose to develop their own platforms to support innovative strategies or tailor their own financial products to custom mandates. From research through to production stages, these platforms make frequent use of specific libraries such as loaders, valuation tools or optimization engines.

With Barra Optimizer, you can now access the Barra optimization engine, a portfolio construction tool, on your investment platform.

Barra Optimizer is a software library that provides you with open access to a range of Barra proprietary solvers. This enables you to:

 Connect the Barra optimization engine to your own investment platform. Through its different APIs, Barra Optimizer can be easily integrated into your own research/back-testing environment, or production-related processes. Interfaces are available in C++, Java, COM, SAS, MATLAB and R.
 Address advanced portfolio optimization cases. Barra Optimizer contains a range of proprietary solvers developed to help users address advanced mean-variance portfolio optimization, and implementation-related problems. Examples include:
  • Large-scale, convex problems with user-defined linear constraints
  • Non-convex cases involving combinations of linear, quadratic and mixed integer constraints
  • Long/short portfolio construction problems, with leverage bounds, risk targets or different side-specific constraints
 Access innovative research and support resources. With an experienced team of operational research specialists in contact with leading investment professionals, MSCI continues to enhance its optimization solvers. Users of Barra Optimizer can access a range of support documents on many practical portfolio optimization topics.

To find out more about how Barra Optimizer can be used in your quant research team, trading group or investment management platform, please contact us.