BARRA Announces Release of the Market Impact Model(TM)
September 15, 1997 10:00 AM
BERKELEY, Calif., Sept. 15 /PRNewswire/ -- BARRA, Inc. BARZ , today announced the release of the first commercially available model that will predict equity transactions costs before trading -- the Market Impact Model(TM). This new model forecasts the direct and indirect costs of trades based on user-specified size and direction of trade, as well as other unique institutional parameters such as parallel trading in multiple accounts and estimated trader skill. As a result, managers can accurately determine which trades to execute for after-cost outperformance.
The Market Impact Model(TM) allows equity managers and traders to confidentially and accurately estimate transactions costs by providing both asset-level and portfolio-level analysis of liquidity. The model's graphs and charts quickly identify market impact costs which increase non-linearly with trade size. BARRA's portfolio construction tools then optimally balance risk, returns expectations and transaction costs.
"Investors judge performance based on realized returns, after transactions costs. Managers need accurate cost estimates to outperform," said Ronald Kahn, vice president and director of research for BARRA.
The Market Impact Model(TM), together with BARRA's U.S. Equity Risk Models, for the first time provides a complete Windows-based package of risk control, returns forecasting and pre-trade cost reduction analytics. This will provide a new standard both for institutional investors competing for ERISA mandates, as well as for intensive trading environments where risk control has not typically been a high priority.
The Market Impact Model is the latest addition to BARRA's suite of equity portfolio analytics within the BARRA Aegis System(TM). This latest version of the Aegis System also includes a historical database capability which allows portfolio managers to view portfolios dating back in time.
BARRA plans to release an Internet-based version of the Market Impact Model which will demonstrate a sample of the model's abilities in the coming months via BARRA's website at barra.com.
BARRA, founded in 1975, provides innovative analytical models, software, consulting and money management services that enable its clients worldwide to make superior investment and trading decisions. Based in Berkeley, Calif., BARRA also has offices in major financial centers throughout the world. Information on BARRA is also available on-line at the company's URL mentioned above.
Each statement in this news release containing any form of the words "will" or "plan" are forward-looking statements that may involve a number of risk factors and uncertainties that could cause actual results to differ materially including: a delay in placing a demonstration sample of the Market Impact Model on BARRA's website. Further information on potential factors that could affect the company are included in the company's Form 10-K for the 1997 fiscal year filed with the Securities and Exchange Commission (SEC). Please refer to the company's SEC filings, copies of which are available from the company without charge for further information. SOURCE BARRA Inc. |
