-
Overview
Barra risk factors are particular factors used to implement the Barra risk factor analysis, that consists in a multi-factor model developed by Barra inc. to measure the overall risk to which a financial asset is exposed.
From investopedia.com, the model measures risk factors associated with three main components:
- industry risk, (industry factors)
- risk from exposure to different investment themes, (style factors, or fundamental factors)
- company-specific risk.
-
Style Factors
Style Factors are used to describe the risk or returns of a portfolio or a asset.
Style factors describe them in consistent terms that a board of directors or a portfolio manager can understand.
The first known style factor was the value factor, described in Ben Ghrams 1934 Securities Analysis.
-
Barra vs. CAPM
Barra’s model is a model of covariance (not of returns). You would use it to predict the volatility of a portfolio.
Fama French is a model of return, it is used to assess if the performance of your portfolio exceeds the prediction of their model, which is one of the most academically accepted models of returns, thus it is considered a difficult model to beat.
-
References
How to Understand Barra Module 20201105
最新推荐文章于 2022-04-25 16:47:57 发布