Barra Risk Factor Analysis

AAA

DEFINITION of 'Barra Risk Factor Analysis'

A multi-factor model created by Barra Inc., which is used to measure the overall risk associated with a security relative to the market. Barra Risk Factor Analysis incorporates over 40 data metrics including: earnings growth, share turnover and senior debt rating. The model then measures risk factors associated with three main components: industry risk, risk from exposure to different investment themes and company-specific risk.

INVESTOPEDIA EXPLAINS 'Barra Risk Factor Analysis'

The Barra Risk Factor Analysis model measures a security's relative risk with a single value-at-risk (VaR) number. This number represents a percentile rank between 0 and 100, with 0 being the least volatile and 100 being the most volatile, relative to the U.S. market. For instance, a security with a value-at-risk number of 80 is calculated to have a greater level of price volatility than 80% of securities in the market and its specific sector.

RELATED TERMS
  1. Price Multiple

    Any ratio that uses the share price of a company in conjunction ...
  2. Stock

    A type of security that signifies ownership in a corporation ...
  3. Comparables

    A valuation technique in which a recently sold asset is used ...
  4. Security

    A financial instrument that represents: an ownership position ...
  5. Metrics

    Parameters or measures of quantitative assessment used for measurement, ...
  6. Value At Risk - VaR

    A statistical technique used to measure and quantify the level ...
Related Articles
  1. Fundamental Analysis

    Sector Rotation: The Essentials

    We look at how the market signals impending economic cycles and sector performance during each stage.
  2. Mutual Funds & ETFs

    4 Steps To Building A Profitable Portfolio

    This is a step-by-step approach to determining, achieving and maintaining optimal asset allocation.
  3. Investing

    Peer Comparison Uncovers Undervalued Stocks

    Learn how to put one of the top equity analysis tools to work for you.
  4. Active Trading

    The Advantage Of Intermarket Analysis

    Analyzing a variety of markets around the world can provide powerful insight into trading opportunities.
  5. Options & Futures

    Avoid Future Shock By Protecting Your Portfolio With Futures

    Worried about protecting your portfolio of diversified stocks and assets? Using futures with correct strategies can help.
  6. Investing

    How Swaptions Can Reduce Risk in Portfolios

    How can investing in Swaptions reduce risk in portfolios.
  7. Investing Basics

    Understanding Risk Averse Investing

    Risk averse describes a low level of risk an investor is willing to accept on his investments. An investor who is risk averse prefers little risk and is willing to accept a lower return because ...
  8. Active Trading Fundamentals

    20 Rules To Trade More Professionally

    Break free from the pack and join the professional minority with an approach that raises your odds for long term prosperity.
  9. Options & Futures

    How to Use Commodity Futures to Hedge

    Both producers and consumers of commodities can use futures to hedge. We explain, using a few examples, how to achieve commodity hedging with futures.
  10. Trading Strategies

    You'll Lose Profits Without This Trading Strategy

    A trading edge defines your technical or strategic advantage in the highly competitive market environment.

You May Also Like

Hot Definitions
  1. Fixed Cost

    A cost that does not change with an increase or decrease in the amount of goods or services produced. Fixed costs are expenses ...
  2. Subsidy

    A benefit given by the government to groups or individuals usually in the form of a cash payment or tax reduction. The subsidy ...
  3. Sunk Cost

    A cost that has already been incurred and thus cannot be recovered. A sunk cost differs from other, future costs that a business ...
  4. Technical Skills

    1. The knowledge and abilities needed to accomplish mathematical, engineering, scientific or computer-related duties, as ...
  5. Prepaid Expense

    A type of asset that arises on a balance sheet as a result of business making payments for goods and services to be received ...
  6. Gordon Growth Model

    A model for determining the intrinsic value of a stock, based on a future series of dividends that grow at a constant rate. ...
Trading Center