Extended Viewer

Frank Vallario

Research and Insights

Articles by Frank Vallario

    Managing Investments with Fundamental and Stochastic Factor Models

    Research Report | Apr 17, 2013 | Zoltán Nagy, Jyh-huei Lee, Frank Vallario

    For years, practitioners have debated the benefits of using fundamental versus statistical models. In this Research Insight, we argue that the two approaches to risk modeling are complementary, not mutually exclusive. To support our reasoning, we provide a case study that demonstrates how the Barra North America Stochastic Factor Model (NAMS1) and the Barra US Equity Model (USE4) can work in concert to uncover hidden sources of risk.