Research and Insights
Articles by Frank Vallario
Managing Investments with Fundamental and Stochastic Factor ModelsResearch Report | Apr 17, 2013 |
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.