Research Insight - Risk from Any Altitude: Using the BarraOne Macro Factors - March 2014
categories: Americas, EMEAI, Risk Management Analytics, Asset Allocation and Asset Liability Management, Factor and Risk Modeling, Investing (Investment Management), Risk Management, RMA, Asia Pacific, BarraOne, Multi-Asset Class, BarraOne, Research Paper, general
This Research Insight is the first in a series of practitioner-oriented case studies based on typical problems faced by institutional investors. This paper addresses the new 'Macro Factor' feature in BarraOne 3.8. Many institutional investors benefit from the granularity of a bottom-up factor model, while others prefer a more aggregated view, decomposing risk into broader themes. The BarraOne Macro Factor feature allows investors to have both views: 'zooming out' to the desired level for top level decision making, while retaining the benefits of a granular factor model for the risk analyst or portfolio manager.