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Alpha Risk-Factor Alignment Webinar

Many asset owners and portfolio managers develop proprietary return forecasting models, but use third-party models to measure risk. While there may be a significant overlap between the factors used in alpha and risk models, at times they may be misaligned. For managers who optimize their portfolios, the optimizer will tend to amplify the component of alpha that is not aligned with the risk model; this may lead to unintended portfolio exposures. In addition, unnecessary trading may result. Both of these unintended consequences may impair portfolio performance.

Please join us for a webinar where we will discuss a practical process for detecting and addressing misalignment in a quantitative portfolio construction setting with BARRA Portfolio Manager (BPM).

AGENDA TOPICS

•    Demonstrate how to use BARRA Portfolio Manager (BPM) to detect and understand the nature of misalignment between alpha and risk factors

•    Show how the MSCI US Total Market Equity Model (USTMM) that includes Systematic Equity Strategies often used as alpha factors can improve alignment

•    Demonstrate implementation of misalignment remedies in BARRA Portfolio Manager (BPM), including a new Rescale Alphas approach

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