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BarraOne 3.8 Webinar Series: Using Macro Factors to Model Multi Asset Class Portfolios

Please join us for the second webinar in a series covering the latest release of BarraOne 3.8. In this webinar, we cover Macro Factors, one of the headline features of the release. Macro Factors provide users with the ability to explain portfolio exposures using a significantly smaller set of factors across asset classes.

For example, at the highest tier level, just six Macro Factors are used to represent the primary drivers of total risk and return for a global, multi-asset class portfolio: Equity, Interest Rates, Credit, Inflation, Real Assets, and Pure Alternatives factors. Multiple tiers of granularity enable investors to "zoom" in and out to the level of detail desired.

We explore the Macro Factor methodology in more detail, review Macro Factor exposures and risk forecasts, and show how Macro Factors can be integrated in risk management and reporting processes. A case study is presented that shows how different tiers of Macro Factors can be used to communicate core risk drivers with increasing levels of abstraction or granularity.

Agenda Topics Include

  • Estimating Macro Factors from a granular set of integrated factors
  • Available tiers of Macro Factors available
  • Using Macro Factors to attribute the risk of global, multi-asset class portfolios
  • Understanding Macro Factor exposures, factor returns, and risk and return contributions
  • How Macro Factors complement traditional, granular factor risk attributions

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