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Making Risk Additive: The Alpha & Beta of Risk Attribution and Risk Delta

You are cordially invited to the second webinar in a Risk Analysis series that focuses on decomposing Total and Active Portfolio Risk into the weighted sum of Marginal Contributions to Risk.

All Analytics are demonstrated with in-depth case studies in Barra Portfolio Manager and BarraOne.

 
Agenda Topics Include:
  • The Alpha and Beta of Risk Attribution
  • Definition of Market Timing and Residual Risk
  • Attribution in Risk Decomposition, Factor Exposure Breakdown and Position Reports
  • Theory and Case Study: Risk Delta - Active Risk Decomposition Over Time
  • Case Study: Market Timing & Residual Risk

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