Whitepaper - March 2017

A More Complete View of Equity Portfolio Risk

Exposing Vulnerabilities with a Multi-Asset Class Portfolio Risk Management System

This paper looks at ways the analysis of a global equity portfolio can be enhanced through the use of a multi-asset class portfolio risk management solution to deliver additional insights on the portfolio’s sensitivities to certain macroeconomic factors and co-movements with other asset classes. Specifically, the question we are addressing here is whether we can complement the analysis from our equity fundamental factor models by looking at our portfolio through the lens of a multi-asset class portfolio risk management system not bounded by equity-only factors to identify areas of misalignment with the manager’s views on other asset classes.


Olivier d'Assier

Senior Principal, Applied Research - APAC