Portfolio Risk Management — March 22, 2021

Qontigo’s Global Linked Model: How to Turn Value at Risk into Value from Risk

In this research piece, we demonstrate the value of the Axioma Worldwide Equity Linked Factor Risk Model (WWLM4-MH or ‘Global Linked Model’) for solving two very common analytical problems when managing global portfolios. Global equity mandates are often broken into specialist mandates segregated by geography.

For this case, we will assume that a global portfolio benchmarked against the STOXX Global 3000 has been allocated to three different managers: 50% of the AUM is placed in a US strategy, 40% is placed in a developed world ex-US strategy, and the remaining 10% is allocated to an emerging market strategy. Any global strategy factor tilts sought by the investor are assumed to be obtained via a completion overlay strategy and the global portfolio analysis presented here is based on an aggregation of three specialist mandates.

Authors

Olivier d'Assier

Senior Principal, Applied Research - APAC