Portfolio Risk Management — July 20, 2021

When Should I Use a Linked Model?

Case Studies: Axioma Worldwide Equity Linked Factor Risk Model

The best risk model is the one most closely aligned to your strategy. In some cases, using a single integrated regional model may help you achieve better results. We offer a range of Equity Factor Risk Models – US, Developed Markets ex-US, and Emerging Markets – connected as a Linked Model for more flexible and tailored risk forecasting and attribution.

In this whitepaper, we undertake a variety of tests across different types of portfolios, comparing the performance of the Linked Model, the regional sub-models and our global model, the Axioma Worldwide Equity Factor Risk Model, to find out when it is best to use one model vs the other.

Author

Simon Bell

Analytics Research Director