Author: Jacobi – jacobistrategies.com
Risk factor modeling is attractive to managers of multi-asset class portfolios for its ability to cut through the sometimes arbitrary layers of diversification embedded in portfolios and provide insight into the underlying drivers of risk and return. In this paper we briefly discuss some of the advantages of using a risk factor modeling approach and the assumptions required to perform ex-ante risk factor-based modeling in Jacobi. We then highlight how Jacobi’s risk factor calibration app can be used to get started in setting up and parameterizing a risk factor-based modeling.
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