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Incorporate Alpha Factors Into Risk Measurement

Demonstrate your value to the investment process

risk_ipadActive portfolio managers looking to demonstrate the value that they add to the investment process have historically had two attribution model choices, each with its shortcomings. A Brinson-based framework can lead to issues of interpretation while a risk-based performance attribution model does not account for the proprietary alpha included in the factor model and does not illustrate the skill involved in producing the return.

In this white paper, Aligning Risk & Return: Incorporating Alpha Factors Into Risk, we consider how firms can incorporate their alpha strategies into both a risk and performance measurement framework.

Download this free white paper to see why a custom variant can lead to enhanced portfolio construction, more precise risk estimates, decomposition, and performance attribution when used alongside a standard, commercially-available risk model.

Get the Risk & Return White Paper