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Multi-Asset Class (MAC) III Risk Model: Axioma AXWW4 Equity

Measuring Risk Across Various Market Environments

In any market environment, it is imperative to have a risk model that reacts to volatility and reflects the true risks that a portfolio faces. With this type of model, investment managers can gain a holistic view of their portfolio risk and performance across different portfolios, asset classes, and asset management styles. 

In this paper, we discuss the structure of the FactSet multi-asset class (MAC) factor risk framework, the types of factors used in its models, and describe estimation techniques used to compute risk factors and the corresponding security returns. Additionally, we detail the methodology behind the computation of various portfolio risk measures and their components, as well as demonstrate the application of these measures to portfolio risk analysis. 

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