A More Complete View of Equity Portfolio Risk: Exposing Vulnerabilities with a Multi-Asset Class Risk System

This paper looks at ways the analysis of a global equity portfolio can be enhanced through the use of a multi-asset class risk solution to deliver additional insights on the portfolio’s sensitivities to certain macroeconomic factors and co-movements with other asset classes. Specifically, the question we are addressing here is whether we can complement the analysis from our equity fundamental factor models by looking at our portfolio through the lens of a multi-asset class system not bounded by equity-only factors to identify areas of misalignment with the manager’s views on other asset classes.