Applied Research:

Using Multiple Risk Models for Superior Portfolio Management... A Practice Not Just For Quants


Melissa Brown, CFA and Chris Canova, CFA

The focus on risk management is today unprecedented. We believe that use of daily multiple risk models - both short and longer horizon, and both fundamental and statistical - can help managers to predict portfolio risk more accurately. Multiple risk estimates provide a more comprehensive view of portfolio risks, and the daily data that underlies these models can help managers to react faster and with more confidence. Indeed, for growing numbers of Axioma's clients the use of multiple daily risk models is already becoming best practice. The case study presented here highlights the benefits of looking at portfolios through the lenses of multiple daily risk models.

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