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March 21, 2014

Dynamic factor modeling reveals hidden risks

GUEST POST FROM BENN DUNN, President of Alpha Theory Advisors:

Damian Handzy, CEO of Investor Analytics, and I developed the concept of dynamic factor modeling in this latest article on Risk.net.  We argue that traditional 3rd party vendor models do not accurately reflect many firm’s investment processes and leave measurable risk hidden.  Using beta as a common language between risk and portfolio managers, we recommend leveraging the literally thousands of listed instruments and funds to ease the process of risk measurement and hedging.

Click Here to full the article on Risk.net.

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