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New Global Multi-Asset Risk Model avaiable

New Global Multi-Asset Risk Model avaiable

The previous Global Multi-Asset Risk Model has been renamed to Global Multi-Asset Model - PCA. (PCA stands for Principal Component Analysis.) Remember that this latter risk model includes factors measuring exposure to the Shift, Twist, and Curvature of changes to short-, medium-, and long-term government bond interest rates.

In contrast, the new Global Multi-Asset Risk Model users see is based on factors for Duration (the sensitivity of a bond’s price to changes in interest rates) and Convexity (the sensitivity of a bond’s duration to changes in interest rates). The result of this risk model being based on these factors is that a much broader set of assets within fixed income funds can be covered. Be sure to read the updated methodology paper explaining the elements of this risk model.

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Last update:
‎07-01-2020 03:24 PM
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