Financial and enterprise data behemoth Bloomberg’s Multi-Asset Class Fundamental Risk Model have been adopted by Marshall Wace.
The liquid alternatives manager with more than US$70 billion in assets, will use the model for quantitative research and systematic investment strategies. The firm chose the risk model to get accurate forecasts and analytics for measuring portfolio risks across asset classes.
The model, called MAC3, is a suite of factor models calculated daily across more than 3,000 factors. It powers risk analytics for Bloomberg’s PORT Enterprise. Risk factor models are used to decompose and forecast risk across multiple dimensions for better portfolio construction.
“Marshall Wace’s adoption of MAC3 underscores the growing demand for high-precision risk models that help institutional investors better understand the factors driving portfolio risk,” said Bloomberg head of portfolio analytics research Jose Menchero.
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