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london


Total Posts: 302
Joined: Apr 2005
 
Posted: 2011-06-15 22:17
I'm currently looking for an equity multi-factor risk model and want to ask the collective wisdom of np.

Requirements are:
Assets: single name equities only
Region: US only
I'm more interested in the model & the process to generate it (rather than the software it comes with)

I'm speaking to Barra, SunGard(APT), Axioma & NorthField.
Is there anyone else I should be talking to? Maybe smaller players?
I'm keen to hear opinions on the above or pointers to other vendors.

many thanks np.

hedgeQuant


Total Posts: 233
Joined: Dec 2006
 
Posted: 2011-06-18 16:57

A lot depends on your needs. All the above mentioned vendors have different risk models as well. So the answer depends on:

1. Are you going to run a book or whether you are a risk manager looking at exposures across books?

2. How important is cost?

3. What is the time horizon?

 


london


Total Posts: 302
Joined: Apr 2005
 
Posted: 2011-06-18 22:06
Thanks HQ,

Answers:
1) its for a single book rather than aggregating across books. Primary purpose is to have a 3rd party model to use post trade (for client peace of mind)
2) Cost is a consideration, but the ones mentioned are acceptable.
3) Time horizons are typically several days to several weeks

I'm keen to hear pros and cons of these 4. Also I'm still wondering if there are smaller groups that I'm not familiar with? Thanks for any opinions or previous experience, feel free to email direct if you would prefer to give views privately.

hedgeQuant


Total Posts: 233
Joined: Dec 2006
 
Posted: 2011-06-20 05:58
Check your mail.

london


Total Posts: 302
Joined: Apr 2005
 
Posted: 2011-06-20 16:30
thanks for the feedback HQ. It is greatly appreciated, this is why i love np.

ZAxisMapping


Total Posts: 15
Joined: Mar 2007
 
Posted: 2011-06-22 02:43
I'm also very interested in this topic - hedgeQuant, if there's something you can share - I'd be interested. I've only had material experience with Barra...thx.

sfca


Total Posts: 904
Joined: May 2004
 
Posted: 2011-06-22 18:05

I would not use Sungard. 


london


Total Posts: 302
Joined: Apr 2005
 
Posted: 2011-06-22 18:15
@sfca: is that based on them as a company or APT specifically?
thanks

HitmanH


Total Posts: 427
Joined: Apr 2005
 
Posted: 2011-06-22 18:16
Bloomberg have made huge progress on this - can't quite remember the name of the product - but part of their buy-side push, with AIM etc...

Know US equities are already done...

london


Total Posts: 302
Joined: Apr 2005
 
Posted: 2011-06-22 18:23
@HH, thanks for that, am taking a look at it now: RSKF ... it might do the job nicely.

sfca


Total Posts: 904
Joined: May 2004
 
Posted: 2011-06-22 19:13
First, Sungard moved someone into senior risk management there who I worked with once and whose work I have used in some of my posts as an example of how badly risk modeling can be done.  Second, my company inherited a relationship with them and any time they are mentioned in meetings there is reference to discontinuing the unwanted relationship.   

london


Total Posts: 302
Joined: Apr 2005
 
Posted: 2011-06-22 19:31
thanks sfca, appreciate the colour

hedgeQuant


Total Posts: 233
Joined: Dec 2006
 
Posted: 2011-06-26 00:32

Sorry for the delay in replying to the posts/mails. Was busy trying to figure out the fluctuating results in the stat arb space over the last week. (Any color from anyone on that subject would be much appreciated).

ZAxis, could you please tell me what particular purpose you have in mind?

To be short:

Barra is better for taking factor bets. Northfield/Axioma are better for hedging purposes. Also Axioma has daily updates for most of their models.

 


ZAxisMapping


Total Posts: 15
Joined: Mar 2007
 
Posted: 2011-07-26 02:53
@HQ - just looking for lower level details on the advantages/disadvantages of the competing commercial products. I'm interested from both an alpha generation and risk perspective. I can get marketing material and methodologies from each - and come to my own conclusions - but it's nice to hear objective feedback from investors that have dabbled with them in practice. Your high-level is useful and I would love to hear more if it's convenient.

Bloomberg's fundamental factor offering through their ALPHA platform is very similar to Barra's approach. After reading bbg's whitepaper awhile back, I concluded their approach is not particularly innovative - smelled like they just implemented Barra's approach. Nevertheless, could still be useful as they expand the model globally. Bbg is also providing 'investible' factors, with explicit turnover/liquidity constraints, etc. (as an aside, their PORT function could be useful down the road - it handles cardinality constraints, etc. - but it's far from usable in production).

hedgeQuant


Total Posts: 233
Joined: Dec 2006
 
Posted: 2011-08-05 06:37

@ZAxis:

Sorry for the delay in replying. Equity markets have been providing a lot of food for thought...

Could you please put an e-mail in your profile? I would be happy to e-mail you my comments.

 

 

 


AIC


Total Posts: 167
Joined: Apr 2008
 
Posted: 2011-08-05 14:10
@hedgeQuant:

"Barra is better for taking factor bets. Northfield/Axioma are better for hedging purposes. Also Axioma has daily updates for most of their models."

Could you please explain why that is the case. I am just coming up to speed on this and would appreciate any insights. Thanks.


Train yourself to let go of everything you fear to lose- Master Yoda

samerman80


Total Posts: 1
Joined: Jan 2017
 
Posted: 2017-01-18 21:49
Hi HQ, sorry to bring back an old topic, I'm interested in your impressions regarding barra and Axioma, I'm currently evaluating both products and would be keen to hear about your experience with each. I noticed you were sharing your opinion by email, could you please forward your previous email, don't mean to create additional work.
thank you

hedgeQuant


Total Posts: 233
Joined: Dec 2006
 
Posted: 2017-05-22 22:06
Sorry for the delay in replying. I was away for a while. If you are still interested, let me know.

- HQ

zer06


Total Posts: 2
Joined: Jun 2017
 
Posted: 2017-06-07 04:58
also interested in your thoughts. I've used barra in the past at my former firm. we run a short-term stat model internally currently. Never really liked the perf of commercial risk-models once you start normalizing to their factors...
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