Andreas Schroeder
Head of Index Research and Design, EMEA
Ely Klepfish
Manager, Research, FTSE Russell Index Research and Design - EMEA
Key takeaways:
- Effective risk attribution should be directly aligned with the underlying investment process to ensure relevance and actionable insights
- Our research demonstrates how risk attribution can be aligned to risk factors beyond the original risk model
- We expand risk attribution to market regimes and correlation changes
Points of differentiation:
- Enhanced flexibility with structural alignment: Our approach enables more nuanced and targeted risk attribution — tailored to investor needs — while preserving the total risk profile defined by the original risk model
- Forward looking and expansive scope: We extend traditional risk attribution by incorporating factors beyond the original model and evaluating risk impacts under scenarios outside the model’s construction window, offering a more comprehensive and adaptive perspective
What does our research mean for investors?
- Our framework aligns risk attribution with the way investors construct and manage portfolios — ensuring that risk insights reflect the investment process and are not dictated by the risk model construction
- Investors can explore the impact of hypothetical scenarios or scenarios that fall outside the original model’s time window, enabling more robust stress testing and forward-looking risk assessment
