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Barra multi-factor based risk reporting for smart beta strategies

August 2020

12 August 2020 - Citco's Barra multi-factor reporting provides investment managers with an essential overview of their portfolio's risk/return profile, comparison to mandate and supports portfolio management across differing economic environments. Our multi-factor analytical platform helps clients to understand their fund's exposure not just by sector, region and country, but underlying style factors such as volatility and momentum - which contribute to a fund's risk/return profile and overall returns.

Combining underlying multi-factor analysis data provided by Barra with our performance analytics and reporting, Citco provides:

  • An out-of-the-box solution offering an insight into a portfolio's risk/return profile using multi-factor analysis and comparison to mandate
  • Holistic smart-beta investment analysis and monitoring
  • A variety of factors on each stock covered daily
  • Analysis of performance and exposure using systematic factors which reinforces managers' understanding of the main drivers underpinning returns
  • A decomposition of risk and return into explainable and idiosyncratic components
  • A bridge between passive and active management
  • A variety of PDF reports available
Risk and Transparency Solutions Barra Factor Analysis

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