Webinar

Evaluating and Comparing Risk Model Performance

Join us for a deep dive into the world of factor risk models, the essential tools for predicting portfolio volatility, optimising your investments, and understanding risk and return. This webinar will introduce you to specific tests or "horse races" to evaluate and compare the performance of competing risk models. We will demonstrate how to identify the efficacy of factor risk models for your investment strategy, and how to properly integrate them into your portfolio analysis.

What you'll learn:
  • Volatility forecasting: Apply bias statistics and Q-statistics to evaluate and compare the accuracy of different risk models' volatility predictions.
  • Portfolio optimization: Learn how to use the realised volatility of optimised portfolios to accurately identify the most efficient portfolio.
  • Low correlation between systematic and idiosyncratic return: we will demonstrate how the choice of regression weights has a significant role in decoupling factor from idiosyncratic returns.

Speakers

Jose Menchero

Head of Portfolio Analytics Research

Bloomberg

Jose Menchero serves as Head of Portfolio Analytics Research at Bloomberg. Jose and his team are responsible for developing the analytics and algorithms used for factor risk models, portfolio risk and return attribution, scenario analysis, tail risk, portfolio construction, and portfolio optimization.

Prior to joining Bloomberg, Jose was the founder and CEO of Menchero Portfolio Analytics Consulting. Before founding his consulting firm, Jose worked for eight years at MSCI, where he was Managing Director responsible for developing the Barra equity risk models, and for portfolio construction research. Jose also served for seven years as Director of Research at Thomson Financial, where he developed several risk and return attribution methodologies, as well as equity factor risk models.

Jose has over 30 finance publications in leading practitioner journals. Before entering finance, Jose was Professor of Physics at the University of Rio de Janeiro in Brazil. Jose holds a PhD in theoretical physics from the University of California at Berkeley, and a BS degree in aerospace engineering from the University of Colorado at Boulder. Jose is a CFA Charterholder.

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