MSCI: Risk From Any Altitude: Using the Barra®One Macro Factors

Some large institutional investors prefer the granularity of a bottom‐up factor model – the way risk is allocated across markets, styles, issuers and industries – while others may prefer a more aggregated view. These investors would rather decompose risk into a few broad themes, such as by grouping fixed-income risk across markets into a level and a slope factor.

For example, an asset allocation strategist or CIO typically thinks of allocating to several broad risk sources, such as equity