Multi-Asset Class Factor Risk Modeling
Redefining risk modeling for a new era of investing
Powered by advanced factor research and daily refreshed data, Bloomberg’s MAC3 Risk Model transforms how investors see and manage risk in a multi-asset world.
Bloomberg MAC3 gives investors a unified and transparent view of portfolio risk across equities, fixed income, commodities and alternative assets. Built on Bloomberg’s unparalleled market data, analytics and factor research, it enables investors to measure, decompose and forecast risk across multiple dimensions, as well as to construct and optimize portfolios with a consistent, data-driven framework for achieving the best risk-adjusted outcomes.
Uncover the sources of portfolio risk
Expose the drivers of systematic risk across equity, fixed income and multi-asset portfolios.
Identify unintended risk bets
Detect hidden biases in your portfolio structure such as factor drift, regional clustering or sector overweights before they impact performance or diversification.
Construct efficient portfolios
Build more resilient portfolios by revealing how risk and return interact across asset classes.
MAC3’s advantages
Smarter factor design
Country and industry betas replace dummy variables for deeper, more accurate risk insight.
Sharper signal quality
Inverse residual variance (IRV) weighting reduces noise and improves factor performance.
Term structure of risk
Six expanded model horizons allow users to align risk forecasting with the prediction horizon.
True risk separation
Finite Sample Adjustment (FSA) isolates factor risk and prevents double counting of idiosyncratic risk.
Adaptive volatility
Cross-sectional volatility adjustment (CSV) responds dynamically to market shifts.
Stable correlations
PCA shrinkage delivers robust, reliable correlation matrices for portfolio optimization.
Applying MAC3 to your workflow
Use Bloomberg’s MAC3 risk models to uncover factor-driven opportunities that enhance systematic strategies and strengthen alpha generation.
Use Bloomberg’s integrated optimization framework to design portfolios that align exposures, balance risk and target superior risk-adjusted returns.
Gain a deeper understanding of key portfolio risk drivers using Bloomberg’s MAC3 multi-asset risk factor framework, which decomposes risk into asset-class specific factors (such as style, industry, curve, and spread) for highly informed decision-making.
Spot hidden exposures and unintended concentrations early using Bloomberg’s transparent factor-based analytics.
Assess how your portfolio performs under shifting market conditions and design targeted hedges using Bloomberg’s multi-asset factor framework.
Access 3,000+ factors across asset classes
KEY STATS
Equity factors
Fixed income factors
Commodity factors
Private equity factors
Currency factors
Insights across every major asset class
Gain actionable insights and analytics across all major asset classes to help you understand and manage risk.
Equities
Global coverage across developed and emerging markets with country and regional models and detailed style factors.
Fixed Income
Sovereign, corporate and securitized exposures with advanced term structure and spread analytics, including coverage for inflation-linked bonds, municipal bonds and leveraged loans.
Commodities
Constant maturity curves and volatility-aware factor structures.
Alternatives
Private equity, funds and hedge funds integrated within one consistent framework.
Explore our risk solutions
MAC3 RISK MODEL FILES
Access and act on the data behind the model
Bloomberg’s MAC3 Risk Model Files service provides access to the model data in a machine-readable format to empower quantitative processes such as factor decomposition, backtesting investment strategies and portfolio construction.
Gain additional insight with Risk Model Files data in CSV format or via API:
- Variance Co-Variance (VCV) Matrix
- Risk Factor Exposures
- Factor Returns
Factor returns shown in the API Factor Explorer Dashboard
Jose Menchero, Head of Portfolio Analytics Research, Bloomberg
Watch: Factor Misalignment & Portfolio Construction: When alpha factors help or hurt.
FEATURED WEBINAR
Factor Misalignment and Portfolio Construction
This focused session discusses factor misalignment in portfolios construction, specifically around how it occurs when mean-variance optimization is performed on an alpha factor that is not contained within the set of risk model factors.
Speaker: Jose Menchero, Head of Portfolio Analytics Research, Bloomberg.
