How to Read the US Risk Model
Market: The percent change in the S&P 1500.
Volatility Factors:
VIX: The percent change in the CBOE VIX index. A positive beta implies long volatility exposure; a negative beta indicates short volatility exposure.
Dispersion: percent change in the standard deviation of security returns within the Russell 3000
Style Factors:
Size: A positive beta indicates small cap exposure; negative beta indicates large cap exposure.
Value: A positive beta indicates value exposure; a negative beta implies growth exposure.
Momentum: A positive beta indicates exposure to past winners keep winning and past losers keep losing. Calculated as the best performing securities over the worst performing securities in the Russell 3000 (trailing 12-month security returns).
Yield Curve Factors:
Shift: Parallel shift in the U.S. Treasury curve. Positive beta indicates exposure to rising rates; negative beta to falling rates.
Slope: The slope of the U.S. Treasury curve. Positive beta implies exposure to curve steepening; negative beta implies exposure to curve flattening.
Commodity Factors:
Oil: The percent change in the price of a barrel of Brent crude. Positive beta implies long oil exposure.
Metals: The percent change in the GSCI metals index. Positive beta implies long metals exposure.
How to Read the EU Risk Model
Market: The percent change in the Stoxx 600.
Volatility Factors:
VIX: The percent change in the VStoxx index. A positive beta implies long volatility exposure; a negative beta indicates short volatility exposure.
Dispersion: percent change in the standard deviation of security returns within the Stoxx 600. Positive beta indicates exposure to more deviation of security returns from the average return in the market.
Style Factors:
Size: A positive beta indicates small cap exposure; negative beta indicates large cap exposure.
Value: A positive beta indicates value exposure; a negative beta implies growth exposure.
Momentum: A positive beta indicates exposure to past winners keep winning and past losers keep losing. Calculated as the best performing securities minus the worst performing securities in the Stoxx 600 (trailing 12-month security returns).
Yield Curve Factors:
Shift: Parallel shift in the Eurobonds curve. Positive beta indicates exposure to rising rates; negative beta to falling rates.
Slope: The slope of the Eurobonds curve. Positive beta implies exposure to curve steepening; negative beta implies exposure to curve flattening.
Commodity Factors:
Oil: The percent change in the price of a barrel of Brent crude. Positive beta implies long oil exposure.
Metals: The percent change in the GSCI metals index. Positive beta implies long metals exposure.
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