Risk model data for portfolio rebalancing

T

TompaBay

Hello,

I am looking to implement my own linear optimization to tax-loss harvest and rebalance a portfolio against various risk factors. In the past I have used data sets such as Axioma and MSCI Barra but I am no longer in the industry (and it's been many years, so I'm not sure what's current).

Does anyone have a recommendation for a risk factor model to use? I will be using InteractiveBrokers API to make the trades, and presumably I can pull pricing from there, but I do need risk model data for the universe of tradable equities.

Thanks!
 
See the modal Barra

The Barra Risk Factor Analysis is a multi-factor model, created by Barra Inc., used to measure the overall risk associated with a security relative to the market. Barra Risk Factor Analysis incorporates over 40 data metrics, including earnings growth, share turnover and senior debt rating. The model then measures risk factors associated with three main components: industry risk, the risk from exposure to different investment themes and company-specific risk.
 
Thanks, I've used Barra before. Any ballpark sense on cost for a "family office" (me and a few friends looking to rebalance using it)?
 
I have no experience in this area.
But little knowledge about this area is limited to the theories that I learned at university.

However, In this regard, Brige and Yang have done excellent work on this subject.
I will try to join their work if possible.
 
When we consider the aspect of rebalancing, it is majorly for minimizing the risk related to the target asset. In this periodical buying or selling of the assets in the portfolio would be conducted through which the desired level of risk or asset allocation would be kept.
 
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