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Risk/Style Factors Covariance Matrix

Hi Q Team

Could you please expose/create risk factors covariance matrix? If it's already exposed, could you please point me to it?

Typically, EMA of covariance of factors will suffice. I am not sure if factor returns are exposed via the API at IDE level.

Why do I need it?
To create mean variance portfolio optimization (Variance calculation using used risk factors and loadings). I think Maximize Alpha optimization with risk factor constraints is not the optimal way for portfolio construction. Variance component (via the risk aversion parameter) in objective function will give better handle on portfolio variance.

Let me know what you think!

1 response

Hi Shiv,

You are correct that having the risk covariance matrix would be very helpful and allow to do mean variance which is preferrable over maximize alpha. Unfortunately it's currently not available but I'll put it in as a feature request.


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