Calculating Risk Information for Private Assets
How is Fabric set up to look at hedge funds or private equity, something that is not mark to market on a daily basis? Is it based off of the historical data coming in from the performance reporting tool? Is it holdings based?
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It's a little bit of both and it depends on which one we're talking about.
MSCI’s private equity model that covers private equity and private credit, the hedge fund model, private real estate model and a private infrastructure model are all built into the multi asset class factor model that Fabric uses.
For Example: The United States Private Equity factor is a factor you get only when invested in private equity.
So MSCI has a what they call their multi asset class factor model which allows for understanding all of the different sources of risk and return looking into different sectors, key rate, durations.
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