Bloomberg L.P. is a financial data and analytics company. Its Portfolio Risk and Analytics team develops the MAC3 Global Equity Risk Model, a commercial factor risk model used for portfolio risk management and optimization.
Relevance to factor investing
Bloomberg’s MAC3 model represents the commercial application of factor investing concepts. While academic models (fama-french-three-factor, fama-french-five-factor) aim to explain expected returns, MAC3 uses a richer set of 14 style factors to forecast portfolio volatility. The model’s factor structure maps closely to academic concepts (value, momentum, size, profitability) but includes additional risk-oriented factors (residual volatility, liquidity, leverage) and uses industry/country betas rather than binary classifications.
Sources
- MAC3 Global Equity Risk Model (File)