Webinar Series

Best Practices in Hedging

Quantitative Evaluation of Hedge Baskets

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In Part 2 of our Best Practices in Hedging Webinar Series, Omega Point Product Manager Chris Martin was joined by special guest Melissa Brown, CFA, Managing Director, Applied Research at Qontigo to explore industry best practices in simulating and evaluating hedging strategies through the lens of Axioma Factor Risk Models.

Chris and Melissa looked at quantitative evaluation techniques that help differentiate between viable hedge options using risk model-based performance attribution and predicted risk analysis.

High level questions we discussed include:

  • How much better is a custom basket relative to a naive hedge?
  • How can you expect your performance to change with a hedge on?
  • Are there any assets to be wary of in your hedge basket?