The Northfield Adaptive Near Horizon Risk Models are a suite of models that incorporate our Risk Systems That Read method. This process uses current information to condition risk estimates over short horizons. Each model retains the intuitive, proven factor structure of its long horizon counterpart but is adapted to fit instantaneously observed market information that may deviate quite dramatically from historical norms. The Models blend information from news flows, implied volatility, cross-sectional dispersion, and historical pervasive relationships to produce a truly revolutionary risk forecasting model.
- Designed to predict near term risk in every market covered
- Gives managers and traders the most current measure of portfolio risk
- Based on the belief that current market conditions contain the most relevant information about near term behavior