Historical Risk Exposure

Overview

The Historical Risk Exposure component helps you evaluate the risk embedded in an asset or portfolio of assets according to the Morningstar Global Risk Model. Just one factor at a time is depicted (via the blue bar), along with the benchmark’s exposure to the factor (the black line), and the risk premium (the red line, showing the return attributed to the specific factor) associated with the factor.

Use this component to identify strategy changes related to a specific factor. Has a manager had consistent exposure to a factor over time? Did a manager increase or decrease exposure to a factor in light of a shift in the risk premium associated with it?

For capabilities common to most components, read the Components Overview.

 

Alternate Uses

Use the Settings icon to change the time period and risk factor being depicted in the chart. The Settings icon also allows you to change the Risk Premium line from showing Period Returns to Cumulative Returns, which can show a much different trend line than periodic returns. You can remove the line for the benchmark on the chart – but still show its data – by changing the Data Type setting to Relative to Benchmark.

Last Updated: June 14, 2018

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