Mackenzie adopts Bloomberg MAC3 for portfolio risk

Mackenzie Investments has implemented Bloomberg's Multi-Asset Class Factor Model for its portfolio management teams. The system is being used for risk forecasting, factor exposure analysis and fixed income portfolio construction.

The move adds another Bloomberg tool to the Canadian asset manager's investment technology stack. Mackenzie oversees about AUD $265 billion in assets under management and already uses Bloomberg products for order management, portfolio analytics, ESG data handling and fixed income benchmarks.

Bloomberg's model, known as MAC3, is designed to give investors a single view of factor exposures across equities, fixed income, commodities and alternative assets. Mackenzie is using it to identify hidden sources of portfolio risk, monitor unintended exposures created by allocation changes and test strategies under different market conditions.

Risk models have become more central to portfolio management as large fund managers seek to track how exposures shift across asset classes in volatile markets. Cross-asset approaches are intended to help investment teams compare risks on a more consistent basis, rather than analysing equities, bonds and other holdings in separate frameworks.

Broader use

Mackenzie's adoption also reflects wider use of analytics systems that combine forecasting, stress testing and portfolio construction tools in one workflow. Bloomberg says MAC3 is calculated daily across more than 3,000 factors and supports factor attribution, decomposition, optimisation and scenario analysis.

The model is delivered in machine-readable format and through application programming interfaces, allowing integration into existing research and portfolio management systems. In practice, that means Mackenzie's investment teams can use the model within their current technology setup rather than as a standalone service.

Konstantin Boehmer, managing director and head of fixed income at Mackenzie Investments, said the firm wanted tighter control over the risks it carries in portfolios.

"A portfolio should only carry the risk we intend. With Bloomberg's MAC3, we can now measure and manage those risks with greater precision and consistency across asset classes, strategies and market conditions," Boehmer said.

The implementation is focused in part on fixed income portfolio construction, where managers often need to assess risks linked to duration, credit, curve positioning and broader macro factors at the same time. A cross-asset model can also help teams examine how bond portfolios interact with equity, commodity or alternative exposures elsewhere in a broader mandate.

Integrated systems

Mackenzie already uses Bloomberg AIM as its multi-asset order management system and Bloomberg PORT Enterprise for portfolio analytics and performance attribution. It also uses Bloomberg's ESG Manager for multi-vendor ESG data and Bloomberg indices as benchmarks for its fixed income funds.

That existing relationship may have made integration simpler, particularly for portfolio teams that need risk measures, analytics and trading tools to work together without manual transfers between systems. For larger asset managers, compatibility across platforms is often as much a practical issue as a modelling one.

Jose Menchero, head of portfolio analytics research at Bloomberg, said Mackenzie wanted models that could fit within its current workflows while supporting both longer-term and shorter-term decisions.

"Mackenzie Investments was looking for advanced, scalable and accurate risk forecasting models that integrate seamlessly into existing investment workflows," Menchero said.

"Bloomberg MAC3 models deliver a consistent cross-asset factor framework, providing a full picture of the term structure of risk and enabling portfolio managers to use longer-term risk forecasts for strategic portfolio positioning while monitoring short-term risk for tactical hedging against unexpected market developments," he said.

Bloomberg says PORT Enterprise, which uses the same underlying risk model in factor-based workflows, serves more than 800 clients. That offers some indication of the scale at which integrated portfolio risk and return attribution systems are being adopted across institutional investing.

Mackenzie is part of IGM Financial, which has about AUD $337 billion in total assets under management and advisement, placing the model's deployment within a broader wealth and asset management group with sizeable fixed income and multi-asset operations.