Although various asymmetric measures of market risk have been shown to be priced factors for the broader equity market …, life insurer realized equity returns include a much larger premium for bearing downside risk, even after controlling for … firm characteristics and other measures of risk. Cross-sectional regression analysis finds a positive (negative) premium …

downside risk factors and controlling for life insurer characteristics. Although various asymmetric measures of market risk … larger premium for bearing downside risk, even after controlling for firm characteristics and other measures of risk. Cross …

We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk … factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in … quant trading with much shorter holding horizons is suboptimal: (1) longer horizon risk factors (value, growth, etc …