Mackenzie Investments Implements Bloomberg’s Multi-Asset Risk Model to Enhance Portfolio Risk Forecasting

Bloomberg announced that Mackenzie Investments, one of Canada’s leading investment firms with approximately $265 billion in assets under management (as of May 31, 2026), has implemented Bloomberg’s Multi-Asset Class Factor Model (‘MAC3’) to strengthen portfolio risk forecasting, factor exposure analysis, and fixed income portfolio construction.

Bloomberg’s next-generation MAC3 is a multi-asset class factor risk model that uses advanced research techniques to provide institutional investors with a unified view of factor exposures across equities, fixed income, commodities, and alternatives.

By implementing MAC3, Mackenzie Investments enhances its ability to:

• Identify and measure factor-driven portfolio risks
• Detect unintended exposures resulting from allocation shifts
• Conduct forward-looking risk forecasting in volatile market environments
• Perform systematic back testing and quantitative strategy validation
• Optimize portfolio construction for improved risk-adjusted returns

Calculated daily across more than 3,000 factors, MAC3 delivers exceptional forecast accuracy across varied portfolios, universes, and investment styles, supporting workflows such as detailed factor-based attribution, factor decomposition, stress testing, and optimization. The model also helps identify broader market signals and analyze risk dynamics across different regimes, incorporating novel methodological innovations that establish it as an industry-leading solution.

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Konstantin Boehmer, Managing Director, Head of Fixed Income at Mackenzie Investments said, “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.”

“Mackenzie Investments were looking for advanced, scalable and accurate risk forecasting models that integrate seamlessly into existing investment workflows,” added Jose Menchero, Head of Portfolio Analytics Research at Bloomberg. “Bloomberg MAC3 models deliver a consistent cross-asset factor framework, providing a full picture of the term structure of risk and enabling their portfolio managers to use longer-term risk forecasts for strategic portfolio positioning while monitoring short-term risk for tactical hedging against unexpected market developments.”

Bloomberg’s MAC3 is delivered in a machine-readable format and via flexible open-infrastructure APIs, enabling seamless integration and efficient retrieval across client workflows. This also enabled compatibility within quantitative research and portfolio management systems, enabling integration into Mackenzie’s existing investment technology infrastructure. MAC3 is also the underlying risk model powering factor driven workflows within Bloomberg’s PORT Enterprise, a premium offering that provides more than 800 clients with sophisticated portfolio risk and return attribution capabilities with enhanced customization and batch reporting. For more information, click here.

Mackenzie Investments currently utilizes Bloomberg AIM, as its multi-asset order management solution, Bloomberg PORT Enterprise for multi asset portfolio analytics and performance attribution and Bloomberg’s ESG Manager for the acquisition, management and publishing of multi-vendor ESG data. They also use Bloomberg Indices as benchmarks for their fixed income funds.

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