Modern Portfolio Analysis with Factors by Bob Bass, Blackrock Inc.

The asset allocation process that multi-asset investors undertake can be greatly enhanced through the use of factor analysis. We will examine the selection of a relevant, intuitive set of factors and then discuss the underlying models and data that allow for investments of all types to fit within one factor framework. Finally, we will look at how this process can be incorporated into technology to aid investors in making efficient allocation decisions via a factor framework.


Bob Bass is a member of BlackRock’s Factor Based Strategies Group. His primary focus is on building out the tools and analytics necessary to support a factor-based investment process. Mr. Bass formerly led the Client Analytics Group within BlackRock Solutions and was responsible for analytical support for all clients of BlackRock Solutions’ enterprise investment system, Aladdin.

Prior to joining BlackRock in 1998, Mr. Bass was involved in the structuring of project revenue bond transactions for both Lehman Brothers and Salomon Smith Barney.

Mr. Bass earned a BA degree in economics from Dartmouth College in 1989, and an MBA degree with concentrations in statistics and finance from the University of Chicago in 1994.

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