  We give a complete algorithm and source code for constructing general
multifactor risk models (for equities) via any combination of style factors,
principal components (betas) and/or industry factors. For short horizons we
employ the Russian-doll risk model construction to obtain a nonsingular factor
covariance matrix. This generalizes the heterotic risk model construction to
include arbitrary non-industry risk factors as well as industry risk factors
with generic "weights". The aim of sharing our proprietary know-how with the
investment community is to encourage organic risk model building. The
presentation is intended to be essentially self-contained and pedagogical. So,
stop wasting money and complaining, start building risk models and enjoy!
