The shift from Asset Class based allocation to Risk Factor based allocation is an inevitable consequence of globalisation having driven correlations* ever closer together and is also being pushed hard by the consulting industry see the excellent;

http://www.towerswatson.com/assets/pdf/6534/TW-EU-2012-26014_The_wrong_…

At this stage apart from the ubiquitous Fama & French and Carhart 3 & 4 factor models and BARRA to some extent there is still no universality on common factor models with many vendors marketing their own versions.

The broader problem is the underlying flaw in the basic assumption of i.i.d (identically, independently, distributed) and no amount of mathematical sophistry such as Principal Component Analysis (PCA) and the more promising (non-linear), but still flawed, Independent Component Analysis (ICA) designed to enforce independence will make it so in the real world.

For a simple demonstration of the calculation of Intra-Horizon Risk see:

http://www.scribd.com/doc/102103671/Intra-Horizon-VaR-and-Expected-Shor…

For the Normal and GBM cases only at this point.

* Note Correlation itself a deeply flawed and inadequate limited and linear measure of dependence see:

http://www.scribd.com/doc/78729453/Why-Distributions-Matter-16-Jan-2012

and

http://www.scribd.com/doc/37388773/Infiniti-Capital-Four-Moment-Risk-De…