Macro Risk Factors
Uncover your portfolio macro risk factor exposures
AS Macro Risk Factors are a new generation of risk factors built on core economic and present-value principles. The factors move beyond traditional approaches to provide new means for understanding and managing macro risk exposures.
We provide asset allocators, portfolio managers, and risk management professions with intuitive risk exposures related to growth, inflation, rates and risk premiums cover key economic exposures across assets.
Our factors explain a high proportion of variation in asset class returns, ensuring their relevance for modelling asset returns. All factors are available daily, and efficiently delivered conveniently straight to your coding environment for rapid analysis.
Key Facts
MACRO-BASED FACTORS
A New Generation of Risk Factors
AS Macro Risk Factors are a new generation of risk factors built on core economic and present-value principles. Our macro risk factor definitions derive directly from present-value logic, ensuring that factors both explain returns and are recognisable and intuitive macroeconomic drivers.
Mapping asset class returns to distinct and intuitive macro factors brings asset allocation to a new level by improving the understanding of macro risks and opportunities associated with each asset class. Looking at the portfolio from this perspective, it is easier for investors to see the incremental macro risk that a new asset class adds to their portfolio and what the performance would be under different macro scenarios.
Our risk factors are useful for asset allocators, portfolio managers and risk managers. The applications range from portfolio construction to creating macro scenarios to representing portfolio risk. Our approach incorporates the latest insights on macro modelling and asset pricing, and provides a new lens through which to understand risk relative to existing factor models.
Daily estimates facilitate estimation of timely and precise risk factor exposures, with historical factors and updates available through convenient channels including API, cloud, FTP, and standard formats like CSV and JSON.
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