AS Insights
Allocation Strategy
Macro Risk Factors
AS Macro Risk Factors are a powerful and intuitive lens for understanding and managing macro risk exposures.
Allocation Strategy
Macro Risk Factors
AS Macro Risk Factors are a new generation of risk factors are 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.
- Intuitive risk exposures related to growth, inflation, rates and risk premiums cover key economic exposures across assets.
- Empirically tested factors explain significant proportion of variation in asset class returns.
- Daily frequency and efficient delivery through API.
Asset Price
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Expected Cash Flow
Real Rate
Expected Inflation
Risk Premium
Year 1
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Expected Cash Flow
Real Rate
Expected Inflation
Risk Premium
Year 2
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Allocation Strategy
A New Generation of Risk Factors
AS Macro Risk Factors are a new generation of risk factors are 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.
Macro Risk Factors and Asset Allocation
Mapping asset class returns to distinct and intuitive macro factors brings asset allocation to a new level by improving the understanding of 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.
As part of our ASAMM toolkit, macro risk factors are consistent with other solutions such as CMAs, Optimal Asset Allocation, Macro Scenario Analysis and others. 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.
Key Features
- Daily estimates facilitate estimation of timely and precise risk factor exposures
- Present-value consistent set of factors for all asset classes
- Economically intuitive and relatable factors
- Historical factors and updates available through API
Learn more about our Macro Risk Factors
Contact us to learn more about our Macro Risk Factors and other services, or read more in our Insights series.
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