Macro Scenario Analysis

Allocation Strategy

AS Scenario Analysis tools provide macro-consistent scenarios for asset allocation and stress testing.

Allocation Strategy

Macro Scenario Analysis

AS Macro Scenario tools enable clients to build consistent macro scenarios whether they are part of asset allocation or macro risk management process.

All scenario analysis starts with the market consensus on all macro drivers. Macro scenarios are defined as a combination of shocks to macro drivers which differ in terms of magnitudes and degrees of persistence.

Our interactive scenario builder allows clients to design their own scenarios. This tool allows for simultaneous shifts to macro drivers away from the market consensus and to gauge the price impact of the market repricing across asset classes.

We additionally provide simulation-based scenarios that cover a more comprehensive exploration of macro scenarios with the flexibility to further tailor scenarios and their metrics.

Features

Access tools for creating rich macro scenarios

Expected Cash Flow

Real Rate

Expected Inflation

Risk Premium

year 1

Expected Cash Flow

Real Rate

Expected Inflation

Risk Premium

year 2

Forward-looking

Framework especially suitable for scenarios where markets undergo structural changes

Flexible

Scenario framework suitable especially for creating macro scenarios for private assets

Rich set of applications

Multi-asset portfolio stress test: We provide investors and asset allocators with a comprehensive and intuitive framework for stress testing their multi-asset portfolios using hypothetical scenarios that ensure consistency across asset classes, including private assets.
Designing macro hedging strategies: Economically intuitive and internally consistent factor structure of AS Macro Scenario tools is an ideal framework for designing macro hedging strategies either through static adjustments to the asset composition or dynamic trading programs in liquid asset classes.
Assessing the resilience of private assets: Our scenario tools start from prices (levels) rather than returns, which allows us to model private assets alongside their traded counterparts in a consistent manner.

Allocation Strategy