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 Scenarios are tools for building counterfactual macro environments and analyzing how individual assets, asset classes, or portfolios perform under these conditions.

Our tools enable clients to build consistent macro scenarios for asset allocation or macro risk management processes. Scenarios are often heavily shaped by historical episodes and data. However, they are more useful when they represent future investment outcomes different from past events—especially in periods of shifting macro environments.

We represent assets and asset classes as bundles of exposures to underlying macro drivers. These factors serve as core building blocks to define key risks within an asset or portfolio, accounting for overlapping exposures of asset classes to macro drivers.

Features

Access tools for macro scenarios

Build scenarios starting with what is priced into markets

Our forward-looking scenario analysis begins with the market consensus on macro drivers. Macro scenarios are defined as a combination of shocks to macro drivers, varying in magnitude and persistence.

Flexible scenario tools incorporating macro conditions and private assets

Our interactive scenario builder allows clients to design their own scenarios. Simulation-based scenarios explore a wider range of macro conditions, with flexibility for further customization.

Scenario applications

Adding value in multiple applications

Multi-asset portfolio stress tests: 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