Macro Scenario Analysis
A new approach to building macro scenarios
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.
Key Facts
FLEXIBLE SCENARIOS
Flexible and coherent macro scenarios
Our scenario analysis tool is fully flexible, allowing you to control both short- and long-term shifts and instantly see how they translate into portfolio implications. With highly granular levers, you can build rich, differentiated narratives—whether the scenario is macroeconomic, valuation-driven, geopolitical, or something else entirely.
Each scenario begins from a realistic baseline: the market consensus embedded in current pricing. From there, shocks and changes are translated coherently into portfolio impacts, reflecting key factors such as initial valuation levels, duration, and cross-market relationships.
Explore impacts of shocks to short- and long-term macro drivers, across the full range of asset classes and markets.
PRE-DEFINED SCENARIOS
Ready-made scenarios
Benefit from a curated set of pre-defined scenarios, each designed to offer fast, meaningful insights into how macroeconomic, market, or geopolitical developments could affect your portfolio. These scenarios are built with a clear narrative and strong economic foundations, helping you explore a wide range of plausible futures with minimal setup cost.
The tool also allows you to benchmark the impact of these shocks against historical market pricing—providing valuable context and enhancing your ability to compare past and present risk environments.
Applications
Macro scenario 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.
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