Macro Matters, Even for Fundamental Managers

Using Risk Models to Measure Macroeconomic Risks

With rising inflation concerns and the future of long-term interest rates top of mind for investors, the macroeconomy has been dominating financial headlines. Fundamental managers may be feeling these meaningful market shifts in their portfolios, but still may find it challenging to translate these macroeconomic factors to quantifiable – and actionable – insights… until now!

In this joint webinar with our partners at Qontigo, we discussed how the recently launched Axioma Macro Projection Model offers a unique way to identify a portfolio’s exposures to macroeconomic factors, while maintaining the structure and benefits of a traditional fundamental equity factor risk model. We used the Omega Point platform to showcase practical applications on an active fundamental portfolio including:

  • Exposure and risk analysis to identify unintended macro bets and their underlying sources by sector, industry and security;
  • Historical performance attribution to understand the impacts macro factors had on the portfolio’s recent performance;
  • Select an appropriate universe of stocks
  • Portfolio construction techniques to target macro exposures.