Oct 27, 2022
Eurex
Macroeconomic exposures of style indexes: what you don’t know could hurt you
A multi-factor approach is a time-honored method to achieve diversification across compensated factors and thereby improve a portfolio’s risk-return tradeoff. It has less macro risk than some single-factor styles, but more macro risk than others, and on its own is not a reliable way to reduce macroeconomic exposure. However, a side benefit of a multi-factor approach that also restricts industry exposures is that the resulting portfolio tends to have little exposure to economic forces.
Gain insight from Melissa Brown, managing director of applied research at Qontigo, how changes in the macroeconomic environment can influence portfolio risk across a range of investing styles.
