Quantifying Macroeconomic Risk
This paper documents collaborative research between State Street and Qontigo on a framework for quantifying macroeconomic risk using a fundamental equity risk model. It expands this framework to a global context and applies it to the Axioma (AXWW4) World-Wide Equity Factor Risk Model, demonstrating how to construct a global macroeconomic risk model and how to use it for exposure monitoring, risk analysis, performance attribution, portfolio construction, and more.
Portfolio Manager, Active Quantitative Equity, State Street Global Advisors
Research Director, Qontigo
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