White Paper
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.


Author: 

Melissa_circle.png Thomas Bilbé
Portfolio Manager, Active Quantitative Equity, State Street Global Advisors
Melissa_circle.png Esther Mezey
Research Director, Qontigo



© 2020 Qontigo GmBH


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