Industry Conferences

SIMCorp IUCM 2022

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April 26, 2022

10:40 a.m. CET & 1:45 p.m. CET | 9:40 a.m. BST & 12:45 p.m. BST

Macro-economic risks are larger than they appear in the factor risk lens

Fundamental managers often make stock selections and weighting decisions based on an economic outlook. Factor-based managers, in contrast, are more likely to follow a purely bottom-up approach, where the goal of the process is to maximize exposure to one or more styles. Yet they often end up with significant economic exposures as a result of the correlation between style factor and economic variables. In this session, we will use a macroeconomic model to evaluate exposures for style-based portfolios, as well as illustrate how fundamental managers can ensure their top-down views are reflected in their portfolios.

Melissa R. Brown
Managing Director, Applied Research