Macro Projection Model

What Do Macro Factors Say About Your Portfolio?

Access another view of risk and return drivers with macroeconomic factors

With the Axioma Worldwide Macroeconomic Projection Equity Factor Risk Model you can capture consistent risk estimates across your global equity portfolio through the lens of transparent macroeconomic risk factors. And, the model’s unique methodology guarantees a clear connection with the Axioma Worldwide Fundamental Equity Factor Model allowing you to decompose and understand portfolio risk across fundamental factors and components driven by interest rate, inflation, credit, commodity and carbon risk.

Key benefits

Access a holistic view of total risk, systematic risk assessment and attribution through a different lens

Capture additional insight beyond fundamental factor exposures and risks

Avoid misalignment between macroeconomic and fundamental models derived in different frameworks resulting in overall inefficiencies

Increase stability and improve estimation accuracy of macro factor risk compared to traditional macroeconomic time-series models

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Model Factors

  • Term Spread: daily changes in the 10 year – 6-month term spread (GBP, EUR, JPY, USD)
  • Credit Spread: daily log returns of the 5-year node of our BBB credit spread curve (GBP, EUR, JPY, USD)
  • Inflation: daily changes in the 5-year break-even inflation rate (GBP, EUR, USD)
  • Commodities:
    • Commodity: daily returns of the GSCI non-energy commodity spot index
    • Gold: daily returns of the GSCI gold spot index
    • Oil: daily returns of the NYMEX:CL 1 month oil futures
    • Carbon Emission Price: daily returns of 1-year node on the EUA Constant Maturity Futures curve

Delivery

Available on a daily basis and can be accessed in flat file format for use within third party applications and is fully integrable within Qontigo’s portfolio construction, risk management and performance attribution tools.

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