Whitepaper - March 2020

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.

Authors

Qontigo Research Team