Macro Factor Investing with Style
Journal of Portfolio Management, 2022 Quantitative Special Issue, Vol. 48(2), pp. 80-104
Posted: 28 Sep 2021 Last revised: 16 Feb 2023
Date Written: November 3, 2021
Investors face similar macroeconomic risks and opportunities regardless of their individual investment preferences. To best navigate growth and inflation concerns, we propose building macro factor-mimicking portfolios diversified across asset classes and style factors. We focus on the macro factors Growth, Inflation and Defensive. Our approach allows for shaping the macroeconomic risk exposure of a given portfolio by applying systematic macro factor completion to effectively address specific economic outcomes.
Keywords: Macro Factors, Factor Investing, Diversification, Factor Completion
JEL Classification: G11, D81
Suggested Citation: Suggested Citation