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

See all articles by Alexander Swade

Alexander Swade

State Street Global Markets - State Street Associates; Lancaster University - Department of Accounting and Finance

Harald Lohre

Robeco Quantitative Investments; Lancaster University Management School

Mark B. Shackleton

Lancaster University - Department of Accounting and Finance

Sandra Nolte (Lechner)

Lancaster University Management School

Robert S Hixon

affiliation not provided to SSRN

Jay Raol

Invesco

Date Written: November 3, 2021

Abstract

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

Swade, Alexander and Lohre, Harald and Shackleton, Mark B. and Nolte (Lechner), Sandra and Hixon, Robert S and Raol, Jay, Macro Factor Investing with Style (November 3, 2021). Journal of Portfolio Management, 2022 Quantitative Special Issue, Vol. 48(2), pp. 80-104, Available at SSRN: https://ssrn.com/abstract=3930295 or http://dx.doi.org/10.2139/ssrn.3930295

Alexander Swade

State Street Global Markets - State Street Associates ( email )

Brüsseler Str 1-3
Frankfurt, 60327
Germany

Lancaster University - Department of Accounting and Finance ( email )

Lancaster, Lancashire LA1 4YX
United Kingdom

Harald Lohre (Contact Author)

Robeco Quantitative Investments ( email )

Weena 850
Rotterdam, 3011 AG
Netherlands

Lancaster University Management School

Bailrigg
Lancaster LA1 4YX
United Kingdom

HOME PAGE: http://www.lancaster.ac.uk/lums/people/harald-lohre

Mark B. Shackleton

Lancaster University - Department of Accounting and Finance ( email )

The Management School
Lancaster LA1 4YX
United Kingdom
44 1524 594131 (Phone)
44 1524 847321 (Fax)

Sandra Nolte (Lechner)

Lancaster University Management School ( email )

Lancaster, Lancashire LA1 4YX
United Kingdom

Robert S Hixon

affiliation not provided to SSRN

Jay Raol

Invesco ( email )

An der Welle 5
Frankfurt am Main, 60322
Germany

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