Macro Factor Risk for Equities

Our Risk Models and Analytics help investors understand and measure how macro factors impact their portfolio risk and return

Overview

Decode the Macro DNA in Your Equity Portfolio

The first comprehensive macro risk model and advanced analytics that pinpoint how macro factors impact your portfolio risk and return. We quantify these dynamic relationships across changing market regimes, revealing hidden exposures that are critical for effective risk management and performance attribution.

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Full Portfolio Macro Risk Analysis

Macro factors such as real GDP, inflation, real and nominal rates are increasingly impacting indices stocks and sectors. Traditional equity style factors and thematics are also being impacted by the macro environment. Fund managers, investors and allocators now require a more comprehensive and accurate understanding of these dynamics.

Portfolio return attribution breakdown

Run your portfolio through MFERM and gain a comprehensive view of your performance attribution across macro / non-macro factors, view portfolio macro factor exposures, calculate overall portfolio risk / predicted volatility, see how each macro factor contributes to your total risk and identify / rank stocks that have the highest exposures to any macro factor.

Benefits

Comprehensive Exposure Analysis

Identify previously hidden macro factor exposures across individual stocks and entire portfolios that traditional factor models miss.

Enhanced Risk Attribution

Precisely decompose portfolio risk into specific macro and non-macro components, providing clear visibility into what's actually driving volatility.

Performance Clarity

Understand which macro factors are contributing to or detracting from returns, enabling more informed investment decisions and better client reporting.

Forward-Looking Risk Management

Anticipate portfolio vulnerabilities to macro regime shifts with accurate forecasting of factor sensitivities before they impact performance.