Scientific Beta

Financial Investigator: "In research published earlier this year, we presented a methodology to estimate stock-level exposures to various macroeconomic risks. Investors may be interested in harvesting the equity premium, while benefiting from rising or falling interest rates or from rising or falling inflation, for example. While such targeted exposures are attractive for investors, a major challenge in designing such equity portfolios is the reliable measurement of exposures to macroeconomic risks."

Financial Investigator 13/06/2023

By Mikheil Esakia, Quantitative Research Analyst, and Felix Goltz, Research Director, Scientific Beta

"(...) In research published earlier this year, we presented a methodology to estimate stock-level exposures to various macroeconomic risks. Investors may be interested in harvesting the equity premium, while benefiting from rising or falling interest rates or from rising or falling inflation, for example. While such targeted exposures are attractive for investors, a major challenge in designing such equity portfolios is the reliable measurement of exposures to macroeconomic risks. Investment practice does not have a convincing answer to this challenge. Investment managers mainly rely on off-the-shelf building blocks, such as sectors or style factors to manage exposure to macroeconomic risks. However, such building blocks have never been designed to efficiently target macro risks. (...)".