Home > Research > Publications & Outputs > Diversifying Macroeconomic Factors — For Better...
View graph of relations

Diversifying Macroeconomic Factors — For Better or for Worse

Research output: Working paper

Published

Standard

Diversifying Macroeconomic Factors — For Better or for Worse. / Amato, Livia; Lohre, Harald.
2021.

Research output: Working paper

Harvard

APA

Vancouver

Author

Bibtex

@techreport{f449faedead14805952ac1c28a0f6ac1,
title = "Diversifying Macroeconomic Factors — For Better or for Worse",
abstract = "It is widely acknowledged that asset returns are driven by common sources of risk, especially in challenging times when the benefits from traditional portfolio diversification fail to realize. From a top-down perspective, investors are mostly concerned about shocks in growth or inflation that ultimately govern the pricing of broad asset classes. To this extent, we propose a natural asset allocation framework to achieve a diversified exposure to orthogonal macro risk factors and to harvest the associated long-term premia. We examine the role and usefulness of different types of macroeconomic variables, as systematic sources of risk or state variables that drive time variation in the asset returns, and compare their diversification potential across different states of the world.",
author = "Livia Amato and Harald Lohre",
year = "2021",
month = jan,
day = "8",
language = "English",
type = "WorkingPaper",

}

RIS

TY - UNPB

T1 - Diversifying Macroeconomic Factors — For Better or for Worse

AU - Amato, Livia

AU - Lohre, Harald

PY - 2021/1/8

Y1 - 2021/1/8

N2 - It is widely acknowledged that asset returns are driven by common sources of risk, especially in challenging times when the benefits from traditional portfolio diversification fail to realize. From a top-down perspective, investors are mostly concerned about shocks in growth or inflation that ultimately govern the pricing of broad asset classes. To this extent, we propose a natural asset allocation framework to achieve a diversified exposure to orthogonal macro risk factors and to harvest the associated long-term premia. We examine the role and usefulness of different types of macroeconomic variables, as systematic sources of risk or state variables that drive time variation in the asset returns, and compare their diversification potential across different states of the world.

AB - It is widely acknowledged that asset returns are driven by common sources of risk, especially in challenging times when the benefits from traditional portfolio diversification fail to realize. From a top-down perspective, investors are mostly concerned about shocks in growth or inflation that ultimately govern the pricing of broad asset classes. To this extent, we propose a natural asset allocation framework to achieve a diversified exposure to orthogonal macro risk factors and to harvest the associated long-term premia. We examine the role and usefulness of different types of macroeconomic variables, as systematic sources of risk or state variables that drive time variation in the asset returns, and compare their diversification potential across different states of the world.

M3 - Working paper

BT - Diversifying Macroeconomic Factors — For Better or for Worse

ER -