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Macro Factor Investing with Style

Research output: Contribution to journalJournal articlepeer-review

Published
<mark>Journal publication date</mark>3/01/2022
<mark>Journal</mark>Journal of Portfolio Management
Issue number2
Volume48
Number of pages25
Pages (from-to)80-104
Publication StatusPublished
<mark>Original language</mark>English

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.