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Macro Factor Investing with Style

Research output: Contribution to Journal/MagazineJournal articlepeer-review

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


Investors face similar macroeconomic risks and opportunities regardless of their individual investment preferences. To best navigate growth and inflation concerns, the authors propose building macro factor–mimicking portfolios diversified across asset classes and style factors. They focus on the macro factors growth, inflation, and defensive. Their approach allows for shaping the macroeconomic risk exposure of a given portfolio by applying systematic macro factor completion to effectively address specific economic outcomes.