Macro Factor Investing with Style

Accounting and Finance

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published

Standard

Macro Factor Investing with Style. / Swade, Alexander ; Lohre, Harald ; Shackleton, Mark et al.
In: Journal of Portfolio Management, Vol. 48, No. 2, 03.01.2022, p. 80-104.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Swade, A , Lohre, H , Shackleton, M , Nolte, S, Hixon, S & Raol, J 2022, 'Macro Factor Investing with Style', Journal of Portfolio Management, vol. 48, no. 2, pp. 80-104. https://doi.org/10.3905/JPM.2021.1.306

APA

Swade, A., Lohre, H., Shackleton, M., Nolte, S., Hixon, S., & Raol, J. (2022). Macro Factor Investing with Style. Journal of Portfolio Management, 48(2), 80-104. https://doi.org/10.3905/JPM.2021.1.306

Vancouver

Swade A , Lohre H , Shackleton M , Nolte S, Hixon S, Raol J. Macro Factor Investing with Style. Journal of Portfolio Management. 2022 Jan 3;48(2):80-104. doi: 10.3905/JPM.2021.1.306

Author

Swade, Alexander ; Lohre, Harald ; Shackleton, Mark et al. / Macro Factor Investing with Style. In: Journal of Portfolio Management. 2022 ; Vol. 48, No. 2. pp. 80-104.

Bibtex

@article{c707ad70c79b434ea4281ee64bfb8846,

title = "Macro Factor Investing with Style",

abstract = "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.",

keywords = "Factor investing, Macroeconomic factors, Style factors, Portfolio construction, Factor completion",

author = "Alexander Swade and Harald Lohre and Mark Shackleton and Sandra Nolte and Scott Hixon and Jay Raol",

year = "2022",

month = jan,

day = "3",

doi = "10.3905/JPM.2021.1.306",

language = "English",

volume = "48",

pages = "80--104",

journal = "Journal of Portfolio Management",

issn = "0095-4918",

publisher = "Institutional Investor, Inc",

number = "2",

}

RIS

TY - JOUR

T1 - Macro Factor Investing with Style

AU - Swade, Alexander

AU - Lohre, Harald

AU - Shackleton, Mark

AU - Nolte, Sandra

AU - Hixon, Scott

AU - Raol, Jay

PY - 2022/1/3

Y1 - 2022/1/3

N2 - 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.

AB - 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.

KW - Factor investing

KW - Macroeconomic factors

KW - Style factors

KW - Portfolio construction

KW - Factor completion

U2 - 10.3905/JPM.2021.1.306

DO - 10.3905/JPM.2021.1.306

M3 - Journal article

VL - 48

SP - 80

EP - 104

JO - Journal of Portfolio Management

JF - Journal of Portfolio Management

SN - 0095-4918

IS - 2

ER -

Research

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