Exploring Macroeconomic Sensitivities: How Investments Respond to Different Economic Environments

摘要

A growing number of investors have come to view their portfolios as a collection of exposures to risk factors. "Risk-based investing" can mean different things to different investors, but the common feature is the emphasis on improved risk diversification. Although many investors identify risks primarily as asset class exposures, others may look at underlying macroeconomic exposures, such as inflation sensitivity. The difficulty with the latter approach is that macroeconomic factors are not directly investable.