We’re using cookies, but you can turn them off in Privacy Settings.  Otherwise, you are agreeing to our use of cookies.  Accepting cookies does not mean that we are collecting personal data. Learn more in our Privacy Policy.

The authors propose a method that uses firm-level measures of macroeconomic exposures to produce better estimations for equity strategies versus standard methods. This approach has applications for equity portfolio construction.


We propose firm-level measures of exposures to macroeconomic risks that substantially improve out-of-sample robustness compared to standard estimation approaches. Systematic equity strategies constructed from such measures offer more consistent macro exposures out of sample than strategies that allocate across sectors or equity-style factors. We do not find significant cost to the performance of such systematic strategies in exchange for targeting exposures to macroeconomic risks, such as interest rates, term spread, credit spread, or inflation. Our methodology can be used to construct equity portfolios for investors who have hedging demands or active views regarding macroeconomic conditions.

About the Author(s)

Felix Goltz

Felix Goltz is head of applied research at EDHEC-Risk Institute, where he supervises a team of researchers who conduct industry surveys and applied research projects on exchange-traded funds, portfolio construction, performance measurement, and reporting. He also co-heads EDHEC-Risk Institute's program on indices and benchmarking. His research focuses on asset allocation with alternative assets and on indexing and passive investment across traditional and alternative investments. His work on hedge fund indices, equity indices, exchange-traded funds, and asset allocation has appeared in leading academic and practitioner journals. Dr. Goltz has contributed to various reference texts on exchange-traded funds, investment management, and hedge funds and teaches postgraduate and executive education courses.

Mikheil Esakia

Mikheil Esakia is quantitative research analyst at Scientific Beta, Nice, France.