@article {Swadejpm.2021.1.306, author = {Alexander Swade and Harald Lohre and Mark Shackleton and Sandra Nolte and Scott Hixon and Jay Raol}, title = {Macro Factor Investing with Style}, elocation-id = {jpm.2021.1.306}, year = {2021}, doi = {10.3905/jpm.2021.1.306}, publisher = {Institutional Investor Journals Umbrella}, 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{\textendash}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.Key Findings▪ Asset class and style factor returns have clear sensitivities to salient macro factors that can be utilized to build out diversified macro factor-mimicking portfolios.▪ The authors demonstrate the use of macro factor-mimicking portfolios in a macro factor completion framework to purposefully manage a given portfolio{\textquoteright}s macro factor risk exposure.▪ Important use cases are investors{\textquoteright} positioning in light of negative growth and/or rising inflation scenarios.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/early/2021/11/07/jpm.2021.1.306}, eprint = {https://jpm.pm-research.com/content/early/2021/11/07/jpm.2021.1.306.full.pdf}, journal = {The Journal of Portfolio Management} }