Factoring in Macro Uncertainties
Jun 3, 2015
Understanding the Risk and Return Profiles of Asia ex-Japan Factor Strategies.
Institutional investors use fundamental factors to create systematic portfolio strategies. To help investors construct better Asia ex-Japan portfolios, this Research Insight evaluates the behavior of factors in the new Barra Asia Pacific Equity Model (ASE2) under five forward-looking macroeconomic scenarios. This paper aims to answer these key questions: 1) What factors provide persistent systematic return in Asia ex-Japan equities? 2) How can investors capture these sources of systematic return in portfolios? 3) Which systematic factor strategies can investors use to take advantage of, or provide a hedge to, macroeconomic and market uncertainty?