Macro Risk Index
The Macro Risk Index is a global macro portfolio covering several asset classes (equity, fixed income, FX, commodities, volatility) and diversified geographical zones (US, Europe, Asia, EMEA).
It is allocated on a weekly basis according to a pure min-volatility strategy based on a proprietary adaptive and robust risk model.
Weekly update (March 1st 2013)
Components of the Macro Risk Index
The index is composed of trackers of the main asset classes and geographical zones:
Risk-driven portfolios: a new class of market observables
Min-volatility Global Macro portfolios provide key risk alerts complementary to more standard indicators such as the VIX. Analyzing the composition and the risk & performance contributions of the Macro Risk Index allows to:
These risk indicators are all the more pertinent in an active risk management process since the min-volatility portfolio is allocated based on an adaptive and robust risk model.