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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)

 Historical values

 

Components of the Macro Risk Index

The index is composed of trackers of the main asset classes and geographical zones:

 

• Equity

     Geographical zones: Europe, US, Japan, Pacific ex-Japan, EMEA, Latin America, Emerging Countries

     Sectors: Biotech, Technology

• Fixed Income US: Gvt 7y, Gvt 10y, High Yield

• Foreign Exchange: Euro/USD, Yen/USD

• Commodities: Agriculture, Gold, Oil

• Volatility: VIX Index

 

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:

 

 

• Monitor asset-class interdependances

• Identify the diversification sources in the financial markets (for hedging purpose for instance)

• Detect high systemic risk periods (when the portfolio is poorly diversified)

 

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.