PORTFOLIO STRATEGY RETURNS AND MACROECONOMIC RISK FACTORS : AN EMPIRICAL ANALYSIS ACROSS THE WORLD AND ASSET CLASSES

The relationship between asset class returns and macroeconomic factors is significant in the asset management industry. Different asset classes react differently to shocks in macroeconomic variables, and the study of these different reactions can lead to the construction of efficient portfolios from the perspective of the risk-return relationship. For example, it is well known that the equity and bond asset classes react differently than the commodity asset class to inflationary shocks. Therefore, it could be expected that portfolio exposure to inflationary risk will be reduced by combining these asset classes. Although such evidence is grounded in the practice of the asset management industry, the underlying theoretical analysis has not yet been fully implemented; therefore, it seems necessary to study the relationship between the returns of the most popular investment strategies and macroeconomic factors in order to bridge this gap