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Managing uncertainty with DAMS - Asset segmentation in response to macroeconomic changes.

A novel challenge in strategic asset allocation looking at assets as vehicles of more fundamental factors offers a new language to decipher financial markets. This new way forces us to rethink asset segmentation in terms of macroeconomic and market stress scenarios. Traditional approaches look at nominal bonds, commodities and equities as representative of (respectively) deflation, inflation and growth. We show that this interpretation is not adequate: asset classes do not constitute good axes and a rotation in an abstract three-dimensional space is needed in order to get reliable proxies. We firstly analysed a large investment universe in the US (139 assets including traditional and alternative investments) and then we segmented them in order to get the best hedge for each macroeconomic and market stress environment.

POLA Gianni , Quantitative research at Amundi

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Managing uncertainty with DAMS - Asset segmentation in response to macroeconomic changes.
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