Quant Insight brings MFERM to FactSet Portfolio Analytics

Quant Insight and FactSet have collaborated to bring macro risk measurement to the global investment community.

As of 5 August 2026, Quant Insight's Macro Factor Equity Risk Model (MFERM) is available through FactSet's Portfolio Analytics platform, embedding daily macro exposure measurement directly into the research, attribution and holdings workflows investment professionals already use.

Bottom-up equity portfolios carry substantial macro exposure that traditional style-factor models were never built to isolate.
MFERM addresses this.

It starts from observed macro factor returns - growth, rates, credit, inflation, FX, commodities and risk aversion - and measures each security's sensitivity to them.
One of the key outputs, the Macro Share of Risk (MSR), shows how much of a stock's, sector's or portfolio's forecast risk is driven by the macro environment rather than by company-specific factors.

Designed to be economically intuitive, statistically robust and directly actionable, MFERM complements established risk models such as Barra and Axioma rather than replacing them: where style models identify the tilt, MFERM measures how much of that risk is macro in origin.

The model covers more than 16,000 instruments globally
Single-name equities
ETFs
Sector indices
Benchmarks
across the US, Europe and APAC updated daily.

By placing macro exposure alongside the style and sector metrics teams already track, the integration makes macro risk visible, measurable and actionable within a single, trusted environment.

See the Press Release by clicking the Download button

Author
Qi Analytics Team

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