Validated on 15 years of daily data. Thousands of stocks. Trusted by institutions demanding precision.
MFERM protects you from macro-driven losses and adds alpha to give you a macro edge.
Adding Alpha:
A Repeatable Macro Edge
• Harvest the Dual Risk Premia - Tilt toward whichever engine is paying: Macro or Idio. Proven to add +2.5% annual alpha.*
• Sharpen Stock Conviction - Use macro regime data to size positions with confidence and reduce alpha slippage.
• Transform Risk Management into Alpha - Use forward-looking Macro Share of Risk (MSR) as a signal to play defense or offense.
• Validate Strategy Integrity - Prove your fund's returns are generated by its stated process. Secure allocations.
Add alpha with a repeatable macro edge
• Harvest the dual risk premia by tilting toward the engine paying more - Macro or Idio
• Use macro regime signals to sharpen stock conviction, size positions, and reduce slippage.
• Know when to play defense or offense by turning risk management into alpha generation.
• Validate that returns match your stated process.
Benefits
Accurate Macro Exposures
Stock-level exposure sensitivities derived from a model that orthogonalizes macro factors to remove multicollinearity.
Easy to Interpret
Unlike statistical models, MFERM shows exposures to macro factors themselves. Relate your risks directly to market developments.
Comprehensive Factor Set
Includes daily real GDP estimates and inflation expectations.
Multiple Model Variants
Regional models, with and without market factor, covering a broad stock universe.
Related Insights
