Macro Risk Insight

Measure portfolio macro risk with unique macro sensitivity analysis based on machine learning.

Alternative data for macro risk developed in partnership with Quant Insight™, an expert in machine-learning-driven macro sensitivity analytics. Using innovative quantitative techniques, the Macro Risk dataset provides users with scientific insight into the macro factors driving asset prices.

More science, less opinion

Macro exposure risk explained

Robust and technology-driven
Dynamic, machine-driven Macro Risk data has been designed to help monitor true underlying macro exposure using a rigorous and scientific approach.

Proprietary quantitative model
Macro factors are large in number and highly correlated. This creates challenges for the traditional correlation matrix approach to understanding risk. Quant Insight™ performs large-scale data transformation and applies a modified Principal Component Regression approach. The net result is the ability to measure the independent impact of each macro factor on a stock price.

Calculate portfolio level /stock level macro risk in currency terms
Use the sensitivity data to identify high-risk stocks in various macroeconomic scenarios effectively. Calculate the change in the value of a stock holding from a shift in each of the macro factors.

Stress test and hedge effectively
Robust daily files provide data that enables users to check the impact of various macro shocks on their portfolio and come up with effective hedging strategies before the event.

Powerful insight into macro risk

 

  • Utilise science to enhance the risk monitoring process
  • Quickly scan the bias of a stock or a portfolio – is it macro-driven or micro-driven?
  • Use robust and technology-driven Macro Risk datasets to decompose the risk associated with macro factors smartly
  • Analyse the extent to which stock or portfolio returns will be at risk if certain macro factors move against you – or, in a portfolio, assess which stocks have the highest risk factor.

Powerful insight into macro risk

Data access

Coverage
Pan-European (coverage of other markets available on request)

Data Frequency
Daily (other frequencies available on request)

Delivery
Flat file solution or API for easy integration with user’s internal system

Pan-European Macro Risk data package
Per stock macro vs. micro exposure split
Sensitivity to over 30 macro factors
Estimated share price movement for the change in each macro factor value.

Qi FAQ's

Qi FAQ's

Contact Us

Buy side sales team

Euronext London

Masami Johnstone

mjohnstone@euronext.com
Tel: +44(0) 207 076 0954

Mike Bournes

mbournes@euronext.com
Tel: +44(0) 207 076 0941

Euronext Paris

Lei Wang

lwang@euronext.com
Tel: +33(1) 70 48 28 86

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