Measuring Macro Sensitivity

Putting macro variables under the microscope

Abhik Roy, CFA
10 min read
18 Aug 2025

SUMMARY

  • Macro variables affect portfolios differently
  • Betas and R2 vary significantly with lookback and frequency
  • GDP growth and inflation require unrealistic long track records to be useful

INTRODUCTION

On 2nd April 2025, a date that Mr. Trump dubbed the “Liberation Day”, a sweeping new tariff regime was introduced creating a swift reaction in the markets in the days that followed with the S&P 500 falling by nearly 12%. This led to a tit-for-tat escalation by many of the major trading partners of the U.S. such as China and Canada. Even after four months of multiple negotiations and pauses, the tariff saga still remains a dynamic and expanding issue.

Keep reading with Institutional

Includes the full research library of 400+ articles, plus Returns Analyzer and Risk Analytics for return and risk contribution analysis.