Definition · Institutional finance

Macro risk

Macro risk is the risk that broad economic or policy conditions reprice asset classes independent of single-security fundamentals. It is the top-down layer of portfolio risk sitting above idiosyncratic and factor risk.

For today's live read, see the live macro briefing.

Taxonomy

  • Rate risk: duration and curve-shape moves driven by policy rates and term-premium repricing.
  • Inflation risk: nominal level and breakeven repricing that reprices real yields and equity multiples.
  • Credit risk: spread widening from default, downgrade, or liquidity stress across IG, HY, and sovereign.
  • Currency risk: dollar-strength cycles and cross-rate moves driven by policy divergence and safe-haven flows.
  • Geopolitical risk: conflict, sanctions, chokepoint disruption, and regime change. See geopolitical transmission.
  • Policy risk: fiscal, monetary, tariff, and regulatory action. See policy market impact.
  • Liquidity risk: funding stress and financial-conditions tightening.

How to measure macro risk

A live macro-risk read combines a regime tag (growth-inflation-policy state) with a small set of price-based signals:

Transmission from macro shock to portfolio

Each macro shock transmits through a four-stage chain: physical or policy trigger, macro repricing (rates, breakevens, FX), sector rotation, single-ticker impact. Market Ontology's transmission mechanism makes that chain explicit for every event on the live event feed.

Frequently asked

What is macro risk?

Macro risk is the risk that broad economic or policy conditions - growth, inflation, interest rates, credit spreads, currencies, or liquidity - reprice asset classes in a way that is not captured by single-security fundamentals. It is the top-down layer of portfolio risk sitting above idiosyncratic and factor risk.

What are the main types of macro risk?

Rate risk (duration and curve shape), inflation risk (level and breakevens), credit risk (spreads and defaults), currency risk (dollar strength and cross rates), geopolitical risk (conflict, sanctions, chokepoints), policy risk (fiscal, monetary, regulatory), and liquidity risk (funding stress, financial conditions).

How is macro risk measured?

In real time, macro risk is read from a small set of price-based indicators: MOVE index for rates volatility, HY OAS for credit stress, VIX for equity vol, DXY for dollar strength, real yields for policy stance, and breakeven inflation for inflation regime. Overlaying a regime tag (growth-inflation-policy state) on top produces the composite read.

How is macro risk different from market risk?

Market risk is the total price risk of holding any asset. Macro risk is the subset of market risk driven by macroeconomic or policy conditions, as opposed to company-specific news or asset-class technicals.

How do investors hedge macro risk?

Rates risk is hedged with duration overlays or futures. Credit risk with CDX or index puts. FX risk with forwards or dollar-index positions. Geopolitical and policy risk with commodity longs (oil, gold) and defense-sector exposure. Regime-aware position sizing is the most durable overlay.

What is the macro risk read today?

The live 48-hour list of macro events, the current regime tag, and the associated rate, credit, FX, and equity vol context are available in the Market Ontology briefing.

For an end-to-end macro-risk workflow, see macro PM daily workflow, or start a trial to run this read on your own portfolio.
Start a trial.