Excess Returns · Thursday, August 6, 2026
Chan Yang describes their Macro Risk Indicator as an abstraction of macroeconomics into four key dimensions: growth, inflation, policy, and liquidity. The indicator is constructed using decision trees that analyze various indicators within these dimensions to produce a single score from 0 to 100, intended to guide risk exposure.
“Yeah, so I think, so we came with this idea because we wanted to abstract macro down to be something as simple as possible, but no simpler.”
“So, we essentially came with these four dimensions of macro, which is growth, inflation, the traditional kind of bridge waters style framework, and then we added in policy and liquidity as the four.”
“So, it's an attempt to formalize and make repeatable all these, um, relationships, uh, that are intuitive. But you have to kind of do them all at once to get an understanding of that.”