Macroeconomic Variables

[quiteawesome]

I’m going through a question on portfolio management factor models and the answer states that investor sentiment and business cycle are macroeconomic factors.
Can someone gives some thoughts on that? I would have thought they are statistical factors and that gdp growth, inflation etc are more macroeconomic in nature.

 

[quiteawesome]

Bumping this question up thanks all!

 

[carcosa]

Investor Sentiment and Business Cycles both are direct inferences of the overall economy. Therefore, would be factors included an a macroeconomic factor model. Remember that, statisitcal factor models are rarely used in practice due to their obscure nature; they do not easily explain the data as would a macroeconomic or fundamental factor model.
And you are correct, gdp growth and inflation would also be included in macroeconomic factor models.

 

[S2000magician]

As well as unemployment, net exports, and so on.