TY - JOUR
T1 - A Century of Macro Factor Investing
T2 - Diversified Multi-Asset Multi-Factor Strategies through the Cycles
AU - Swade, Alexander
AU - Lohre, Harald
AU - Nolte, Sandra
AU - Shackleton, Mark
AU - Swinkels, Laurens
N1 - Publisher Copyright:
© 2024 Portfolio Management Research. All rights reserved.
PY - 2024
Y1 - 2024
N2 - The authors diversify a multi-asset investment portfolio across macroeconomic factors that are mimicked by investable asset classes and style factors. Using a century of global data, they analyze the resulting multi-asset multi-factor portfolio's sensitivities to different macroeconomic scenarios and highlight the relevance of navigating time variation in macroeconomic risk premia. Specifically, they adapt the portfolio allocation to align with the identified macro environment as predicted by a forward-looking business-cycle model. A Black-Litterman framework is used to thus improve upon a diversified macro factor allocation and to further tap into predictive asset class and style factor signals.
AB - The authors diversify a multi-asset investment portfolio across macroeconomic factors that are mimicked by investable asset classes and style factors. Using a century of global data, they analyze the resulting multi-asset multi-factor portfolio's sensitivities to different macroeconomic scenarios and highlight the relevance of navigating time variation in macroeconomic risk premia. Specifically, they adapt the portfolio allocation to align with the identified macro environment as predicted by a forward-looking business-cycle model. A Black-Litterman framework is used to thus improve upon a diversified macro factor allocation and to further tap into predictive asset class and style factor signals.
UR - https://eprints.lancs.ac.uk/id/eprint/212368/
UR - http://www.scopus.com/inward/record.url?scp=85187999126&partnerID=8YFLogxK
U2 - 10.3905/jpm.2024.1.587
DO - 10.3905/jpm.2024.1.587
M3 - Article
SN - 0095-4918
VL - 50
SP - 37
EP - 56
JO - Journal of Portfolio Management
JF - Journal of Portfolio Management
IS - 5
ER -