RT Journal Article
SR Electronic
T1 Macroeconomic Dashboards for Tactical Asset Allocation
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 50
OP 61
DO 10.3905/jpm.2018.44.2.050
VO 44
IS 2
A1 David Clewell
A1 Chris Faulkner-Macdonagh
A1 David Giroux
A1 Sébastien Page
A1 Charles Shriver
YR 2017
UL https://pm-research.com/content/44/2/50.abstract
AB A wide body of academic literature suggests that macro factors can be significant drivers of asset returns. And among practitioners, statements such as “stocks make money in expansions and tend to lose money in recessions” are often held as self-evident. However, there is little published on how to use these factors to inform investment decisions. From a practitioner’s perspective, the authors show how to build dashboards to integrate macro factors into a broader discretionary tactical asset allocation process. Importantly, their goal is not to design stand-alone systematic trading strategies based on macro factors. Rather the authors believe that investors should build macro factor dashboards to introduce discipline into their asset allocation process, in combination with other inputs, such as valuations.TOPIC: Analysis of individual factors/risk premia