Asset Allocation with Business Cycle Dependent Return Predictability
A 2015 paper by Sander on macro signals and regime strategies in equities: the abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Recent studies show that stock returns are only predictable in recessions, and bond returns are only predictable in expansions.”
AssetEquitiesbonds
StrategyMacro signalsmachine learning
InputsMacro
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMacro signals and regime strategies by year
FamilyMacro signals and regime strategies49Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 953
AssetEquities25
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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