Tactical Asset Allocation with Macroeconomic Regime Detection
“Our method outperforms traditional benchmarks such as equal-weight, buy-and-hold, and random regime models.”
AssetMulti-asset
StrategyMacro signalsmarket timing
ClaimExcess return
Long/shortLong-only
Also stated: Macro, benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMacro signals and regime strategies by year
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