Tactical Asset Allocation, Risk Premia, and the Business Cycle: A Macro Regime Approach
提出基于领先经济指标和全球风险偏好的宏观状态框架，将市场分为复苏、扩张、放缓、收缩四种状态，分析不同状态下资产类别和风险因子的表现，并给出战术资产配置策略示例，信息比率在0.70-0.80之间。
Market conditions change over the course of the business cycle. When are investors compensated to take risk? And what type of risk? We propose a practical regime-based framework for tactical asset allocation (TAA), combining leading economic indicators and global risk appetite to identify four macro regimes: recovery, expansion, slowdown, and contraction. We document distinct performance characteristics across regimes for traditional asset classes and their underlying risk factors, focusing on the term premium, credit premium, and equity premium. We provide simple and practical examples of TAA strategies for long-only multi-asset, and fixed income portfolios with the potential to generate attractive excess returns. Results are statistically significant and economically relevant after transaction costs, with information ratios between 0.70 and 0.80.