A Century of Macro Factor Investing—Diversified Multi-Asset Multi-Factor Strategies through the Cycles
利用百年全球数据，构建可投资资产和风格因子模拟的宏观因子多资产组合，并通过前瞻性商业周期模型和Black-Litterman框架动态调整配置，以捕捉宏观风险溢价的变化。
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.