Policy Regimes versus Economic Regimes: Implications for Portfolio Construction
研究了零利率政策（ZIRP）与非ZIRP时期作为政策体制与经济体制的不匹配问题，提出基于“相关性”统计量的体制感知方法，帮助机构投资者在政策信号模糊时优化资产配置。
Starting during the Global Financial Crisis and for several years thereafter, then again during COVID, zero-interest rate policy (ZIRP) reshaped asset returns and portfolio construction. As rates normalized, asset managers faced a practical challenge: while ZIRP and non-ZIRP periods are distinct policy regimes, they do not cleanly map to distinct economic environments defined by inflation, growth, and unemployment. This ambiguity complicates strategic asset allocation because institutional investors who had treated regimes as binary occurrences must now approach regimes in a more nuanced way. We introduce a regime-aware approach that measures the “regimeness” of historical periods using a statistic called relevance, allowing allocators to weight past observations by their alignment with prevailing economic conditions rather than by rigid classifications. Using this framework, we generate regime-dependent forecasts of expected returns, volatilities, and correlations across major asset classes and construct portfolios for post-ZIRP conditions. We find that explicitly incorporating regime ambiguity yields clearer allocation guidance, including materially different positioning across credit and commodities. Beyond asset allocation, the framework provides a transparent and adaptive structure for institutional decision-making in environments where policy signals do not neatly define economic reality.