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A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Standard

A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles. / Swade, Alexander; Lohre, Harald; Nolte, Sandra et al.
In: Journal of Portfolio Management, Vol. 50, No. 5, 29.02.2024, p. 37-56.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Swade, A, Lohre, H, Nolte, S, Shackleton, M & Swinkels, L 2024, 'A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles', Journal of Portfolio Management, vol. 50, no. 5, pp. 37-56. https://doi.org/10.3905/jpm.2024.1.587

APA

Swade, A., Lohre, H., Nolte, S., Shackleton, M., & Swinkels, L. (2024). A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles. Journal of Portfolio Management, 50(5), 37-56. https://doi.org/10.3905/jpm.2024.1.587

Vancouver

Swade A, Lohre H, Nolte S, Shackleton M, Swinkels L. A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles. Journal of Portfolio Management. 2024 Feb 29;50(5):37-56. doi: 10.3905/jpm.2024.1.587

Author

Swade, Alexander ; Lohre, Harald ; Nolte, Sandra et al. / A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles. In: Journal of Portfolio Management. 2024 ; Vol. 50, No. 5. pp. 37-56.

Bibtex

@article{abfb602a589a4cb3bc696ed05d5d5859,
title = "A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles",
abstract = "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{\textquoteright}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.",
author = "Alexander Swade and Harald Lohre and Sandra Nolte and Mark Shackleton and Laurens Swinkels",
year = "2024",
month = feb,
day = "29",
doi = "10.3905/jpm.2024.1.587",
language = "English",
volume = "50",
pages = "37--56",
journal = "Journal of Portfolio Management",
issn = "0095-4918",
publisher = "Institutional Investor, Inc",
number = "5",

}

RIS

TY - JOUR

T1 - A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles

AU - Swade, Alexander

AU - Lohre, Harald

AU - Nolte, Sandra

AU - Shackleton, Mark

AU - Swinkels, Laurens

PY - 2024/2/29

Y1 - 2024/2/29

N2 - 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.

AB - 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.

U2 - 10.3905/jpm.2024.1.587

DO - 10.3905/jpm.2024.1.587

M3 - Journal article

VL - 50

SP - 37

EP - 56

JO - Journal of Portfolio Management

JF - Journal of Portfolio Management

SN - 0095-4918

IS - 5

ER -