Journal of Portfolio Management · Volume 43,Issue 4, Summer 2017

策略性资产分配的宏观经济指示板

作者：David Clewell（T. Rowe Price in Baltimore, MD.）

Chris Faulkner-Macdonagh（T. Rowe Price in Baltimore, MD）

David Giroux（T. Rowe Price in Baltimore, MD.）

Sébastien Page（T. Rowe Price in Baltimore, MD.）

Charles Shriver（T. Rowe Price in Baltimore, MD.）

摘要：大量学术文献表明，宏观因素可能是资产回报的重要推动力。在从业者中，诸如“股票在经济扩张阶段赚钱，在衰退中往往会亏钱”这样的言论，往往被认为是不言自明的。然而，关于如何利用这些因素来进行投资决策的研究却很少。从从业者的角度来看，作者展示了如何构建指示板来将宏观因素整合到更广泛的可自由支配的策略性资产分配过程中。重要的是，他们的目标不是基于宏观因素来设计独立的系统交易策略。相反，作者认为，投资者应该建立宏观因素指示板，将宏观因素纳入到他们的资产配置过程，并与其他指标(比如估值)相结合。

Macroeconomic Dashboards for Tactical Asset Allocation

David Clewell（T. Rowe Price in Baltimore, MD）, Chris Faulkner-Macdonagh（T. Rowe Price in Baltimore, MD）, David Giroux（T. Rowe Price in Baltimore, MD）, Sébastien Page（T. Rowe Price in Baltimore, MD）, Charles Shriver（T. Rowe Price in Baltimore, MD）

ABSTRACT

A wide body of academic literature suggests that macro factors can be significant drivers of asset returns. And among practitioners, statements such as “stocks make money in expansions and tend to lose money in recessions” are often held as self-evident. However, there is little published on how to use these factors to inform investment decisions. From a practitioner’s perspective, the authors show how to build dashboards to integrate macro factors into a broader discretionary tactical asset allocation process. Importantly, their goal is not to design stand-alone systematic trading strategies based on macro factors. Rather the authors believe that investors should build macro factor dashboards to introduce discipline into their asset allocation process, in combination with other inputs, such as valuations.

原文链接：

http://jpm.iijournals.com/content/44/2/50

翻译：黄涛