This paper presents a practical investment framework for dynamic asset allocation strategies based on changes in the macro-environment. To identify economic regimes, we use macro-indicators that track monthly growth and inflation of the US economy. We then demonstrate that the regimes divided by changes in growth and inflation trends successfully partition the historical performance of asset classes, and construct a regime-based dynamic strategy for shifting exposures toward attractive assets according to economic regimes. Out-of-sample analysis suggests that the dynamic approach outperforms the static approach after accounting for transaction costs, leading to a higher risk-adjusted return and information ratio. These results have crucial implications for portfolio managers seeking to develop a dynamic asset allocation strategy throughout economic cycles to enhance long-term portfolio performance.

本文提出了一个基于宏观环境变化的动态资产配置策略的实用投资框架。为确定经济制度，我们使用跟踪美国经济月度增长和通货膨胀的宏观指标。然后，我们证明按增长和通胀趋势变化划分的制度成功地划分了资产类别的历史表现，并构建了一个基于制度的动态策略，根据经济制度将风险敞口转向有吸引力的资产。样本外分析表明，在考虑交易成本后，动态方法优于静态方法，从而导致更高的风险调整回报率和信息比率。