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Practical Applications

Practical Applications

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Practical Applications of Macroeconomic Dashboards for Tactical Asset Allocation

David Clewell, Chris Faulkner-Macdonagh, David Giroux, Sébastien Page and Charles Shriver
Practical Applications 6 (4) DOI: https://doi.org/10.3905/pa.6.4.317
David Clewell
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Chris Faulkner-Macdonagh
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David Giroux
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Sébastien Page
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Charles Shriver
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Practical Applications Summary

In Macroeconomic Dashboards for Tactical Asset Allocation, from the 2018 Multi-Asset Special Issue of the Journal of Portfolio Management, David Clewell, Chris Faulkner-Macdonagh, David Giroux, Sébastien Page, and Charles Shriver (all of T. Rowe Price) see a need for the integration of macro factors into the tactical asset allocation process. The authors emphasize the importance of macro factors for tactical asset allocation while noting that many practitioners find them difficult to use in practice. Therefore, they propose the use of their dashboards to bring discipline into the process of generating trade ideas.

With their dashboards, the authors model asset-class-level pair trades as a function of macro factors, focusing on the forward one-year return that corresponds to the level and direction of the macro factor. The authors also describe the manner in which to use and interpret the dashboards and offer a few caveats to their approach.

TOPIC: Analysis of individual factors/risk premia

  • The content is made available for your general information and use and is not intended for trading or other specific investment advice purposes or to address your particular requirements. We do not represent or endorse the accuracy or reliability of any advice, opinion, statement, or other information provided any user of this publication. Reliance upon any opinion, advice, statement, or other information shall also be at your own risk. Independent advice should be obtained before making any such decision. Any arrangements made between you and any third party named in this publication are at your sole risk.
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Practical Applications: 6 (4)
Practical Applications
Vol. 6, Issue 4
30 Apr 2019
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Practical Applications of Macroeconomic Dashboards for Tactical Asset Allocation
David Clewell, Chris Faulkner-Macdonagh, David Giroux, Sébastien Page, Charles Shriver
Practical Applications Apr 2019, 6 (4) DOI: 10.3905/pa.6.4.317

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Practical Applications of Macroeconomic Dashboards for Tactical Asset Allocation
David Clewell, Chris Faulkner-Macdonagh, David Giroux, Sébastien Page, Charles Shriver
Practical Applications Apr 2019, 6 (4) DOI: 10.3905/pa.6.4.317
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    • Practical Applications Summary
    • Overview
    • Practical Applications
    • Key Definitions
    • Discussion
    • THE IMPORTANCE OF MACRO FACTORS
    • DATA AND METHODOLOGY
    • USING AND INTERPRETING THE DASHBOARDS
    • CAVEATS
    • David Clewell
    • Chris Faulkner-Macdonagh
    • David Giroux
    • Sébastien Page
    • Charles Shriver
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