Research Briefing
| Jan 5, 2023
How our systematic signals can help enhance performance
![](https://www.oxfordeconomics.com/wp-content/uploads/2023/08/IPAD-How-our-systematic-signals-can-help-enhance-performance.png)
Our cross asset framework is based on five proprietary indicators (economic cycle, credit impulse, financial stress, relative valuation, and sentiment) and guides our monthly cross-asset risk appetite in our flagship Global Asset Allocation (GAA) reports.
What you will learn:
- Employing these framework indicators, this paper develops a rules-based approach to global asset allocation which outperforms commonly used benchmarks.
- To extract a trading signal, we construct a composite measure of risk appetite based on the individual indicators. We find that this aggregated measure tends to deliver higher risk-adjusted returns than each indicator in isolation.
- A long-only monthly trading strategy that adjusts relative exposure to bonds and equities based on the signal has outperformed a 60/40 benchmark across various macro regimes since 2005, providing significantly higher absolute and risk-adjusted returns.
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