Back

I made a model that balances a portfolio using macro signals and filters. It has different regimes, and depending on which regime it’s in, it uses different weights for equities, bonds, commodities, and FX. Some of the data it looks at to decide the regime are things like inflation, growth, and credit conditions. Over the last 10 years it produced an average annual return of 9.7%, with the biggest drawdown being around 15%.